寿险需求的理论模型与实证研究
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摘要
寿险需求是保险经营实践与理论研究的重要问题。现代寿险业的一个显著特点是投资型寿险占据绝对地位,因而,以往那种以保障型产品作为研究对象的寿险需求理论需要进行适时改进。本文对寿险需求进行研究,尤其将投资型寿险作为研究的重点,以期了解投资型寿险的需求规律。投资型寿险是指将保障功能与资金运用功能相结合的寿险产品,能够给投资者带来不确定的收益,包括分红险、万能险与投连险。因为投资型寿险同时具有保障与投资功能,其收益具有不确定性以及相关数据收集的困难,所以,投资型寿险需求的理论与实证文献比较稀少,已有的个别文献还有待完善。近十年来,投资型寿险产品的出现已经深刻的改变了寿险业的格局。目前,寿险业面临增速放缓以及回归保障型产品等诸多问题,因此,研究寿险需求尤其是投资型寿险的需求具有重要的理论与现实意义。
本文首先对寿险需求及相关概念进行界定,梳理投资型寿险的发展历史,介绍其具体的品种,分析其特点；然后对寿险需求理论进行综述,在此基础上,对影响寿险需求的因素做出定性分析。接着对寿险需求建立理论模型。对于理论模型研究,本文遵循从简单到复杂的原则,从金融资产组合视角出发,在连续时间模型的框架内,首先建立一个保障型寿险的基础模型,然后在此基础上,进一步假设个体购买的是投资型寿险,对基础模型进行拓展,建立投资型寿险需求的连续时间模型。
在理论分析的基础上,本文对我国的寿险需求进行实证研究。首先,建立变参数的状态空间模型,采用1999-2010年的季度数据,对影响寿险需求的主要经济因素,如收入、利率及通货膨胀与总寿险需求之间的关系,进行实证研究,以期了解在投资型险种所占比例的上升的情况下,寿险需求出现的变化。然后,本文采用2001-2010年的全国35个大中城市的投资型寿险的保费数据,对影响投资型寿险需求的因素和投资型寿险需求之间的关系建立动态面板模型进行实证检验。
基于以上思路与研究的内容,本文的创新主要有：(1)在现有文献的基础上,构造了新的双随机过程,建立了新的投资型寿险需求的理论模型,该模型求解简便,结果简单,其经济意义十分明显；(2)本文深入挖掘显性解的经济意义,得出了寿险的“莫森”定理,发现了保费-净财富公式,并用它解释了“年金之谜”；同时首次指出消费如何对寿险需求产生影响,得出保障型寿险与风险资产的“分离定理”；(3)本文对寿险需求的动态模拟分析结果,其经济意义更明显,和现实更接近；(4)首次运用状态空间模型对我国寿险需求进行实证分析,对不同经济环境下,人们寿险需求的变化有了新的认识；(5)首次运用动态面板数据模型对投资型寿险的需求进行实证分析,对影响投资型寿险的因素进行了检验,增加了对投资型寿险发展实际情况的了解。
基于以上研究,本文得出如下主要结论：(1)在保费精算公平的情况下,保障型寿险是净财富的完全替代品,保费率是保障型寿险的边际消费倾向；(2)预期收入、投资型寿险的回报率、股票波动率、风险厌恶参数以及死亡率对投资型寿险的需求影响为正,而投资型寿险的违约率、股票收益率、时间贴现因子对投资型寿险需求影响为负,现有的财富与保费率对投资型寿险的需求影响不明确,消费对投资型寿险的需求有重要影响；(3)利用状态空间模型的实证研究表明：收入对寿险需求在不同的时期内影响程度不一样,利率对寿险的影响和资本市场的发展相关,通胀对寿险需求的影响和寿险险种的构成及投资型寿险所占的比例有关。(4)利用动态面板数据模型的实证研究表明,居民收入提高,为对抗通胀,获得资产的保值增值而购买投资型寿险是其快速增长的主要原因；股票对投资型寿险需求具有较强的替代作用；短期内消费者更关注投资型寿险的投资功能,长期内消费者会考虑其保障功能,但由于其投资功能较强,保障功能的影响并不显著。
Demand for life insurance is important issue for insurance business practice and theoretical research. It is a notable feature for modern life insurance industry that investment-oriented life insurance takes the absolute position; therefore, it requires timely improvements for life insurance demand theory whose study object is protection-oriented life insurance. This paper makes research on the life insurance demand, especially focuses on investment-oriented life insurance in order to understand demand law of investment-oriented life insurance. Investment-oriented life insurance is life insurance product which combines insurance and investment functions and gives uncertain return to investors,including participating insurance, universal insurance and unit-linked insurance.Its return is uncertain for investment-oriented life insurance which has security and financing functions and it is difficult to collect its data. Thus,there are a few theoretical and empirical literatures which should be improved.In the past ten years,investment-oriented life insurance products have profoundly changed the pattern of life insurance industry. At present, the life insurance industry is facing a slowdown and regression protection products and many other issues.Therefore,it is of vital theoretical and realistic significance for study on demand for life insurance especially demand for the investment-oriented life insurance.
