《保险研究》20190304-《保险周期的影响因素分析——基于全球范围保险公司面板数据的研究》（姚奕、王云龙）

［摘   要］现有理论研究从已有损失经验、承保能力约束和一般经济因素三方面解释保险周期产生的原因,而已有实证检验多使用某一个国家(地区)的加总时间序列数据进行分析。本文使用2007~2016年全球各国保险公司的财务面板数据,构建差分模型进行面板固定效应回归,检验现有主流的解释保险周期假说的成立性,并验证高收入国家(地区)和中低收入国家(地区)的保险周期在传导机制上是否存在结构性差异。实证结果表明，已有损失经验是保险周期的显著影响因素,且该因素在高收入国家(地区)与中低收入国家(地区)之间不存在结构性差异,而承保能力约束对保险周期的影响在高收入国家(地区)与中低收入国家(地区)之间存在结构性差异。本文使用企业层面数据对几种主流理论模型解释加以实证检验,更加切合理论模型的行为假设,同时本文所构建的结构性差异差分模型揭示了中低收入国家(地区)保险周期与高收入国家(地区)的差异性。

［关键词］保险周期；损失经验；承保能力约束；一般经济因素；结构性差异

［基金项目］国家社会科学基金重大项目(项目编号：13&ZD042)、中国保险学会2017年研究课题项目(项目编号：ISCKT2017-N-1-4)、北京大学经济学院种子基金项目。感谢匿名审稿人对本文的帮助。

［作者简介］姚奕,北京大学经济学院风险管理与保险学系副教授,研究方向：健康保险与风险管理；王云龙（通讯作者）,北京大学经济学院硕士生,研究方向：风险管理与保险学。

Influencing Factors on Insurance Cycle—An Empirical Analysis using Global Insurance Company Panel Data

YAO Yi,WANG Yun-long

Abstract：Loss experience,capacity constraint and macroeconomic factors are the three main theoretical frameworks to explain the causes of insurance cycle.The existing empirical studies usually utilize aggregated time-series data of a specific country to test for the existence of insurance cycle.We innovatively utilized a representative panel data set of global insurance companies from 2007-2016 instead.Using the first order difference of loss ratio as the dependent variable,and factors associated with loss experience,capacity constraint,macroeconomic factors and the interaction terms of them as independent variables,we constructed a differential model to verify the theoretical explanations and the structural difference of insurance cycles of high income countries and middle-and low-income countries.Empirical results suggested that loss experience was a significant influencing factor to insurance cycles,and there was no difference between high income countries and middle-and low-income countries when considering loss experience factor.But the influences of capacity constraint on insurance cycles were different between high income countries and middle-and low-income countries.This paper tested the theoretical model at enterprise-level,which was more in line with the assumptions of the theoretical models.At the same time,the structural difference model constructed in this paper revealed the difference of insurance cycles between high income countries and middle-and low-income countries.

Key words：insurance cycle;loss experience;capacity constraint;macroeconomic factors;structural difference