Economic Theory and Business Management
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WANG Lizhen1DU Xia2 #br#
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王丽珍1,杜霞2
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Abstract: The prevention and control of financial risk has been placed at a more prominent position at present. Preventing the risk of crossinfection and systemic risk is one of the most important tasks of the current insurance industry. The crisis signal of an insurance company may shake the confidence of consumers to a large extent, leading to a “flock effect” that causes the risk spillovers and make the insured surrender or no longer renew, which could eventually lead to systemic risk. In this paper, based on a micro perspective and D-D model, we take the insurance companies different levels of loss claims as a key variable to establish a closed insurance market model, to study the relationship between the surrender behavior and the risk contagion, and carries on the numerical simulation and the sensitivity analysis to the risk infectivity caused by the insured under different crises. The study found that there is a critical jump point when the insured faces a different degree of crisis in the insurance company, and the behavior of the insured has a certain degree of influence on the systemic risk transmission. The regulatory authorities and insurance companies need to pay attention to the contagion effects of systemic risk caused by expectations and behaviors of policyholders.
Key words: surrender risk , systemic risk , D-D model , contagion effects
摘要: The prevention and control of financial risk has been placed at a more prominent position at present. Preventing the risk of crossinfection and systemic risk is one of the most important tasks of the current insurance industry. The crisis signal of an insurance company may shake the confidence of consumers to a large extent, leading to a “flock effect” that causes the risk spillovers and make the insured surrender or no longer renew, which could eventually lead to systemic risk. In this paper, based on a micro perspective and D-D model, we take the insurance companies different levels of loss claims as a key variable to establish a closed insurance market model, to study the relationship between the surrender behavior and the risk contagion, and carries on the numerical simulation and the sensitivity analysis to the risk infectivity caused by the insured under different crises. The study found that there is a critical jump point when the insured faces a different degree of crisis in the insurance company, and the behavior of the insured has a certain degree of influence on the systemic risk transmission. The regulatory authorities and insurance companies need to pay attention to the contagion effects of systemic risk caused by expectations and behaviors of policyholders.
关键词: surrender risk , systemic risk , D-D model , contagion effects
WANG Lizhen1DU Xia2 . RESEARCH ON THE CONTAGION EFFECT OF SURRENDER RISK BASED ON D-D MODEL[J]. Economic Theory and Business Management.
王丽珍1,杜霞2. 基于D-D模型的退保风险传染效应研究*[J]. 经济理论与经济管理.
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URL: http://jjll.ruc.edu.cn/EN/
http://jjll.ruc.edu.cn/EN/Y2019/V39/I7/103