First, this paper defines the concept of demand for life insuranc and related concepts,then sort out the history of the development of investment-oriented life insurance,introduces the specific varieties and analyzes its characteristics.Based on overview of theory, this paper qualitatively analyzes the factors influencing the demand.For the theoretical model,according to the principle from simple to complex and portfolio perspective,we first set up continuous time model of protection-oriented life insurance.On this basis,we further assume that individuals purchases investment-oriented life insurance products which has the double functions of security and investment. We expand the base model to establish continuous-time model of investment-oriented life insurance for demand.
This paper does an empirical research on demand for China's life insurance based on theoretical analysis.Firstly, we construct a State Space Model of variable parameter with quarterly data from1999to2010to analyze the relationship among income,interest rate,inflation and life insurance demand.The objection of study is to understand changes of life insurance demand with the proportion rise of investment-oriented life insurance products.Then, Employing the investment-oriented life insurance premium data of35large and medium cities in China from2001～2010,it is applied to establish dynamic panel data model to test how factors influencing demand.
Based on these contents and consideration of research,the core innovation of the paper can be generalizes as follows:(1)we establie new theoretical model of demand for investment-oriented life insurance by constructing new double random process,solving simple and the result is simple,its economic significance is very clear;(2)we obtain "M-S theorem" in life insuance and found the formula of premium--net wealth to explain "the annuity puzzle" and firstly point out how consumption has effect on demand for life insurance by exploring economic significance of the solution; we derive "the separation theorem" between security-oriented life insurance and risk assets;(3) in this paper, the dynamic analysis results of demand for life insurance, its economic significance is more obvious, more close and the reality;(4)we firstly apply the state space model to empirically analyze the demand for life insurance in China so that we newly understood demand change with different economic environment;(5)we firstly apply dynamic panel data model to empirically analyze the demand for investment-oriented life insurance and examine the factors how affecting the investment-oriented life insurance.
Based on these studies, this paper draw conclusions as follows:(1)if premium is actuarially fair, security-oriented life insurance is perfect substitutes for net wealth, premium rate is to security-oriented life insurance marginal propensity to consume;(2) it has positive effect on demand for investment-oriented life insurance products for future income, risk aversion parameter,volatility of risk capital and yield of investment life insurance; its influence is negative for the default rate of investment-oriented life insurance, return of risk capital and discount factor; its influence is uncertain for individual current wealth and premium ratio; the consumption has important effect on demand of investment-oriented life insurance;(3)the empirical research based on the state space model show that influence is not always be same in different period for income, that the impact of interest rate on life insurance demand is related to the capital market development, that inflation has influence on life insurance demand, which will be correlative with the proportion of different life insurance;(4) the empirical study based on dynamic panel data model shows that the rapid growth of investment-oriented life insurance is mainly applied for a substantial increase in people's income, which is preserved to fight and hedge against inflation; The study finds that consumers pay more attention to investment function of investment-oriented life insurance in short term, and consider its security function, but effect of security function is not significant due to its investment function.
本文首先对寿险需求及相关概念进行界定,梳理投资型寿险的发展历史,介绍其具体的品种,分析其特点；然后对寿险需求理论进行综述,在此基础上,对影响寿险需求的因素做出定性分析。接着对寿险需求建立理论模型。对于理论模型研究,本文遵循从简单到复杂的原则,从金融资产组合视角出发,在连续时间模型的框架内,首先建立一个保障型寿险的基础模型,然后在此基础上,进一步假设个体购买的是投资型寿险,对基础模型进行拓展,建立投资型寿险需求的连续时间模型。
在理论分析的基础上,本文对我国的寿险需求进行实证研究。首先,建立变参数的状态空间模型,采用1999-2010年的季度数据,对影响寿险需求的主要经济因素,如收入、利率及通货膨胀与总寿险需求之间的关系,进行实证研究,以期了解在投资型险种所占比例的上升的情况下,寿险需求出现的变化。然后,本文采用2001-2010年的全国35个大中城市的投资型寿险的保费数据,对影响投资型寿险需求的因素和投资型寿险需求之间的关系建立动态面板模型进行实证检验。
基于以上思路与研究的内容,本文的创新主要有：(1)在现有文献的基础上,构造了新的双随机过程,建立了新的投资型寿险需求的理论模型,该模型求解简便,结果简单,其经济意义十分明显；(2)本文深入挖掘显性解的经济意义,得出了寿险的“莫森”定理,发现了保费-净财富公式,并用它解释了“年金之谜”；同时首次指出消费如何对寿险需求产生影响,得出保障型寿险与风险资产的“分离定理”；(3)本文对寿险需求的动态模拟分析结果,其经济意义更明显,和现实更接近；(4)首次运用状态空间模型对我国寿险需求进行实证分析,对不同经济环境下,人们寿险需求的变化有了新的认识；(5)首次运用动态面板数据模型对投资型寿险的需求进行实证分析,对影响投资型寿险的因素进行了检验,增加了对投资型寿险发展实际情况的了解。
基于以上研究,本文得出如下主要结论：(1)在保费精算公平的情况下,保障型寿险是净财富的完全替代品,保费率是保障型寿险的边际消费倾向；(2)预期收入、投资型寿险的回报率、股票波动率、风险厌恶参数以及死亡率对投资型寿险的需求影响为正,而投资型寿险的违约率、股票收益率、时间贴现因子对投资型寿险需求影响为负,现有的财富与保费率对投资型寿险的需求影响不明确,消费对投资型寿险的需求有重要影响；(3)利用状态空间模型的实证研究表明：收入对寿险需求在不同的时期内影响程度不一样,利率对寿险的影响和资本市场的发展相关,通胀对寿险需求的影响和寿险险种的构成及投资型寿险所占的比例有关。(4)利用动态面板数据模型的实证研究表明,居民收入提高,为对抗通胀,获得资产的保值增值而购买投资型寿险是其快速增长的主要原因；股票对投资型寿险需求具有较强的替代作用；短期内消费者更关注投资型寿险的投资功能,长期内消费者会考虑其保障功能,但由于其投资功能较强,保障功能的影响并不显著。
