《保险研究》20191007-《我国万能险产品可持续发展的最优保证利率研究》（周县华、范庆泉、覃家明）

［摘   要］自2000年以来,中国万能险产品得到了迅速发展。随着万宝之争等资产负债久期错配等问题的显现,万能险产品越来越受到监管部门和市场的质疑。本文从中国和美国万能险产品设计角度,比较研究中美万能险产品的典型差异,寻找中国万能险产生问题的根源。在万能险产品的保证利率设定方面,中国设定利率要显著高于美国。使用一个考虑到了利益相关方风险的模型框架,在完全竞争市场以及破产概率的双重约束下,分析保证利率对保险公司初始资本投入和资产配置的影响,并引入保单持有人的效用函数,对不同风险厌恶程度的保单持有人进行分析,探讨保证利率的最优水平。研究发现,中国市场上的万能险保证利率偏高,提高了保险公司的经营成本,促使保险公司使用更为激进的投资策略,增大风险资产的投资比例,成为现阶段万能险问题的重要因素。

［关键词］万能险；最低保证利率；风险保障；资产配置

［作者简介］周县华,中央财经大学中国精算研究院教授,E-mail:zhouxh@cufe-ins.sinanet.com；范庆泉(通讯作者),首都经济贸易大学财政税务学院副教授,E-mail:fanqingquan@163.com；覃家明,中央财经大学中国精算研究院硕士研究生,E-mail:qjm11242125@126.com。

The Optimal Guaranteed Interest Rate for Sustainable Development of China's Universal Life Insurance

ZHOU Xian-hua,FAN Qing-quan,TAN Jia-ming

Abstract：Ever since the year of 2000,universal life insurance has seen rapid development in China.However,the duration mismatch of assets and liabilities brought into the limelight by the Baoneng-Vanke dispute has led to questioning on universal insurance product from the regulator and the market.The paper compared differences between the product designs of universal insurance in China and the United Sates,aiming to uncover the cause of the universal insurance problem in China.In general,the guaranteed interest rate is higher in Chinese market at present.For exploring on the optimal guaranteed interest rate,the paper adopted a model framework that had considered risks of various stakeholders under the dual constraints of full market competition and bankruptcy probability for analyzing the impacts of guaranteed interest rate on insurers’ initial capital input and asset allocation,and applied the utility function of policyholders to analyze policyholders with different risk aversion levels.The research shows that universal insurance in Chinese market has a higher guaranteed interest rate,which lifts the operating cost of insurance companies,urges insurers to adopt more aggressive investment strategies,and increases the investment proportion of risky assets.The high guaranteed interest rate,therefore,is the significant reason for the chaotic phenomena of universal life insurance in Chinese insurance market.

Key words：universal insurance;minimum guaranteed interest rate;protection against risks;asset allocation