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typora-copy-images-to: Risk Management and Financial Institution
文章目录
- typora-copy-images-to: Risk Management and Financial Institution
- Risk Management and Financial Institution Chapter 3 —— Insurance Companies and Pension Plans
- 3.1 Life Insurance
- 3.1.1 Term Life Insurance 时限,存续期间
- 3.1.2 Whole Life Insurance 永久寿险
- 3.1.3 Variable Life Insurance 变额寿险
- 3.1.4 Universal Life
- 3.1.5 VUL 万能变额寿险
- 3.1.6 Endowment Life Insurance
- 3.1.7 Group Life Insurance 团体寿险
- 3.2 Annuity Contracts 年金
- 3.3 死亡率表
- 3.4 Longevity and Mortality Risk 长寿风险与死亡风险
- 3.4.1 长寿衍生品
- 3.5 Property- Casualty Insuranse 财产险与伤害险
- 3.5.1 CAT Bond 巨灾债券
- 3.5.2 Ratios 财产伤害保险公司的盈亏比率
- 3.6 Health Insurance 健康保险
- 3.7 Moral Hazard and Adverse Selection 道德风险和逆向选择
- 3.7.1 Moral Hazard
- 3.7.2 Adverse Selection 逆向选择
- 3.8 Reinsurance
- 3.9 Capital Requirements
- 3.9.1 Life Insurance Company
- 3.9.2 Property Insurance Companies
- 3.10 The Risks Facing Insurance Companies
- 3.11 Regulation
- 3.11.1 美国
- 3.11.2 Europe
- 3.12 Pension Plans
- 3.12.1 Are Defined Benefit plans viable
- Summary
Risk Management and Financial Institution Chapter 3 —— Insurance Companies and Pension Plans
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Individual seeking protection is referred to as the policyholder
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保险分类:
- 寿险
- 非寿险(财产险)
- 健康险
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A pension plan is a form of insurance arranged by a company for its employees
3.1 Life Insurance
- Life insurance is used to describe a contract where the event being insured against may never happen
3.1.1 Term Life Insurance 时限,存续期间
- The face amount of the policy typically stays the same or declines with the passage of time
- 人们购买定期寿险有时是因为按揭
3.1.2 Whole Life Insurance 永久寿险
- in the case of whole life insurance, a payout is certain to happen
- The only uncertainty is when the payout will occur
- Whole life insurance requires higher premiums
- 保单也可以被投资,投资者收购保单,支付保费,在被保人去世后收回面值
- 保险有税收优惠,保险收益人获得的资产是免个人所得税的
3.1.3 Variable Life Insurance 变额寿险
- 保险人可以事先对surplus premiums 选择投资的基金,可以是股票、债券、货币市场
- minimum guaranteed payout on death is usually specified
- 盈余保费由投保人进行投资
- 保险人可以随时更换基金
3.1.4 Universal Life
- The policyholder can reduce the premium down to a specified minimum without the policy lapsing 降低保费水平,但不会使保单失效
- 盈余保费由保险公司投资
- 投保人可以选择固收,由保险公司提供最低回报率
- 投保可以选择投资回报高于最低收益时,选择高回报
- 前者方式的保费更低
3.1.5 VUL 万能变额寿险
- 上述两种寿险特点的混合 VL and UL
- 投保人选择投资的产品方向
- 保险公司提供最低的赔偿额以及最低回报率
- 投资回报用于支付保费
3.1.6 Endowment Life Insurance
- 触发方式有两种,一种是到期,一种是死亡、重病有时也是触发方式
- 分类:
- with- profits endowment life insurance policy,取决于保险公司的投资表现
- unit-linked endowment,取决于投保人选择的基金表现
- pure endowment 保险期到时,投保人需要健在
3.1.7 Group Life Insurance 团体寿险
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多人一保单
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分类:
- contributory 参与型,雇主雇员同时支付保费
- noncontributory 非参与型,雇主支付保费
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There are economies of scale in group life insurance 团体寿险有经济规模效应
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销售管理费用很低
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买入寿险需要进行医疗检测,团体寿险不用
3.2 Annuity Contracts 年金
- 与寿险相反,将一大笔钱变成固定支付
- 支付,到一定日期开始固定支付,直到死亡,有的年金从全额支付后直接开始
- 有税收延迟优惠
- 提前撤回会有penalties,the surrender value of an annuity contract is typically less than the accumulation value
- 无罚款取款政策,一年内固定比例
- 投保人在年金支付前死亡或全职养老院的,则可无惩罚全额支取
- 一些递延年金合约中含有期权,累计价值跟踪股指,最低累进额以及最高累进额都进行设定,最高最低值保险公司可以设定,投保人不可以得到股票的分红
3.3 死亡率表
- 前10年死亡率递减,然后逐年上升
- break-even 保费的计算
- 保费的贴现与预期赔付贴现相一致
- 计算中利用死亡表中的概率
3.4 Longevity and Mortality Risk 长寿风险与死亡风险
- Longevity affect the profitability of most types of annuity contracts,but increase the profitability of most life insurance contracts
- Moritality risk 与长寿风险相反的作用,注意:需要考虑一个特定事件对于社会哪个年龄组合的影响最大
- 精算师必须评估保险公司的风险净头寸,在不同的情景之下,如果头寸过大,就需要再保险来减小风险
3.4.1 长寿衍生品
- 对年金合约的担心,典型的合约是长寿债券或生存者债券,是一种对冲工具,对因投保人预期寿命的延长所触发的增长提供补偿
- 这些衍生品的卖出方为投机者,理由是他们觉得这些债券没有系统性风险
3.5 Property- Casualty Insuranse 财产险与伤害险
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财产险保护财产损失
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伤害险是对第三方伤害的赔偿,伤害险更贴切地可以形容成责任险
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财产伤害险每年更新,保费也随着预期赔付的变更而变更
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财产伤害险的保险公司有自然风险分散效应,因为业务广泛
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自然灾害造成的损失难以估计,such as hurricane
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catastrophic risks,此类保险的投保人并不独立
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利用模型评估灾难风险并不改变“all‐or‐nothing” nature of these risks for insurance companies
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责任险,赔付量难以估计
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A feature of liability insurance is what is known as long‐tail risk,长尾风险,长尾风险意味着投保期后,索赔在若干年后出现
3.5.1 CAT Bond 巨灾债券
- 保险公司子公司发行,券息很高的债券,购买人需要承诺cover payouts on a particular type of catastrophic risk
- 根据条款约定,利息及本金都可以用于赔付
- 可以根据赔付损失额度进行分层
- 巨灾债券的特性在于,有很大概率可以获得高券息
