《保险研究》20200203-《地理分散化降低了多少保险经营风险？》（杨波、吴婷）

［摘   要］本文定量分析了地理分散化对中国保险公司经营风险的影响。收集我国1998～2017年间各省市区的财产保险业和人身保险业的收入和支出数据,基于投资组合原理,比较了三种地理布局战略下保险公司的赔付风险。研究发现:无论是财产保险业还是人身保险业,各省区市之间赔付风险的差异性较大,在华北、东北、华东、中南、西南和西北这六大区域内部经营并不能显著地分散风险,但扩大到全国范围内经营,便能够较好地分散风险。进一步,采用Bootstrap随机模拟方法分析发现:财产保险公司在约10个省区市经营能够分散掉约80%的赔付风险,而人身保险公司在约5个省区市经营能够分散掉约40%的赔付风险。鉴于财产保险公司经营的各条产品线之间的风险差别较大,本文还发现:农业保险的地理分散化效果最强,短期健康险的地理分散化效果最弱。研究结果既支持保险公司跨地域经营以降低风险,也为监管资本设计中考虑地理分散化效应提供了经验证据。

［关键词］保险公司；地理；分散化；风险；业务组合

［基金项目］本文获得国家社会科学基金青年项目(18CJY063)的资金资助。

［作者简介］杨波,中山大学岭南(大学)学院博士后；吴婷(通讯作者),上海财经大学金融学院博士研究生。

How Much Insurance Risk Does Geographic Diversification Reduce?

YANG Bo,WU Ting

Abstract：This paper quantitatively analyzed the impact of geographic diversification on the operational risk of insurance companies in China.The paper collected the income and expenditure data of the property insurance industry and the life insurance industry in China from 1998 to 2017.Based on the portfolio theory,it compared the insurance company′s claims payment risk under three geographical distribution strategies.The study finds that there are significant differences in the claims payment risk among provinces,regions and cities for both property insurance and life insurance.Operation within the six regions of North China,Northeast,East China,Central South,Southwest and Northwest cannot significantly disperse the risk,but the risk can be better dispersed if the operation is extended nationwide.Further using the Bootstrap stochastic simulation method finds that property insurance companies can disperse about 80% of the claims payment risk if it operates in about 10 provinces and municipalities,while life insurance companies can disperse about 40% of the risk if it operates in about 5 provinces and municipalities.In view of the great differences in risks among the product lines run by property insurance companies,this paper also finds that the geographic decentralization effect of agricultural insurance is the strongest,and it is the weakest for short-term health insurance.This study not only supports the cross-regional operation of insurance companies to reduce risks,but also provides empirical evidences for considering the geographic decentralization effect in regulatory capital design.

Key words：insurance company;geography;diversification;risk;business portfolio