资本调整、风险承担与再保险水平的互动关系研究——基于财险公司面板数据的实证检验

管理评论 ›› 2021, Vol. 33 ›› Issue (10): 34-47.

资本调整、风险承担与再保险水平的互动关系研究——基于财险公司面板数据的实证检验

王丽珍, 李湘, 周意

中央财经大学保险学院, 北京 100081

收稿日期:2020-12-17 出版日期:2021-10-28 发布日期:2021-11-29
作者简介:王丽珍,中央财经大学保险学院副教授,硕士生导师,博士;李湘,中央财经大学保险学院硕士研究生;周意,中央财经大学保险学院硕士研究生。
基金资助:
国家社会科学基金项目（19CJL033）。

The Research on the Relationship among Capital Adjustment, Ris k-taking and Reinsurance Levels: Evidence from Property Insurance Industry

Wang Lizhen, Li Xiang, Zhou Yi

School of Insurance, Central University of Finance and Economics, Beijing 100081

Received:2020-12-17 Online:2021-10-28 Published:2021-11-29

摘要/Abstract

摘要： 本文基于2010—2018年我国财险公司的面板数据，分别采用联立方程模型和门槛回归模型研究了公司资本调整、风险承担和再保险水平之间的交互作用和门槛效应，并进行了稳健性检验和异质性分析。研究发现，资本调整对投资风险产生显著的负向影响；再保险水平对资本调整产生显著的负向影响；资本调整、投资风险与承保风险的作用关系存在单一门槛效应，资本调整与风险承担对再保险的影响关系不存在门槛效应。结果表明，资本调整和承保风险承担之间的互动关系有待加强，再保险“或有资本”的角色有待深化，差异化监管制度有待完善。

关键词: 资本调整, 投资风险, 承保风险, 再保险, 门槛效应

Abstract: Based on the panel data of Chinese property insurance companies from 2010 to 2018, this paper uses simultaneous equation model and threshold regression model to study the interaction and threshold effect among capital adjustments, risk-taking and reinsurance levels, and conducts a robustness test and heterogeneity analysis. The study finds that capital adjustment has a significant negative impact on investment risk; reinsurance level has a significant negative impact on capital adjustment; the relationship among capital adjustment, investment risk and underwriting risk has a single threshold effect. But there is no threshold effect in the relationship between capital adjustment and risk-taking on reinsurance. The results show that the interactive relationship between capital adjustment and underwriting risks needs to be strengthened, the role of "contingent capital" in reinsurance needs to be deepened, and the differentiated regulatory system needs to be improved.

Key words: capital adjustment, investment risk, underwriting risk, reinsurance, threshold effect

王丽珍, 李湘, 周意. 资本调整、风险承担与再保险水平的互动关系研究——基于财险公司面板数据的实证检验[J]. 管理评论, 2021, 33(10): 34-47.

Wang Lizhen, Li Xiang, Zhou Yi. The Research on the Relationship among Capital Adjustment, Ris k-taking and Reinsurance Levels: Evidence from Property Insurance Industry[J]. Management Review, 2021, 33(10): 34-47.

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