宏观环境、投资策略与我国寿险公司风险研究
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引用本文:李志辉1,杨 旭1,郭 娜2.宏观环境、投资策略与我国寿险公司风险研究[J].湖南大学学报社会科学版,2019,(4):35-44
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李志辉1,杨 旭1,郭 娜2 (1.南开大学 经济学院天津 3000712.天津财经大学 金融学院天津 300222) 
中文摘要:近年来,我国寿险公司的投资自主权不断扩大,随着“偿二代”等政策相继出台,保险资金运用风险成为监管者重点关注的问题。有鉴于此,本文构建基准模型,针对我国寿险公司投资策略对公司风险产生的影响进行分析,并进一步构建嵌套模型来分析宏观环境对投资策略风险效应的间接影响。实证研究发现不同的投资策略对公司风险的影响存在显著差异,同时,这种投资策略的风险效应会受到宏观经济环境的影响。研究结论认为,国内生产总值上升会降低已有的风险水平,利率水平上升会在增加寿险公司偿付水平的同时增加公司经营风险。本文研究对经济新常态下我国寿险公司投资策略选择和安全经营具有政策启示。
中文关键词:宏观环境  投资策略  寿险公司风险  嵌套模型
 
Macro Environment, Investment Strategy and Life Insurance Companies Risk in China
Abstract:In recent years, the investment business in China's life insurance companies has been developing rapidly. The insurance investment risk has become an important problem for the government. For these reasons, this paper constructs a benchmark model and a nested model to reflect the investment strategy regarding the risk of life insurance company so that we can analyze the impact of the investment strategy selection to management risk by macroeconomic factors. Through an empirical study, we found that the impact of different investment businesses on corporate risks is significantly different. At the same time, the risk effect of this investment strategy will be affected by the macroeconomic environment. The increase of GDP will reduce the existing risk level, and the increase of interest rate will increase the solvency level of life insurance companies and the company's business risk. The conclusions of this paper could provide policy implications for the investment strategy selection and safe operation of life insurance companies in China under the new normal economy.
keywords:macro environment  investment strategy  life insurance companies risk  nested model
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