Abstract: For the past years, with the outbreak of the new crown epidemic and frequent natural disasters, the insurance industry is constantly facing new challenges, and the systemic risk of insurance has become the focus of attention from all walks of life. Faced with the realistic characteristics of our country’s natural disasters such as wide distribution, high frequency, and huge losses, the “14th Five-Year Plan” clearly emphasizes the importance and necessity of enhancing the security of economic and social development, which is one of the important goals of social development. As an important tool to disperse major disaster risks, insurance is an indispensable means to enhance the anti-risk resilience of economic and social development. It is of great significance for the stable development of my country’s economy and society to ensure that the insurance company’s solvency is sufficient under the impact of major disasters, and to continue to play the buffer role of the insurance mechanism under the loss of natural disasters.
This paper takes the external shocks of the insurance industry as the starting point, and establishes an insurance systemic risk evolution model based on the dual shocks of major disasters and asset sell-offs. In order to ensure that the simulation results conform to the development status of ourcountry’s insurance industry, the information disclosure report data of property insurance companies and reinsurance companies in the Chinese insurance market from 2009 to 2020 are used as the basic data, and the RAS algorithm based on the minimum cross-entropy principle is used. The insurance company’s reinsurance preference matrix constructs the reinsurance business transfer network to measure the compensation loss of the insurance business under the impact of different major disasters. Considering the intervention of the insurance protection fund, we further study the impact of major disasters and sell-off behaviors on the changes in insurance systemic risks, and analyze the response effects under pre-event and post-event response measures.
The results show that among the direct related networks of insurance companies, larger-scale insurance companies and reinsurance companies are systemically important, and both “entry and exit” and “betweenness centrality” rank high in the insurance industry. At the same time, systemically important reinsurance and direct insurance companies have better performance in risk simulation contagion, and the risk of bankruptcy is relatively small, but once bankruptcy occurs, it will have a huge impact on the systemic risk of insurance. Under the double impact of reinsurance business and asset sell-off, insurance companies have experienced systemic risks due to a large number of bankruptcies, which proves that the insurance industry will trigger a systemic crisis due to risk contagion caused by external shocks. Among them, small-scale insurance companies are more vulnerable to systemic shocks, and the bankruptcy of large-scale insurance companies will cause greater systemic losses. Asset selling behaviors have increased the exposure of insurance companies to systemic risks. By comparing different coping strategies under the impact of major disasters, it is found that the way of direct government injection and assistance after the event is the most effective, which can produce synergistic effects with the insurance protection fund and resolve systemic insurance risks. Among the countermeasures in advance, the effect of business structure adjustment is more prominent, while the effects of reinsurance business adjustment and investment structure adjustment are less effective. It is difficult for the latter two countermeasures to play a strong role when implemented alone. Multiple measures should be taken to make full use of the regulatory system to prevent insurance systematic risk.
On the whole, in order to prevent the impact of major disasters on the insurance systemic risk, the regulatory requirements for the minimum risk capital of catastrophe should be increased in the “Second Generation” regulatory system, and the insurance company’s ability to pay for major disaster losses should be improved. We should reduce the possibility of insurance systemic risks. At the same time, vigorously developing insurance protection funds and increasing the stock size of fund reserves can directly reduce the level of insurance systemic risk. Further, a catastrophe insurance system should be established quickly, and supporting measures for catastrophe insurance should be improved, such as the popularization of catastrophe bonds and the standardized process of government assistance, to reduce the impact of major disasters on insurance companies, and to use strong intervention from external means. we should avoid the outbreak of internal risks of insurance companies, so as to gradually achieve a large proportion of major disaster loss compensation coverage, and protect the property safety of corporate residents.

Key words: impact of major disaster, asset sell-off, risk contagion, systemic risk, simulation

摘要： 本文以保险业遭受外部冲击为研究起点,建立了基于重大灾害与资产抛售双重冲击下的保险系统性风险演化模型。通过分保偏好矩阵构建保险公司分保业务转移网络,测度不同重大灾害冲击下的保险业务赔付损失,在考虑保险保障基金的介入下进一步研究重大灾害与抛售行为对保险系统性风险变化的影响,并分析事前与事后应对措施下的对策效果。研究发现,大型直接保险公司与再保险公司在分保网络中具有系统重要性;保险公司在双重冲击下因破产数量较多而出现系统性风险,证实了保险业会因外部冲击造成的风险传染而产生系统性危机。其中,小型保险公司更具系统脆弱性,大型保险公司破产造成的系统性损失更大,资产抛售行为对系统性风险存在激化作用。进一步研究发现,政府救助能够有效化解保险系统性风险,业务结构调整一定程度上可以减少赔付损失,分保业务调整与资本结构调整效果较差。

关键词: 重大灾害冲击, 资产抛售, 风险传染, 系统性风险, 模拟