经营模式对寿险公司财务状况的影响——基于资产负债管理视角
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摘要
最近几年,我国某些新兴寿险公司变传统经营模式为资产驱动负债型模式,在负债端承保中短期"理财险"业务快速募集资金,在资产端以激进方式进行权益投资,如举牌上市公司、收购海外企业等,引起业界和学界广泛讨论。基于资产负债管理视角,本文利用2013—2016年我国63家寿险公司的非平衡面板数据,根据公司万能险业务占比区分寿险公司经营模式,分析经营模式选择的影响因素,以及经营模式对寿险公司财务状况的影响。研究发现,外部宏观经济环境变化、行业内部竞争激烈是公司选择资产驱动负债型经营模式的主要外部导因;我国寿险公司经营模式在样本期间存在分化;资产驱动负债型公司的财务稳健度显著弱于传统经营模式的公司,风险提高而绩效没有显著提升。因此,监管部门需要尽快落实宏观审慎监管框架,切实执行资产负债管理监管规则,防范金融风险发生。
Traditionally,life insurers underwrite long-term policies to gather capital and invest largely in the long-term bonds and deposits to manage the assets and liabilities. It may take life insurers 8 years on average to profit through this liabilitydriven-asset model. In the past few years,some emerging life insurers have changed operation model from the liabilitydriven-asset model to the asset-driven-liability model. They underwrite short-term universal insurance to fund quickly and invest in equity and M&A abroad to shorten the business cycle,which are disputed in the academic and business industry.So far,the literature on operation model and asset-liability management for insurers abroad is not explicitly applicable to life insurers in China because of the differences in the structures,setting and the premium financing. In the perspective of asset-liability management,we use unbalanced panel data of 63 life insurers from 2013 to 2016 in China,analyze the factors related to the choice of asset-driven-liability model,and test the effects of operation model on the financial condition of insurers.We find that the operation models of life insurers are diverse in these years,which results from macroeconomic changes and fierce competition in the industry. In fact,few companies such as China Life Insurance Company,Taikang Insurance Company,China Pacific Insurance Company and Ping-an Insurance Company dominated the life insurance industry with over60% market share in China,but the middle and small-sized companies compete fiercely for the rest of the market. If the normal business activities cannot reverse their losses,middle and small-sized insurers have to underwrite more bancassurance( universal life insurance) with higher expense and commission but lower return. However,lack of security function for policy holders,the universal life insurance is more like financial instrument to accumulate capital rapidly for the insurers themselves. In addition,regulatory standards counted equity investment with lower risk factors in the China Risk Oriented Solvency System( C-ROSS). To adapt to the environment outside,insurers prefer the asset-driven-liability model with short-term products sold and high-risk assets held.Since the year of 2012,insurers have been allowed to expand investment in equity,real estate,futures and options and the ratio of equity holding peaked in the year of 2015. However,emerging insurers have observed to seek excessive cost and risk but higher lapse rate from the asset-driven-liability model. In the reported results,the financial stability of life insurers with asset-driven-liability model are significantly worse than their counterpart,the overall performance is not significant,but the operating risk increases significantly. The empirical results prove that not all the emerging insurers make a profit through the asset-driven-liability model as intended but some run into trouble now. Robust tests are consistent with the main model.Accused by the unusual fluctuation of the capital market in 2015 and 2016,a few life insurers did not adjust their capital with risk properly and punctually. Unfortunately,several companies held by private capital do not act to limit their overall risk,which implies that greater risk in one insurer may lead to greater risk in another.As a consequence,this analysis explains why the life insurers prefer asset-driven-liability model and finds precarious financial condition incurred on these insurers in the past years. In light of the crisis in Japan and USA,our government should learn the lessons of radical operation and improve the asset-liability management of life insurers to prevent systematic risk inside the insurance industry. Also,enhancement on the governance regulation and life insurance market plays an important role in affecting these adjustments.