Demand for life insurance is important issue for insurance business practice and theoretical research. It is a notable feature for modern life insurance industry that investment-oriented life insurance takes the absolute position; therefore, it requires timely improvements for life insurance demand theory whose study object is protection-oriented life insurance. This paper makes research on the life insurance demand, especially focuses on investment-oriented life insurance in order to understand demand law of investment-oriented life insurance. Investment-oriented life insurance is life insurance product which combines insurance and investment functions and gives uncertain return to investors,including participating insurance, universal insurance and unit-linked insurance.Its return is uncertain for investment-oriented life insurance which has security and financing functions and it is difficult to collect its data. Thus,there are a few theoretical and empirical literatures which should be improved.In the past ten years,investment-oriented life insurance products have profoundly changed the pattern of life insurance industry. At present, the life insurance industry is facing a slowdown and regression protection products and many other issues.Therefore,it is of vital theoretical and realistic significance for study on demand for life insurance especially demand for the investment-oriented life insurance.
First, this paper defines the concept of demand for life insuranc and related concepts,then sort out the history of the development of investment-oriented life insurance,introduces the specific varieties and analyzes its characteristics.Based on overview of theory, this paper qualitatively analyzes the factors influencing the demand.For the theoretical model,according to the principle from simple to complex and portfolio perspective,we first set up continuous time model of protection-oriented life insurance.On this basis,we further assume that individuals purchases investment-oriented life insurance products which has the double functions of security and investment. We expand the base model to establish continuous-time model of investment-oriented life insurance for demand.
This paper does an empirical research on demand for China's life insurance based on theoretical analysis.Firstly, we construct a State Space Model of variable parameter with quarterly data from1999to2010to analyze the relationship among income,interest rate,inflation and life insurance demand.The objection of study is to understand changes of life insurance demand with the proportion rise of investment-oriented life insurance products.Then, Employing the investment-oriented life insurance premium data of35large and medium cities in China from2001～2010,it is applied to establish dynamic panel data model to test how factors influencing demand.
Based on these contents and consideration of research,the core innovation of the paper can be generalizes as follows:(1)we establie new theoretical model of demand for investment-oriented life insurance by constructing new double random process,solving simple and the result is simple,its economic significance is very clear;(2)we obtain "M-S theorem" in life insuance and found the formula of premium--net wealth to explain "the annuity puzzle" and firstly point out how consumption has effect on demand for life insurance by exploring economic significance of the solution; we derive "the separation theorem" between security-oriented life insurance and risk assets;(3) in this paper, the dynamic analysis results of demand for life insurance, its economic significance is more obvious, more close and the reality;(4)we firstly apply the state space model to empirically analyze the demand for life insurance in China so that we newly understood demand change with different economic environment;(5)we firstly apply dynamic panel data model to empirically analyze the demand for investment-oriented life insurance and examine the factors how affecting the investment-oriented life insurance.
Based on these studies, this paper draw conclusions as follows:(1)if premium is actuarially fair, security-oriented life insurance is perfect substitutes for net wealth, premium rate is to security-oriented life insurance marginal propensity to consume;(2) it has positive effect on demand for investment-oriented life insurance products for future income, risk aversion parameter,volatility of risk capital and yield of investment life insurance; its influence is negative for the default rate of investment-oriented life insurance, return of risk capital and discount factor; its influence is uncertain for individual current wealth and premium ratio; the consumption has important effect on demand of investment-oriented life insurance;(3)the empirical research based on the state space model show that influence is not always be same in different period for income, that the impact of interest rate on life insurance demand is related to the capital market development, that inflation has influence on life insurance demand, which will be correlative with the proportion of different life insurance;(4) the empirical study based on dynamic panel data model shows that the rapid growth of investment-oriented life insurance is mainly applied for a substantial increase in people's income, which is preserved to fight and hedge against inflation; The study finds that consumers pay more attention to investment function of investment-oriented life insurance in short term, and consider its security function, but effect of security function is not significant due to its investment function.
引文
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