《保险研究》20230909-《中国存款保险定价模型构建及实证研究——基于预期损失定价理论的视角》（周镕基、姚帅、李明贤）

［摘   要］银行破产风险管理是维护金融稳定的永恒课题，存款保险定价是防范银行破产风险外溢的基础性工作。本文基于预期损失定价理论，设计出一种集赔付能力检验、预期损失定价和目标比率测算于一体的存款保险定价模型，以防范银行破产的外溢风险，为全球金融稳定提供中国方案。利用2015~2022年中国38家上市银行数据集进行存款保险基金充裕性测度，在测度结果的约束下，设计出适合中国样本的预期损失定价表，并进一步利用2002~2022年四大国有银行的数据集，完成存款保险基金理想目标比率的模拟测度工作。研究发现：第一，中国存款保险基金在中型与中小型银行样本的赔付标准下，处于能够实现安全赔付的“均衡稳定状态”，而在大型银行样本的赔付标准下仍处于“非均衡波动状态”。第二，国有大型商业银行的预期存款保险费率位于0.0160%~0.0375%之间，中型银行样本组的预期存款保险费率位于0.0256%~0.0291%之间，而中小型银行样本组的预期存款保险费率位于0.1006%~0.2135%之间。第三，非系统性银行危机期间的理想目标比率范围应位于3.25‰~7.20‰之间，系统性银行危机期间的理想目标比率范围应位于4.68‰~9.27‰之间。基于上述结论，本文提出建立基金储备目标制、更新监管评级体系和提高系统性风险重视程度等建议。

［关键词］存款保险；预期损失定价；目标比率；定价范围；风险防范

［基金项目］本文获得国家社会科学基金项目(21BJY257)、湖南省创新平台开放基金项目(2022HSKFJJ034)、湖南省自然科学基金项目(2019JJ4024)和湖南省哲学社会科学重点研究基地(2019379)资助。

［作者简介］周镕基，衡阳师范学院经济与管理学院教授，现代区域经济研究中心主任，硕士生导师，研究方向：金融风险管理与可持续发展；姚帅，澳门科技大学商学院(AACSB)，苏育洲讲席教授科研助理，衡阳师范学院经济与管理学院助教，研究方向：存款保险与金融安全；李明贤，湖南农业大学经济学院教授，博士生导师，研究方向：金融服务与管理。

Construction of and an Empirical Research on China Deposit Insurance Pricing Model—From the Perspective of Expected Loss Pricing Theory

ZHOU Rong-ji,YAO Shuai,LI Ming-xian

Abstract：Bankruptcy risk management in banks perpetually underscores the maintenance of global financial stability,while the pricing of deposit insurance fundamentally serves to curtail the spillover of such bankruptcy risks.This paper designs a deposit insurance pricing model based on Expected Loss Pricing Theory,which combines the tests for claims-paying ability,expected loss pricing,and target ratio measurement to guard against the spillover risk of bank bankruptcy,providing a Chinese solution to global financial stability.Using a dataset of 38 listed Chinese banks from 2015 to 2022,the adequacy of the deposit insurance fund is measured.Under the constraint of these measurement results,an expected loss pricing table suitable for the Chinese sample is designed.Furthermore,using the data set of the four major state-owned banks from 2002 to 2022,the ideal target ratio of the deposit insurance fund is simulated and measured.The study finds:(1) the Chinese deposit insurance fund is in a "balanced stable state" that can ensure safe payouts under the payout standards of medium-sized banks and small and medium-sized bank samples,but remains in a "non-equilibrium fluctuating state" under the payout standards of large bank samples;(2) the expected deposit insurance rates for large state-owned commercial banks are between 0.0160% and 0.0375%,for medium-sized bank samples,it ranges between 0.0256% and 0.0291%,and for small and medium-sized bank samples,it falls between 0.1006% and 0.2135%;(3) the ideal target ratio during the crisis period should stand between 3.25‰ and 7.20‰ for non-systemic banks and between 4.68‰ and 9.27‰ for systemic banks buring the crisis period.Based on these findings,the paper suggests establishing a fund reserve target system,updating the regulatory rating system,and elevating the level of attention to systemic risk.

Key words：deposit insurance；Expected Loss Pricing；target ratio;pricing range；risk prevention