《保险研究》20210605-《低利率背景下寿险投资与风险的门槛效应研究》（王桂虎、郭金龙、李腾）

［摘   要］在低利率背景下,寿险公司的投资运用可能面临一定的风险。本文首先介绍了OECD国家低利率背景下寿险投资与风险的现状,并在理论分析方面对Merton(1970)的模型进行了适当改进。接下来,本文选取OECD国家中45家寿险公司的数据,使用面板门槛模型、固定效应模型和系统GMM模型进行回归检验。为了分析内生性问题,本文借鉴Sueyoul和Young-Joo(2019)的做法,使用动态面板门槛模型进行实证检验。实证结果表明:实际利率和寿险公司的综合风险之间呈现出显著负相关关系；寿险投资和其综合风险之间的关系存在双重门槛值,在rate=4.02%时二者关系出现了拐点,在rate=2.75%时反映二者关系的方程中的斜率或截距也发生了变化。

［关键词］低利率；寿险投资；门槛效应

［基金项目］本文得到国家社科基金重大专项项目(18VDL018)、全国统计科学研究项目(2019LY08)和2020年度河南科技智库调研课题(HNKJZK-2020-08B)的资助。

［作者简介］王桂虎,郑州航空工业管理学院宏观金融与保险研究所所长、副教授、硕士生导师,中国社会科学院金融研究所副研究员,研究方向:金融、保险与宏观经济；郭金龙,中国社科院金融研究所研究员、教授、博导,中国保险与经济发展研究中心主任,研究方向:金融与保险；李腾,上海财经大学金融学院博士生,研究方向:风险管理与保险。

A Research on the Threshold Effect of Life Insurance Investment and Risk under the Background of Low Interest Rate

WANG Gui-hu,GUO Jin-long,LI Teng

Abstract：Abstract:Under the background of low interest rate,the investment of life insurance companies may face certain risks.Firstly,this paper introduced the current situations of life insurance investments and risks under the background of low interest rate in OECD countries,and improved the Merton (1970) model in theoretical analysis.Next,this paper selected the data of 45 life insurance companies in OECD countries and used the panel threshold model,fixed effect model and System GMM model to test the regression.In order to analyze the endogeneity problem,this paper used Sueyoul and Young-Joo method (2019) for reference and used dynamic panel threshold model for empirical testing.The empirical results show that there is a significant negative correlation between the real interest rate and the comprehensive risk of life insurance companies;there is also a double threshold between the life insurance investment and its comprehensive risk.When the rate is 4.02%,there is a turning point in the relationship between the two,and when the rate is 2.75%,the slope or intercept in the equation reflecting the relationship between the two also changes.

Key words：Key words:low interest rate;life insurance investment;threshold effect