- 没有系统性风险是其特性,是一个很好的投资组合部分
3.5.2 Ratios 财产伤害保险公司的盈亏比率
- loss ratio = payout / premiums about 60% to 80%
- expense ratio = expense / premiums about 25% to 30%,倾向于递减
- expense include loss adjustment expense 理赔费用,为了确认索赔是否合法以及确定赔偿数额
- selling expenses 销售费用
- combined ratio is the sum of the loss ratio and the expense ratio
- combined ratio after dividends = combined ratio + dividends
- operating ratio = combined ratio after dividends -
3.6 Health Insurance 健康保险
- 健康险有一部分的财产保险特性,也有一部分的寿险特征
- health insurance, as in other forms of insurance, the policyholder makes regular premium payments and payouts are triggered by events
- In the case of health insurance, legislation sometimes determines the circumstances under which insurance can be refused健康险的不可拒绝性
- The cost of the health insurance is sometimes split between the employer and employee
3.7 Moral Hazard and Adverse Selection 道德风险和逆向选择
- two key risks facing insurance companies:
- moral hazard
- adverse selection
3.7.1 Moral Hazard
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Moral hazard is the risk that the existence of insurance will cause the policyholder to behave differently than he or she would without the insurance,有无保险投保人的行为不同
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寿险中道德风险并不太重要,应对道德风险的方法:
- deductible 免赔额
- co-insurance 共赔
- 赔偿上限
3.7.2 Adverse Selection 逆向选择
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Adverse selection is the phrase used to describe the problems an insurance company has when it cannot distinguish between good and bad risks
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an insurance company tries to find out as much as possible about the policyholder before committing itself
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逆向选择不可避免
3.8 Reinsurance
- Insurance company can protect itself against large losses by entering into contracts with other insurance company.
- 两种reinsurance的方式:
- 按比例购买对冲合约,pro rata basis
- 减低再保险的保费,额外损失层,excess cost layers,
3.9 Capital Requirements
- 寿险与财产责任险类型保险公司的资产负债表不同,资金留存于风险承担都不同
3.9.1 Life Insurance Company
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The insurance company tries to match the maturity of its assets with the maturity of liabilities
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default rate on the bonds may be higher
- 80%的损失储备金可能不够,equity成为了缓冲
3.9.2 Property Insurance Companies
- equity is much higher,because of the risks taken by the two sorts of insurance companies.
- 这个类型的保险公司所持有的债券相对而言期限比较短
- 因为赔偿难以预测
3.10 The Risks Facing Insurance Companies
- The most obvious risk for an insurance company is that the policy reserves are not sufficient to meet the claims of policyholders
- performance of their investment
- liquidity risks
- reinsurance credit risk
- business risks
- operational risks
- regulators specify minimum capital requirement for a insurance company
3.11 Regulation
- 美国和欧洲有区别
3.11.1 美国
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以州为单位,而非联邦为单位自行管理,银行以联邦为单位
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行业规范也是有效力的
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NAIC是官方的监管机构,美国保险监督官协会,为州委员会提供服务,提供数据
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保险公司被要求提供财务报告,定期现场检查
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资本金标准取决于:
- 风险水平,是否赔偿储备金不足
- 交易对手违约风险
- 投资表现低于预期
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保险属于一方有难,八方必须支援
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银行有永久基金,保险没有,除了纽约州
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大型的保险公司必须面对不同州的保险规定,一些保险公司可以交易衍生品,例如次贷危机时的AIG公司
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多得弗兰克法案规定设立了联邦保险办公室,为了监管保险行业,洞悉监管漏洞,与欧洲等一同制定新监管要求,可能会将保险纳入联邦监管系统
3.11.2 Europe
- regulated centrally, Solvency I,investment risks are not explicitly consideredby Solvency
- 2016 Solvency II is being implemented
3.12 Pension Plans
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pension fund therefore involves the creation of a lifetime annuity from regular contributions and has similarities to some of the products offered by life insurance companies
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两个品种:
- defined benefit 固定收益计划,有一个所有退休人员的池子
- defined contribution 固定供款计划,有一个投资账户,可以选择投资种类
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重要特性:税收延迟
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contribution 对雇主无风险,benefit有非常大风险
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计算固定收益计划养老金的现值重要一点是选择贴现率
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一般来说贴现率使用的是养老金资产的平均回报率作为贴现利率
3.12.1 Are Defined Benefit plans viable
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典型的养老金投资组合为60%股票以及40%的债券
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company’s shareholders who bear the cost of underfunding in defined benefit plans
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延时退休对养老金计划又好处
Summary
- 三种保险的分类及定义特征
- 保险风险两种
- 养老金计划种类
- 保险监管——美国与欧洲
本文标签: FinancialInstitutionRISKManagementChapter
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