动态投资驱动的保险定价与最优监管

IF 2.2 2区经济学 Q2 ECONOMICS

Insurance Mathematics & Economics Pub Date : 2025-09-29 DOI:10.1016/j.insmatheco.2025.103160

Bingzheng Chen , Zongxia Liang , Shunzhi Pang

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引用次数: 0

摘要

本文分析了动态环境下保险市场的竞争均衡，重点研究了保险公司承保与投资策略之间的相互作用。本文确定了三种可能的均衡结果：正保险市场、零保险市场和市场失灵。我们的研究结果揭示了为什么保险公司在依赖投资利润的同时，通过设定负安全负荷来理性地接受承保损失，特别是当保险收益与财务回报之间存在负相关时。即使在保险市场是垄断的情况下，这种损失仍可能发生。此外，我们探讨了监管摩擦的影响，表明虽然在某些条件下对投资施加成本可以提高社会福利，但它可能并不总是必要的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Dynamic investment-driven insurance pricing and optimal regulation

This paper analyzes the competitive equilibrium of insurance market in a dynamic setting, focusing on the interaction between insurers' underwriting and investment strategies. Three possible equilibrium outcomes are identified: a positive insurance market, a zero insurance market, and market failure. Our findings reveal why insurers may rationally accept underwriting losses by setting a negative safety loading while relying on investment profits, particularly when there is a negative correlation between insurance gains and financial returns. Such losses can still occur even when the insurance market is monopolistic. Additionally, we explore the impact of regulatory frictions, showing that while imposing a cost on investment can enhance social welfare under certain conditions, it may not always be necessary.

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来源期刊

Insurance Mathematics & Economics 管理科学-数学跨学科应用

CiteScore

3.40

自引率

15.80%

发文量

审稿时长

17.3 weeks

期刊介绍： Insurance: Mathematics and Economics publishes leading research spanning all fields of actuarial science research. It appears six times per year and is the largest journal in actuarial science research around the world. Insurance: Mathematics and Economics is an international academic journal that aims to strengthen the communication between individuals and groups who develop and apply research results in actuarial science. The journal feels a particular obligation to facilitate closer cooperation between those who conduct research in insurance mathematics and quantitative insurance economics, and practicing actuaries who are interested in the implementation of the results. To this purpose, Insurance: Mathematics and Economics publishes high-quality articles of broad international interest, concerned with either the theory of insurance mathematics and quantitative insurance economics or the inventive application of it, including empirical or experimental results. Articles that combine several of these aspects are particularly considered.