Risk Management and Financial Institution Chapter 3 —— Insurance Companies and Pension Plans

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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

• 保险分类：

  • 寿险
  • 非寿险（财产险）
  • 健康险

• 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

• 多人一保单

• 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

• There are economies of scale in group life insurance 团体寿险有经济规模效应

• 销售管理费用很低

• 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

• 财产险保护财产损失

• 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

• 财产伤害险每年更新，保费也随着预期赔付的变更而变更

• 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

• 自然灾害造成的损失难以估计，such as hurricane

• catastrophic risks，此类保险的投保人并不独立

• 利用模型评估灾难风险并不改变“all‐or‐nothing” nature of these risks for insurance companies

• 责任险，赔付量难以估计

• 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

• 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

• 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

• Adverse selection is the phrase used to describe the problems an insurance company has when it cannot distinguish between good and bad risks

• an insurance company tries to find out as much as possible about the policyholder before committing itself

• 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

• The insurance company tries to match the maturity of its assets with the maturity of liabilities

• 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

• 以州为单位，而非联邦为单位自行管理，银行以联邦为单位

• 行业规范也是有效力的

• 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

• 保险公司被要求提供财务报告，定期现场检查

• 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

• 保险属于一方有难，八方必须支援

• 银行有永久基金，保险没有，除了纽约州

• 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

• 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

• 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

• 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

• 重要特性：税收延迟

• contribution 对雇主无风险，benefit有非常大风险

• 计算固定收益计划养老金的现值重要一点是选择贴现率

• 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

• 典型的养老金投资组合为60%股票以及40%的债券

• company’s shareholders who bear the cost of underfunding in defined benefit plans

• 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