《保险研究》20200205-《中国产险公司再保险决策的影响因素与调整机制研究——基于持续性与趋同性特征的分析》（刘玮、何青华）

［摘   要］本文以2006~2017年中国39家产险公司的非平衡面板数据为研究样本,从产险公司再保险决策的持续性和趋同性特征入手,测度了固定效应和传统因素对再保险决策的解释能力,并首次探析了产险公司再保险决策的调整机制问题。本文运用方差分解方法量化了固定效应和传统因素对再保险决策的解释能力；采用分布滞后模型估计了传统因素对再保险决策的中长期影响；运用局部调整模型识别了固定效应和传统因素对再保险决策的影响机制。研究发现:受公司固定效应的影响,产险公司的再保险决策具有很强的持续性,每年主要是根据年份固定效应所代表的监管政策等宏观因素的变化做出迅速调整,而根据反映公司经营特征的传统因素的时间序列变化所做出的调整并不明显。基于上述结果,本文建议监管者应注重提升监管政策的针对性,引导产险公司在综合考量各项经营指标的基础上，把再保险作为全面风险管理、经营效率提升的一项中长期战略安排。

［关键词］再保险决策；调整机制；固定效应；传统因素

［作者简介］刘玮,南开大学金融学院风险管理与保险学系教授,博士生导师,研究方向:财产与责任保险、保险法、灾害风险管理与巨灾保险等；何青华,南开大学金融学院风险管理与保险学系博士研究生,研究方向:再保险、灾害风险管理与巨灾保险。

A Study on Influencing Factors and Adjustment Mechanism for China′s Property Insurance Companies’ Reinsurance Decision-making—Based on a Perspective of Consistence and Convergence

LIU Wei,HE Qing-hua

Abstract：Based on the unbalanced panel data of 39 Chinese property insurance companies from 2006 to 2017,this paper measured the explanatory power of the fixed effects and traditional factors in explaining the reinsurance decision-making of property insurance companies,and explored the adjustment mechanism of their reinsurance decisions for the first time.This paper used the variance decomposition method to measure the explanatory power of the fixed effects and traditional factors in explaining property insurer′s reinsurance decision-making,employed the distributed lag model to estimate the medium and long term impact of traditional factors on reinsurance decisions,and applied the partial adjustment model to identify the influencing mechanism of the fixed effects and traditional factors on reinsurance decisions.It comes to the conclusions as follows:Influenced by the fixed effects,the reinsurance decisions of property insurance companies exhibit strongly consistence,and property insurance companies adjust the current reinsurance decision according to the changes of macro-factors such as regulatory policies represented by the current fixed effects rather than the time-series changes of traditional factors.Based on the above results,this paper suggests that regulators should improve the pertinence of regulatory policies and guide property insurers to take reinsurance as a medium and long-term strategic arrangement for comprehensive risk management and operational efficiency improvement based on comprehensive consideration of various operational indicators.

Key words：reinsurance decisions;adjustment mechanism;fixed effects;traditional factors