| The outbreak of the international financial crisis and the European sovereign debt crisis have made global regulators realize that micro-prudential supervision focusing on the risks of a single economic individual can no longer adapt to the current economic environment,and we should shift to macro-prudential supervision with systemic risk as the core.In particular,AIG,the largest insurance group in the United States,was on the verge of bankruptcy in financial crisis,which changed people's perception that insurance companies would not have systemic risks and began to reflect on the impact of non-traditional insurance business on insurance systemic risks.In recent years,with the liberalization of insurance investment channels and the marketization of premium rate,investment-type life insurance products have developed rapidly in China,which has certain impact on the risk management of insurance companies and the stability of the insurance system.Then,it is of great practical significance to explore the impact of investmenttype life insurance business on the insurance systemic risks.This paper first defines the investment-type life insurance products and systemic risk,and then analyzes the possibility of investment-type life insurance business causing systemic risk from the scale,relevance,substitution and timeliness of systemic risk definition.The mechanism of the impact of investment-type life insurance on the risk spillover of insurance institutions is reorganized.Then,in consideration of the current situation of insurance industry and the availability of data,the stock return rate of four listed insurance companies in China was selected as the research object.The CoVaR model and quantile regression were used to measure static systemic risk of insurance companies in China.Based on the results,the investment-type life insurance business is roughly analyzed as the influencing factor of systemic risk,and other influencing factors affecting systemic risk are also explored.In addition,in order to further verify whether investment-type life insurance is an inducer of systemic risk,the GARCH model is used to measure dynamic systemic risk.Finally,taking the quarterly data of China's listed insurance companies from 2013 to 2018 as a sample,the dynamic systemic risk is taken as the dependent variable,and the proportion of universal insurance and investment-linked life insurance premium income is used as an independent variable,furthermore,VaR,solvency margin ratio,state-owned shareholding ratio,size and return on assets were used as control variables for panel regression analysis.The study concluded that at this stage,the proportion of investment-type life insurance business of insurance companies has a significant positive impact on the systemic risk spillover of the insurance industry.Based on the above research results,this paper puts forward substantive opinions and suggestions on the development of investment-type life insurance business and the prevention of systemic risks in the insurance industry from the perspective of internal risk management and external prevention supervision. |
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