Traditionally,life insurers underwrite long-term policies to gather capital and invest largely in the long-term bonds and deposits to manage the assets and liabilities. It may take life insurers 8 years on average to profit through this liabilitydriven-asset model. In the past few years,some emerging life insurers have changed operation model from the liabilitydriven-asset model to the asset-driven-liability model. They underwrite short-term universal insurance to fund quickly and invest in equity and M&A abroad to shorten the business cycle,which are disputed in the academic and business industry.So far,the literature on operation model and asset-liability management for insurers abroad is not explicitly applicable to life insurers in China because of the differences in the structures,setting and the premium financing. In the perspective of asset-liability management,we use unbalanced panel data of 63 life insurers from 2013 to 2016 in China,analyze the factors related to the choice of asset-driven-liability model,and test the effects of operation model on the financial condition of insurers.We find that the operation models of life insurers are diverse in these years,which results from macroeconomic changes and fierce competition in the industry. In fact,few companies such as China Life Insurance Company,Taikang Insurance Company,China Pacific Insurance Company and Ping-an Insurance Company dominated the life insurance industry with over60% market share in China,but the middle and small-sized companies compete fiercely for the rest of the market. If the normal business activities cannot reverse their losses,middle and small-sized insurers have to underwrite more bancassurance( universal life insurance) with higher expense and commission but lower return. However,lack of security function for policy holders,the universal life insurance is more like financial instrument to accumulate capital rapidly for the insurers themselves. In addition,regulatory standards counted equity investment with lower risk factors in the China Risk Oriented Solvency System( C-ROSS). To adapt to the environment outside,insurers prefer the asset-driven-liability model with short-term products sold and high-risk assets held.Since the year of 2012,insurers have been allowed to expand investment in equity,real estate,futures and options and the ratio of equity holding peaked in the year of 2015. However,emerging insurers have observed to seek excessive cost and risk but higher lapse rate from the asset-driven-liability model. In the reported results,the financial stability of life insurers with asset-driven-liability model are significantly worse than their counterpart,the overall performance is not significant,but the operating risk increases significantly. The empirical results prove that not all the emerging insurers make a profit through the asset-driven-liability model as intended but some run into trouble now. Robust tests are consistent with the main model.Accused by the unusual fluctuation of the capital market in 2015 and 2016,a few life insurers did not adjust their capital with risk properly and punctually. Unfortunately,several companies held by private capital do not act to limit their overall risk,which implies that greater risk in one insurer may lead to greater risk in another.As a consequence,this analysis explains why the life insurers prefer asset-driven-liability model and finds precarious financial condition incurred on these insurers in the past years. In light of the crisis in Japan and USA,our government should learn the lessons of radical operation and improve the asset-liability management of life insurers to prevent systematic risk inside the insurance industry. Also,enhancement on the governance regulation and life insurance market plays an important role in affecting these adjustments.
引文
[1]朱南军.中国寿险资金运用效率研究[M].北京:经济科学出版社,2016.
[2]Beightler,C.S.,and R.L.Street.Profit Planning in Non-Life Insurance Companies through the Use of a Probability Model[J].Journal of Risk and Insurance,1967,34,(2):255-267.
[3]Caswell,J.W.,and S.C.Goodfellow.Effect of including Investment Income in Ratemaking upon Profitability of Non-life Insurers[J].Journal of Risk and Insurance,1976,43,(2):305-315.
[4]Born,P.H.Insurer Profitability in Different Regulatory and Legal Environments[J].Journal of Regulatory Economics,2001,19,(3):211-237.
[5]Swiss Re.Understanding Profitability in Life Insurance[J].Sigma,2012,(1):8-20.
[6]朱南军,韩佳运.险资举牌的逻辑、特征与策略[J].北京:金融市场研究,2016,(4):85-91.
[7]Pfeffer,I.Measuring the Profit Potential of a New Life Insurance Company[J].Journal of Risk and Insurance,1965,32,(3):413.
[8]戴稳胜.中国保险业资产负债建模分析[M].北京:经济科学出版社,2004.
[9]Bobtcheff,C.,T.Chaney,and C.Gollier.Analysis of Systemic Risk in the Insurance Industry[J].The Geneva Risk and Insurance Review,2016,41,(1):73-106.
[10]卓志.人寿保险公司资本充足率及其模型研究[M].北京:中国金融出版社,2007.
[11]边文龙,王向楠.投资职能对保险公司风险的影响研究[J].北京:金融研究,2017,(12):158-173.
[12]李秀芳.中国寿险业资产负债管理研究[M].北京:中国社会科学出版社,2002.
[13]李秀芳,解强.寿险公司资产负债管理的新视角[J].北京:中国金融,2012,(16):59-60.
[14]陈迪红.保险公司资产负债管理技术及其发展趋势[J].长沙:财经理论与实践,2004,(5):39-42.
[15]吴岚.资产负债管理[M].北京:中国财政经济出版社,2011.
[16]张连增,戴成峰.新会计准则下我国财产保险公司资产负债管理研究[J].北京:保险研究,2013,(3):63-72.
