期刊介绍：

　　《Journal of Risk and Insurance》为季刊，每年4期，每期发表文章8-10篇左右。2024年影响因子为2.1，是风险管理与保险领域的顶级权威学术期刊。该期刊主要发表保险经济学和风险管理主题的理论和实证方面的学术论文，可以为保险市场的实践、决策和监管以及企业和家庭风险管理提供重要的信息。

　　本期看点：

　　●欧美保险公司的投资策略存在差异：在市场收缩的第一个月，保险公司会顺周期地将投资组合转向低信用风险资产。随着危机持续，欧洲保险公司表现出逆周期的风险投资行为（尤其青睐高收益工具），押注市场复苏，而美国公司不存在这种逆周期行为。

　　●德国寿险公司的数据表明，保险公司公开报告的偿付能力比率会影响保费增长和退保率，支持通过公共风险披露来加强市场约束的结论。

　　●系统重要性银行机构的系统性风险受多重冲击驱动，而系统重要性保险机构的系统性风险主要源于新冠疫情的影响。

　　●保额保险产品形式日益复杂，其每当出现良性创新后，便会涌现混淆性产品（隐性包装）。

　　●保险会计信息对低破产风险企业更具价值相关性，而在高风险情境下则未能提供增量信息。

　　※ 本期目录

　　●Gambling for market recovery? European insurers' corporate bond investments during market stress

　　●Market discipline in life insurance: Does public risk disclosure encourage less risky management actions?

　　●Systemic risk of systemically important financial institutions in the post-2008 global financial crisis era: A tail risk network analysis

　　●Virtuous innovation or obfuscation? Product innovation in the variable annuities market

　　●Optimal hedging of longevity risks for group self-annuity portfolios

　　●On the market valuation of insurance accounting: An assessment of historical cost and fair value measurements

　　●Heterogeneity in health insurance choice: An experimental investigation of consumer choice and feature preferences

　　●Optimal insurance design under limited liability

　　Gambling for market recovery? European insurers' corporate bond investments during market stress

　　押注市场复苏？欧洲保险公司在市场压力时期的公司债投资行为

　　作者

　　Marcel Beyer（法兰克福大学）

　　摘要：Using daily stock market data for European insurers, I investigate how a stock market contraction, as experienced during the COVID-19 pandemic, affects insurers' credit risk allocation of their corporate bond portfolio. I find that insurers shift their portfolio holdings pro-cyclically towards lower credit risk assets in the first month of the market contraction. As the crisis progresses, I find evidence for counter-cyclical, riskier investment behavior by European insurers, especially in high-yield instruments, that can neither be explained by credit rating downgrades of held bonds nor by hedging with CDS derivatives. This counter-cyclical investment behavior cannot be observed for US firms, which provides evidence for a difference in investment behavior between US and European insurers. The observed investment behavior of European insurers could be beneficial for systemic stability by attenuating price declines through insurance liquidity provision, but excessive risk-taking by insurance companies over longer periods can also reinforce systemic stress.

　　基于欧洲保险公司的每日股市数据，本文研究了新冠疫情等股市收缩如何影响保险公司公司债券组合的信用风险配置。研究发现，在市场收缩的第一个月，保险公司会顺周期地将投资组合转向低信用风险资产。随着危机持续，欧洲保险公司表现出逆周期的风险投资行为（尤其青睐高收益工具），这种行为既无法用持有债券的信用评级下调解释，也无法用信用违约互换衍生品对冲来解释。美国企业并未出现此类逆周期投资行为，这印证了欧美保险公司的投资策略差异。欧洲保险公司的这种投资模式可能通过提供保险流动性来减缓价格下跌，从而有利于系统稳定性，但保险公司长期过度冒险也可能加剧系统性压力。

　　原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70028

　　Market discipline in life insurance: Does public risk disclosure encourage less risky management actions?

