《保险研究》20190305-《基于复杂网络的再保险市场系统性风险研究》（牛晓健、吴新梅）

［摘   要］近年来我国保险业快速发展,部分规模较大、复杂度较高的保险机构因与其他保险机构关联度高而居于再保险网络的核心,决定了再保险市场的系统性风险传播机制,对我国金融体系整体稳健性以及服务实体经济的能力具有重要影响,为此,迫切需要对系统重要性保险机构和保险业系统性风险进行识别判断。本文将再保险市场统计意义上的结论运用到风险传染动力学模型的构建中,使校准后的模型更贴近实际,研究了再保险国际化比率、破产阈值、紧急折价抛售系数、保险赔付占保险损失比率等因素对再保险市场稳健性的影响。运用最大熵理论解决了再保险交易对手方的信息不完全问题,寻求再保险转移矩阵和我国保险业发生系统性风险时总赔付额的临界点,研究发现我国的再保险复杂网络中有可能存在再保险旋涡,部分资金规模庞大且偿付能力充足的保险公司广泛进行再保险业务,导致风险集聚,但发生再保险旋涡的概率极其低,再保险复杂网络整体上十分稳健。论文探索了再保险市场的风险传播机制,论证了“联系太紧密而不能倒”的保险机构相比于“太大而不能倒”的保险机构,一旦倒闭对再保险市场稳健性的影响更大,为识别系统重要性保险机构,及早发现并防范保险业系统性风险提供了新的方法和思路。

［关键词］中国再保险业；系统性风险；复杂网络；风险传染

［基金项目］本文获国家自然科学基金面上项目“流动性压力、信息交互与价格联动——基于中国股票和债券市场多层复杂网络的风险交叉传播机制与控制修复策略研究”(项目编号：71873039,71573051)、上海市“曙光计划”项目(项目编号：11SG09)、上海高等学校创新能力提升计划竞争性引导项目“上海国际型大都市建设的综合改革方案设计”、复旦大学中央高校基本科研业务费支持。

［作者简介］牛晓健,复旦大学经济学院教授,博士研究生导师；吴新梅,复旦大学经济学院硕士研究生。

A Study on Systemic Risk of Reinsurance Market based on the Complex Network Theory

NIU Xiao-jian,WU Xin-mei

Abstract：Along with the rapid development of the insurance industry in China,some large and complex insurers stand at the core of the reinsurance network due to its interconnectedness with other insurers,thus determine the systemic risk transmission mechanism of the reinsurance market,and in turn,pose a significant impact on China's overall financial stability insurance market.Therefore it is an imminent task to identify systemically important insurance companies and systemic risks of the insurance industry.This paper applied statistical conclusions of the reinsurance market into the risk contagion dynamics model,making the calibrated model closer to reality.It also studied the impacts on reinsurance market robustness of factors such as reinsurance internationalization ratio,bankruptcy threshold value,emergency discount sale factor,and ratio of insurance claims payment in losses.It used the maximum entropy theory to solve the problem of incomplete information about the insurance counterparty,trying to locate the critical point between reinsurance transmission matrix and total insurance claims payment at eruption of systemic risk.The study revealed that there might exist reinsurance whirlpool in the complex reinsurance network,namely,some insurers with abundant capital and strong solvency might cause risk congregation when they carried out reinsurance transactions on a wide scale.But the probability of reinsurance whirlpool was quite low and the complex reinsurance network was sturdy on the whole. This paper reviewed the risk transmission mechanism on the reinsurance market,and elaborated on the fact that insurance institutions “being too closely linked to be bankrupt” had a larger impact on the health of the reinsurance market than those insurance institutions “being too large to be bankrupt” if they closed down.It offered a new method and thought on how to identify systemically important insurance companies and guard against systemic risks of the insurance industry.

Key words：reinsurance market in China;systemic risk;complex network;risk contagions