[17]戴成峰,张连增.基于业务类型的我国财产保险公司资产负债管理研究[J].北京:保险研究,2014,(7):34-50.
[18]徐高林,朱永玲.中融人寿警钟[J].北京:证券市场周刊,2016,(7):26-30.
[19]叶颖刚.险资在资本市场频举牌的风险及对策研究[J].海口:海南金融,2016,(4):63-69.
[20]Eling,M.,and D.A.Pankoke.Systemic Risk in the Insurance Sector:A Review and Directions for Future Research[J].Risk Management and Insurance Review,2016,19,(2):249-284.
[21]Xie,X.Y,Y.L.Wang,and G.Q.Zhao et al.Cash Holdings between Public and Private Insurers—A Partial Adjustment Approach[J].Journal of Banking and Finance,2017,82,(2):80-97.
[22]Malik,H.Determinants of Insurance Companies Profitability:An Analysis of Insurance Sector of Pakistan[J].Academic Research International,2011,(3):314-320.
[23]赵桂芹,吴洪.多元化、竞争对我国财产保险业经营绩效的影响[J].北京:经济管理,2014,(1):101-109.
[24]王丽珍.监管压力、资本调整与风险承担——基于寿险业联立门限回归模型的研究[J].北京:经济管理,2015,(10):106-116.
(1)借鉴国外对新兴市场(Emerging Market)的定义,新兴为中性词,指近年来业务突飞猛进的新开业公司。
(2)根据2018年1月31日,中国银保监会副主席陈文辉在保险资金运用贯彻落实全国保险兼顾工作精神专题培训会议的讲话归纳总结。陈文辉.深刻反思个别激进公司教训切实落实保险资金运用基本原则[N].中国保险报,2018-01-31。
(1)2012年7月—12月,原中国保监会现中国银保监会接连发布《保险资金投资债券暂行办法》《保险资金委托投资管理暂行办法》《关于保险资金投资股权和不动产有关问题的通知》《保险资金境外投资管理暂行办法实施细则》《保险资金参与金融衍生产品交易暂行办法》《保险资金参与股指期货交易规定》等文件,大大拓宽了保险资金运用范围。
(1)过去几年,监管机构发放保险机构牌照超过50张,还有200个在排队。政策文件参见2012年10月《关于印发〈保险资金境外投资管理暂行办法实施细则〉的通知》、2013年4月《关于〈寿险公司股权管理办法〉第四条有关问题的通知》、2015年2月《关于万能型人身保险费率政策改革有关事项的通知》。
(2)规模保费=原保险保费收入+保护投资新增交费+投连险独立账户新增交费。
(3)其他投资主要包括基础设施等各类债权、股权投资计划、不动产投资、保单质押贷款、信托、银行理财等投资产品。
(1)2015年7月8日《中国保监会关于提高保险资金投资蓝筹股票监管比例有关事项的通知》。
(1)死差:寿险公司进行精算定价时一般按照生命表估计死亡率,当估计的死亡率和保单实际发生的死亡率产生差异时的损益,即为死差;费差:寿险公司定价时估计的费用与保单实际发生的费用产生差异时的损益;利差:指寿险公司投资债券、股票等金融工具时所带来的收益与保单的保证收益产生差异时的损益。
(2)根据2018年监管机构发布的《资产负债管理监管规则》,期限结构匹配是指寿险公司能够维持资产端现金流和负债端现金流在期限结构上的相对匹配;成本收益匹配是指寿险公司持有资产的收益能够覆盖负债成本,具备一定的持续盈利能力,防范利差损风险;现金流匹配是指寿险公司在中短期内能够获得充足资金以支付到期债务或履行其他支付义务,维持公司流动性充足,防范流动性风险。资产负债管理强调的是某一时点资产与负债现金流量的匹配,因此,即使公司的总资产大于总负债也有可能发生风险。当总资产大于总负债,但由于资产的流动性原因不能满足流动性负债的要求时,也会发生暂时的偿付能力不足而破坏寿险公司的财务稳健性。
(1)考虑到寿险公司经营渠道的特点,本文关注寿险公司使用销售万能险带来的高销售成本,因此,分析经营模式对营销费用率的影响。
(2)考虑资产驱动负债型公司偏好提高权益类投资和海外投资比重,本文特别加入公允价值变动收益和汇兑收益这两项衡量投资收益。
(3)由于资产驱动负债型公司需要不断补充资本扩大资产负债规模,因此,本文将偿付能力变化率的绝对值作为衡量指标,衡量寿险公司偿付能力的波动情况。
(4)2004年中国保监会出台《保险机构投资者股票投资管理暂行办法》,允许保险机构投资者从事股票、可转换公司债券等股票市场产交易的行为。样本期间,各寿险公司对高风险资产的投资基本成熟,具有代表性。
(1)本文将寿险公司的业务按普通寿险分红险、投连万能和健康意外险划分为三大类。
(1)恒大系、安邦系、宝能系、生命系、阳光保险系、国华人寿系、华夏人寿系被称为七大保险系资金。