　　寿险业的市场约束：公开风险披露会促使风险管理更趋审慎吗？

　　作者

　　Moritz Hanika（埃尔朗根-纽伦堡大学）

　　摘要：We analyze how public risk disclosure, specifically Solvency II, impacts life insurers' risk-taking behavior. Using data from 58 German life insurers from 2016 to 2023, we find that publicly reported solvency ratios can affect premium growth and surrender rates. Moreover, insurers appear to improve their solvency ratios following a decline in the previous year. To investigate whether policyholder behavior drives a life insurer's reduced risk-taking, we then develop a model in which a life insurer seeks to maximize shareholder value. Unlike previous research, we consider annually disclosed solvency ratios, affecting policyholders' dynamic purchase and surrender behavior. In our model, the insurer acts less riskily (e.g., holds more reserves and sells less-risky insurance portfolios) to maintain higher solvency ratios and mitigate policyholders' adverse reactions. Our findings motivate public risk disclosure to strengthen market discipline, but its level and design must be carefully calibrated to be effective and avoid undue costs.

　　我们研究了公共风险披露（特别是Solvency II法规）如何影响寿险公司的风险承担行为。通过分析2016年至2023年间58家德国寿险公司的数据，我们发现公开报告的偿付能力比率会影响保费增长和退保率。此外，保险公司在经历上一年度的偿付能力比率下降后，似乎会采取措施改善该比率。为探究保单持有人行为是否会驱动寿险公司降低风险承担，我们建立了一个寿险公司追求股东价值最大化的模型。与既往研究不同，我们考虑了年度披露的偿付能力比率对保单持有人动态投保和退保行为的影响。模型显示，为维持较高的偿付能力比率并缓解保单持有人的负面反应，保险公司会降低风险承担（例如持有更多准备金和销售风险较低的保险产品）。我们的研究结果支持通过公共风险披露来加强市场约束，但其披露水平和方案设计需审慎校准，以确保有效性并避免不必要的成本。

　　原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70019

　　Systemic risk of systemically important financial institutions in the post-2008 global financial crisis era: A tail risk network analysis

　　2008全球金融危机后时代系统重要性金融机构的系统性风险：尾部风险网络分析

　　作者

　　Tao Sun（岭南大学）

　　摘要：We examine the systemic risk of 46 systemically important financial institutions (SIFIs), that is, 34 global systemically important banks (G-SIBs) and 12 global systemically important insurers (G-SIIs) between 2010 and 2023. We use tail risk network-based systemic risk measures for SIFIs. We find that G-SIBs' systemic risk is driven by various shocks, including the 2011–2012 Eurozone crisis, the 2018–2019 US–China trade tensions, and the 2023 US regional bank crisis. In contrast, G-SIIs' systemic risk is largely driven by the 2020 COVID-19 pandemic. Moreover, the distribution and correlation of systemic risk for G-SIBs and G-SIIs vary significantly across jurisdictions. We also find a bidirectional causal relationship between G-SIBs' and G-SIIs' systemic risk. Our findings have important implications for the tail risk independence and stability of the financial system.

　　我们研究了2010至2023年间46家系统重要性金融机构（SIFIs）的系统性风险，包括34家全球系统重要性银行（G-SIBs）和12家全球系统重要性保险公司（G-SIIs）。通过基于尾部风险网络的度量方法，我们发现：G-SIBs的系统性风险受多重冲击驱动，包括2011-2012年欧元区危机、2018-2019年中美贸易摩擦及2023年美国地区银行危机；而G-SIIs的系统性风险主要源于2020年新冠疫情。两类机构的系统性风险分布与相关性在不同司法管辖区存在显著差异，且其风险存在双向因果关系。本研究对理解金融体系尾部风险独立性与稳定性具有重要启示。

　　原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70023

　　Virtuous innovation or obfuscation? Product innovation in the variable annuities market

　　良性创新还是隐性包装？变额年金市场的产品创新

　　作者

　　Xiaochen Jing（伊利诺伊大学厄巴纳-香槟分校），Daniel Bauer（威斯康星大学麦迪逊分校），J. Tyler Leverty（威斯康星大学麦迪逊分校）

　　摘要：Variable Annuities, which comprise a substantial proportion of the retirement products sold by insurance companies, have become increasingly complex over the past decades. We investigate the drivers of the product trends. We distinguish “virtuous” innovations that expand upon the existing set of consumption paths in retirement from “obfuscating” innovations that increase complexity without clear benefits to consumers. We document a recurring pattern where, in each benefit category, obfuscating products follow the introduction of virtuous innovations. This pattern generates the overall increase in product complexity. Our results challenge prevailing perspectives on Variable Annuities in the popular press and the literature.

