A Research on Systemic Risk in Insurance Market under Investment Uncertainty:A Risk Contagion Analysis Based on Mass Surrender Perspective
The negative impact of investment uncertainty on policyholder confidence can lead to the emergence and contagion of the insurers'mass surrender risk,and then trigger systemic risk to the entire market.Starting from the classical D-D model,this study establishes a risk contagion model based on the perspective of mass surrender in the insurance market composed of two in-surers with common risk exposure,and applies it to the actual Chinese life insurance market for numerical simulation and compar-ative static analysis,to investigate the causes and contagion mechanism of insurance market systemic risk under investment uncer-tainty.We find that under investment uncertainty,insurance market systemic risk first decreases and then increases with the in-crease in the size of risky assets,and decreases monotonically with the increase in the yield to maturity of risky assets.The in-crease in asset correlation among insurers,the compounding rate of policyholders'personal savings,the initial surrender rate of in-surers,and the increase in medium-term surrender value of policyholders committed to pay will increase insurance market systemic risk under investment uncertainty.The relevant conclusions reveal the trade-off results between the insurer's return and risk,and the policyholder's immediate utility and long-term utility,and provide theoretical reference for the policyholder's rational deci-sion-making,the insurer's asset allocation,and the insurance market's systemic risk prevention.
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