(1)基于业务集中度、开业时间以及资产规模等因素,本文选取最具代表性的传统型、新兴型公司进行对比,分析寿险行业2011—2016年间出现的趋势变化。
(2)综合退保率=(退保金+保户储金及投资款的退保金+投连险账户的退保金)/(期初长期险责任准备金+保户储金及投资款期初余额+独立账户负债期初余额+本期规模保费)×100%。
(1)源自2018年1月31日,银保监会副主席陈文辉在保险资金运用贯彻落实全国保险兼顾工作精神专题培训会议的讲话。陈文辉.深刻反思个别激进公司教训切实落实保险资金运用规则[N].中国保险报,2018-01-31。
[2]Beightler,C.S.,and R.L.Street.Profit Planning in Non-Life Insurance Companies through the Use of a Probability Model[J].Journal of Risk and Insurance,1967,34,(2):255-267.
[3]Caswell,J.W.,and S.C.Goodfellow.Effect of including Investment Income in Ratemaking upon Profitability of Non-life Insurers[J].Journal of Risk and Insurance,1976,43,(2):305-315.
[4]Born,P.H.Insurer Profitability in Different Regulatory and Legal Environments[J].Journal of Regulatory Economics,2001,19,(3):211-237.
[5]Swiss Re.Understanding Profitability in Life Insurance[J].Sigma,2012,(1):8-20.
[6]朱南军,韩佳运.险资举牌的逻辑、特征与策略[J].北京:金融市场研究,2016,(4):85-91.
[7]Pfeffer,I.Measuring the Profit Potential of a New Life Insurance Company[J].Journal of Risk and Insurance,1965,32,(3):413.
[8]戴稳胜.中国保险业资产负债建模分析[M].北京:经济科学出版社,2004.
[9]Bobtcheff,C.,T.Chaney,and C.Gollier.Analysis of Systemic Risk in the Insurance Industry[J].The Geneva Risk and Insurance Review,2016,41,(1):73-106.
[10]卓志.人寿保险公司资本充足率及其模型研究[M].北京:中国金融出版社,2007.
[11]边文龙,王向楠.投资职能对保险公司风险的影响研究[J].北京:金融研究,2017,(12):158-173.
[12]李秀芳.中国寿险业资产负债管理研究[M].北京:中国社会科学出版社,2002.
[13]李秀芳,解强.寿险公司资产负债管理的新视角[J].北京:中国金融,2012,(16):59-60.
[14]陈迪红.保险公司资产负债管理技术及其发展趋势[J].长沙:财经理论与实践,2004,(5):39-42.
[15]吴岚.资产负债管理[M].北京:中国财政经济出版社,2011.
[16]张连增,戴成峰.新会计准则下我国财产保险公司资产负债管理研究[J].北京:保险研究,2013,(3):63-72.
[17]戴成峰,张连增.基于业务类型的我国财产保险公司资产负债管理研究[J].北京:保险研究,2014,(7):34-50.
[18]徐高林,朱永玲.中融人寿警钟[J].北京:证券市场周刊,2016,(7):26-30.
[19]叶颖刚.险资在资本市场频举牌的风险及对策研究[J].海口:海南金融,2016,(4):63-69.
[20]Eling,M.,and D.A.Pankoke.Systemic Risk in the Insurance Sector:A Review and Directions for Future Research[J].Risk Management and Insurance Review,2016,19,(2):249-284.
[21]Xie,X.Y,Y.L.Wang,and G.Q.Zhao et al.Cash Holdings between Public and Private Insurers—A Partial Adjustment Approach[J].Journal of Banking and Finance,2017,82,(2):80-97.
[22]Malik,H.Determinants of Insurance Companies Profitability:An Analysis of Insurance Sector of Pakistan[J].Academic Research International,2011,(3):314-320.
[23]赵桂芹,吴洪.多元化、竞争对我国财产保险业经营绩效的影响[J].北京:经济管理,2014,(1):101-109.