　　变额年金作为保险公司退休金融产品的重要组成部分，在过去数十年间呈现出日益复杂化的趋势。我们深入探究这一产品演变趋势的驱动因素，并区分了两种创新类型：一是能够拓展退休消费路径的"良性"创新，二是虽增加产品复杂度却未给消费者带来实质利益的"混淆性"创新。研究发现，在每个保险利益类别中都存在一种反复出现的模式——每当出现良性创新后，便会涌现混淆性产品。这种模式最终导致产品复杂度的整体攀升。该研究结论对主流媒体和现有文献中关于变额年金的普遍认知提出了挑战。

　　原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70027

　　Optimal hedging of longevity risks for group self-annuity portfolios

　　针对团体自营年金组合的长寿风险最优对冲策略

　　作者

　　Yang Shen（新南威尔士大学），Michael Sherris（新南威尔士大学），Yawei Wang（新南威尔士大学），Jonathan Ziveyi（新南威尔士大学）

　　摘要：This paper proposes a dynamic longevity risk hedging strategy for smooth survival benefit profiles of group self-annuity (GSA) schemes in the presence of population basis risk. The fund manager of GSA acts on behalf of fund participants in selecting the optimal hedge. The hedging framework is formulated as a mean-variance optimization problem, which serves as a theoretical framework for selecting the optimal hedging strategy. The hedging mechanism involves trading standardized longevity-linked securities dynamically. A semi-analytic solution to the optimal hedge ratio is derived, which enhances the numerical implementation of the strategy. Furthermore, a risk decomposition method is developed, enabling hedging of various sources of risks, such as longevity and investment risks. Numerical illustrations highlight that the hedging strategy effectively mitigates variability in survival benefits. Meanwhile, a holistic risk management framework utilizing the longevity risk hedging strategy and a target volatility investment strategy increases the fund's return per unit of risk.

　　本文针对存在人口基数风险的团体自营年金计划，提出了一种动态长寿风险对冲策略，以实现平滑生存金给付目标。该年金基金管理人代表计划参与者选择最优对冲方案，通过构建均值-方差优化模型确立理论框架，采用动态交易标准化长寿关联证券的运作机制。研究推导出最优对冲比率的半解析解，有效提升了策略的数值实施效率，并开发了风险分解方法以应对长寿风险与投资风险等多重风险源。数值模拟表明：该对冲策略显著降低生存金给付波动性，同时结合目标波动率投资策略构建的全面风险管理框架，能够提升基金单位风险回报率。

　　原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70024

　　On the market valuation of insurance accounting: An assessment of historical cost and fair value measurements

　　保险会计的市场价值评估：历史成本与公允价值比较

　　作者

　　Stefan Veith（不莱梅应用科技大学），Christian Fieberg（不莱梅应用科技大学）

　　摘要：We analyze the relationship between stock prices and insurance accounting and compare a historical cost with a full fair value measurement approach. During our sample period, European insurers had to determine the fair value of all assets and liabilities according to the Solvency II (SII) regulation, in addition to the historical-cost-based setup of the International Financial Reporting Standards (IFRS). This alternative source of information allowed investors to update their expectations about future dividends, risks, and firm values. Comparing both frameworks, we report three findings. First, we show that the association between stock prices and SII full fair value accounting items is greater than that of IFRS historical cost measurements. Second, we find that this effect stems from unexpected news disclosed by regulatory reporting. Third, our results suggest that insurance accounting is relevant for firms exposed to lower insolvency risk and offers no additional information when the risk level is high.

