寿险需求的理论模型与实证研究

发布时间：2018-04-13 14:41

本文选题：寿险需求 + 投资型寿险　；参考：《中南大学》2013年博士论文

【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。
[Abstract]:The demand of life insurance is an important problem of theory and Practice Research on the management of insurance. One of the distinctive features of modern life insurance industry is the investment to occupy the absolute position, therefore, the past that to protect the type of product as the research object, the demand of life insurance theory need timely improvement. This paper focuses on the research of life insurance demand, especially investment life insurance as the research the key, in order to understand the law of demand. The investment life insurance investment oriented life insurance refers to insurance products will guarantee the function and the function of the combination of the use of funds, can give investors uncertain income, including red insurance, universal insurance and investment linked insurance. Because the investment life insurance also has safeguard and investment functions, the income is uncertain and difficult to collect relevant data, so the theoretical and empirical literature the demand for life insurance investment type scarce, individual literature remains to be perfect. Nearly ten For years, investment type insurance products has profoundly changed the pattern of the life insurance industry. At present, the life insurance industry is facing many problems, as well as the slowdown in the return of security products etc. Therefore, the demand for life insurance research especially has important theoretical and practical significance of investment life insurance demand.
This paper firstly defines the demand for life insurance and the related concept, development history of investment life insurance, introduces the specific varieties, analysis of its characteristics; and then summarizes the demand of life insurance theory, on this basis, make a qualitative analysis on the influencing factors of life insurance demand. Then establish the theoretical model of the theoretical model for the study of life insurance demand. In this paper, follow the principle of from simplicity to complexity, from the perspective of financial asset portfolio, in the framework of continuous time model, the basic model to first establish a life insurance protection, and then on this basis, further assumption that individuals are buying investment life insurance, the basic model is extended to the continuous time model of life insurance investment demand type.
On the basis of theoretical analysis, this paper makes an empirical study of life insurance demand in China. Firstly, establish the state space model of variable parameters, using quarterly data for 1999-2010 years, the main economic impact on life insurance demand factors, such as income, the relationship between interest rates and inflation and the total demand of life insurance, empirical research, in order to understand the investment type insurance proportion rising, the change of life insurance demand. Then, the investment life insurance premium data of 35 large and medium-sized city for 2001-2010 years. The empirical test on the relationship between the life insurance demand factors affecting the investment of life insurance demand and investment type to establish dynamic panel model.
The above ideas and research based on the content, the innovation of this paper are: (1) on the basis of existing literature, constructed two new stochastic process, establishes the theoretical model of investment life insurance demand of the new model, the solution is simple, the result is simple, its economic significance ten obvious; (2) this paper mining economic significance of the explicit solution, the life insurance "Mawson" theorem, found the net wealth premium formula, and use it to explain the "annuity puzzle"; at the same time, for the first time that how to affect the consumer demand for life insurance, the life insurance protection and risk assets "separation theorem"; (3) simulation in this paper, the dynamic analysis results of life insurance demand, the economic significance is more obvious, and more close to reality; (4) for the first time using the state space model empirical analysis on life insurance demand in China, the different economic environment changes, people have new demand for life insurance (5) for the first time, the dynamic panel data model is applied to analyze the demand of investment life insurance. The factors that affect the investment life insurance are tested, and the understanding of the actual development of investment life insurance is increased.
Based on the above research, the main conclusions of this paper are as follows: (1) in the premium actuarial fairness in the case of life insurance protection is completely substitute for net wealth, the premium rate is the guarantee of life insurance marginal consumption tendency; (2) the expected income, the rate of return on investment life insurance, stock volatility, demand risk aversion the parameters and mortality on the investment is positive, the default rate of investment type insurance, stock returns, affect the demand of life insurance investment type of time discount factor is negative, and the premium rate of existing wealth effect on life insurance investment type of demand is not clear, has an important influence on consumption investment life insurance demand; (3 An Empirical Study of) the state space model of use shows that income on life insurance demand in different period of influence is not the same, the development of interest rate impact on life insurance and capital market related to the impact of inflation on life insurance demand and life A life insurance and investment type insurance proportion. (4) an empirical study using dynamic panel data model show that the income of residents increased, for the fight against inflation, the value of the assets obtained and the purchase of investment life insurance is the main reason for the rapid growth of the stock; has strong substitution effect on the demand of life insurance investment in the short term; consumers pay more attention to investment oriented life insurance investment function, long term consumers will take into account the security function, but because of its investment function is strong, security function is not significant.

【学位授予单位】：中南大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F224;F840.62

【参考文献】