[24]王丽珍.监管压力、资本调整与风险承担——基于寿险业联立门限回归模型的研究[J].北京:经济管理,2015,(10):106-116.
(1)借鉴国外对新兴市场(Emerging Market)的定义,新兴为中性词,指近年来业务突飞猛进的新开业公司。
(2)根据2018年1月31日,中国银保监会副主席陈文辉在保险资金运用贯彻落实全国保险兼顾工作精神专题培训会议的讲话归纳总结。陈文辉.深刻反思个别激进公司教训切实落实保险资金运用基本原则[N].中国保险报,2018-01-31。
(1)2012年7月—12月,原中国保监会现中国银保监会接连发布《保险资金投资债券暂行办法》《保险资金委托投资管理暂行办法》《关于保险资金投资股权和不动产有关问题的通知》《保险资金境外投资管理暂行办法实施细则》《保险资金参与金融衍生产品交易暂行办法》《保险资金参与股指期货交易规定》等文件,大大拓宽了保险资金运用范围。
(1)过去几年,监管机构发放保险机构牌照超过50张,还有200个在排队。政策文件参见2012年10月《关于印发〈保险资金境外投资管理暂行办法实施细则〉的通知》、2013年4月《关于〈寿险公司股权管理办法〉第四条有关问题的通知》、2015年2月《关于万能型人身保险费率政策改革有关事项的通知》。
(2)规模保费=原保险保费收入+保护投资新增交费+投连险独立账户新增交费。
(3)其他投资主要包括基础设施等各类债权、股权投资计划、不动产投资、保单质押贷款、信托、银行理财等投资产品。
(1)2015年7月8日《中国保监会关于提高保险资金投资蓝筹股票监管比例有关事项的通知》。
(1)死差:寿险公司进行精算定价时一般按照生命表估计死亡率,当估计的死亡率和保单实际发生的死亡率产生差异时的损益,即为死差;费差:寿险公司定价时估计的费用与保单实际发生的费用产生差异时的损益;利差:指寿险公司投资债券、股票等金融工具时所带来的收益与保单的保证收益产生差异时的损益。
(2)根据2018年监管机构发布的《资产负债管理监管规则》,期限结构匹配是指寿险公司能够维持资产端现金流和负债端现金流在期限结构上的相对匹配;成本收益匹配是指寿险公司持有资产的收益能够覆盖负债成本,具备一定的持续盈利能力,防范利差损风险;现金流匹配是指寿险公司在中短期内能够获得充足资金以支付到期债务或履行其他支付义务,维持公司流动性充足,防范流动性风险。资产负债管理强调的是某一时点资产与负债现金流量的匹配,因此,即使公司的总资产大于总负债也有可能发生风险。当总资产大于总负债,但由于资产的流动性原因不能满足流动性负债的要求时,也会发生暂时的偿付能力不足而破坏寿险公司的财务稳健性。
(1)考虑到寿险公司经营渠道的特点,本文关注寿险公司使用销售万能险带来的高销售成本,因此,分析经营模式对营销费用率的影响。
(2)考虑资产驱动负债型公司偏好提高权益类投资和海外投资比重,本文特别加入公允价值变动收益和汇兑收益这两项衡量投资收益。
(3)由于资产驱动负债型公司需要不断补充资本扩大资产负债规模,因此,本文将偿付能力变化率的绝对值作为衡量指标,衡量寿险公司偿付能力的波动情况。
(4)2004年中国保监会出台《保险机构投资者股票投资管理暂行办法》,允许保险机构投资者从事股票、可转换公司债券等股票市场产交易的行为。样本期间,各寿险公司对高风险资产的投资基本成熟,具有代表性。
(1)本文将寿险公司的业务按普通寿险分红险、投连万能和健康意外险划分为三大类。
(1)恒大系、安邦系、宝能系、生命系、阳光保险系、国华人寿系、华夏人寿系被称为七大保险系资金。
(1)基于业务集中度、开业时间以及资产规模等因素,本文选取最具代表性的传统型、新兴型公司进行对比,分析寿险行业2011—2016年间出现的趋势变化。
(2)综合退保率=(退保金+保户储金及投资款的退保金+投连险账户的退保金)/(期初长期险责任准备金+保户储金及投资款期初余额+独立账户负债期初余额+本期规模保费)×100%。
(1)源自2018年1月31日,银保监会副主席陈文辉在保险资金运用贯彻落实全国保险兼顾工作精神专题培训会议的讲话。陈文辉.深刻反思个别激进公司教训切实落实保险资金运用规则[N].中国保险报,2018-01-31。