　　我们深入分析了股价与保险会计计量之间的关系，并对比了历史成本与完全公允价值两种计量模式。在研究期间，欧洲保险公司除遵循国际财务报告准则（IFRS）的历史成本计量外，还需根据Solvency II（SII）监管要求对所有资产负债采用公允价值计量。这种双重计量体系为投资者更新未来股利、风险和企业价值预期提供了额外信息源。通过对比研究，我们获得三项重要发现：首先，股价与SII完全公允价值会计项目的关联度显著高于IFRS历史成本计量；其次，这种差异效应源于监管披露中蕴含的未预期信息；最后，研究结果表明保险会计信息对低破产风险企业更具价值相关性，而在高风险情境下则未能提供增量信息。

　　原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70025

　　Heterogeneity in health insurance choice: An experimental investigation of consumer choice and feature preferences

　　健康保险选择的异质性：基于消费者决策与功能偏好的实验

　　作者

　　Benedicta Hermanns（汉堡工业大学），Nadja Kairies-Schwarz（杜塞尔多夫大学），Johanna Kokot（汉堡工业大学），Markus Vomhof（杜塞尔多夫大学）

　　摘要：We investigate heterogeneity in health insurance choice using data from a controlled laboratory experiment. Participants make consecutive choices from sets of insurance plans that vary in premium, deductible, and complementary coverage of illnesses. We find that there is considerable heterogeneity in how much individuals are willing to pay for certain plan attributes. To better understand these differences, we account for individual risk preferences using a rank-dependent expected utility (RDEU) model and assess the welfare effects of plan choices. At the aggregate level, we find welfare losses under both the normative RDEU model and the descriptive EV model. At the individual level, however, the results are more differentiated: for some individuals, choices are consistent with their RDEU preferences, whereas for others, choices do not fit either model, suggesting either decision errors or reliance on heuristics.

　　我们通过受控实验室实验数据研究医疗保险选择的异质性。参与者在连续决策中从多组保险计划中进行选择，这些计划在保费、免赔额及疾病补充保障范围等方面存在差异。研究发现，个人对特定保险计划属性的支付意愿存在显著异质性。为深入解析这些差异，我们采用等级依赖期望效用模型衡量个体风险偏好，并评估保险计划选择的福利效应。在整体层面，无论是规范性的RDEU模型还是描述性的期望值模型都显示存在福利损失；但在个体层面，结果呈现分化态势：部分个体的选择符合其RDEU偏好，而其他个体的选择与两种模型均不吻合，这表明其可能存在决策误差或依赖启发式判断。

　　原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70026

　　Optimal insurance design under limited liability

　　有限责任条件下的最优保险合同设计

　　作者

　　Andrea Bergesio（瑞士瑞信银行），Pablo Koch-Medina（苏黎世大学），Cosimo Munari（维也纳大学）

　　摘要：We study optimal demand for insurance in a classical expected utility setting where the insured party has limited liability and has access to three different types of progressively more restrictive contracts. At one end, with no restrictions on the indemnity schedule, it is optimal to fully insure certain losses while leaving others uninsured. At the other end, if indemnity schedules and retained losses are assumed to be increasing functions of the underlying loss, the optimal insurance policies are shown to be capped deductibles. For the intermediate case when the indemnity schedule is only an increasing function of the loss, we find that optimal contracts exhibit a richer structure beyond the capped policies suggested in earlier literature. Our study extends and provides a unifying perspective on the existing literature on optimal insurance under limited liability.

　　我们在经典期望效用框架下研究最优保险需求，假设投保人承担有限责任，并可选择三种限制程度递增的合约类型。研究发现：当赔偿方案不受限制时，最优策略是对特定损失实现完全保险，同时保留其他风险自留；若假设赔偿方案与自留损失均随实际损失递增，则最优保险合约呈现限额免赔模式；在赔偿方案仅随损失单调递增的中间情形下，最优合约展现出比文献记载的限额保单更丰富的结构特征。本研究对有限责任条件下的最优保险理论进行了拓展，并为现有研究提供了统一的理论框架。

　　原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70016