资本市场波动对财产保险公司客户价值的影响

200910INSURANCESTUDIESNo.102009郭宏宇(,100037)[]本文对资本市场与财产保险公司客户价值之间的联系进行了探讨文中区分了财产保险公司向企业客户和家庭客户提供的不同客户价值,并以此为基础讨论资本市场波动带来的影响资本市场的波动导致收益率系统风险水平市场情绪和企业短期筹资渠道的变化,这些变化会进一步影响到财产保险公司提供的风险分散流动性保证投资手段等客户价值因此,资本市场的波动,会导致财产保险公司客户价值的增减变化[]资本市场;财产保险公司;客户价值[]F840.65[]A[]1004-3306(2009)10-0011-10,,2008,,,?,,,,,,Main(1983),Han(1996),Hau(2006),珺(2007)等对财,,,,,,,,,,,,,,(),,,:1.,,,[]42!∀[],,#11#,,,,,,,,,-,,,MayersSmith(1982),,,∃,,;,,2.,%,,,,,,,,Bernstein(2000),,,&,,;,Doherty(2000),∋,(,AIGAIG,,AIG200AIGAIG,3.MayersSmith(1982),Main(1983a,1983b),),,,,;,,,,,;,∃Mayers,D.,andC.W.Smith,Jr.,OntheCorporateDemandforInsurance,JournalofBusiness,(Apri,l1982),LV,No.2,pp.281-296.%Hau,Arthur,TheLiquidityDemandforCorporatePropertyInsurance,TheJournalofRiskandInsurance,(February,2006),LXXIII,pp.261-278.&Bernstein,P.L.,HiddenLinkages:RiskManagement,FinancialMarkets,andInsurance,ContingenciesMagazine,(Nov/Dec2000).pp.21-26.∋Doherty,N.A.,IntegratedRiskManagementTechniquesandStrategiesforManagingCorporateRisk,(McGrawHil,lInc,2000).(Zou,Hong,MikeB.Adams,MikeJ.Buckle,CorporateRisksandPropertyInsurance:EvidenceFromthePeople∗sRepublicofChina,TheJournalofRiskandInsurance,(February,2003),LXX,pp.289-314.)Mayers,D.,andC.W.Smith,Jr.,OntheCorporateDemandforInsurance,JournalofBusiness,(February,1982),LV.pp.281-296.Main,B.G.M.,WhyLargeCorporationsPurchaseProperty/LiabilityInsurance,CaliforniaManagementReview,(February,1983),XXV,pp.84-95.#12#(我国不能超过5年),,,,,;,,,;,(包括折旧),4.,:,;,;,,,,,,,,,,,,,,,SchnabelRoumi(1989),GarvenMacMinn(1993)∃5.MayersSmith(1982),%HoytKhang(2000),&6.-,∋,-(如股票期权)((),,,Smith(1968)Mossin(1968)KangohLee(2007),,:1.,,,,,∃Schnabe,lJ.A.,andE.Roum,iCorporateInsuranceandtheUnderinvestmentProblem:AnExtension,JournalofRiskandInsurance,(January,1989),LVI,pp.155-159.Garven,J.R.,andR.D.MacMinn,TheUnderinvestmentProblem,BondCovenants,andInsurance,JournalofRiskandInsurance,(December,1993),LX,pp.635-646.%Mayers,D.,andC.W.Smith,Jr.,OntheCorporateDemandforInsurance,JournalofBusiness,(Apri,l1982),LV,No.2,pp.281-296.&Hoyt,R.E.,andH.Khang,OntheDemandforCorporatePropertyInsurance,JournalofRiskandInsurance,(January,2000),LXVII,pp.91-107.∋Grace,M.F.,andM.J.Rebello,FinancingandtheDemandforCorporateInsurance,GenevaPapersonRiskandInsuranceTheory,(February,1993),XVIII,pp.147-172.(Mayers,D.,andC.W.Smith,Jr.,OntheCorporateDemandforInsurance1982,JournalofBusiness,(January,1982),LV,pp.281-296.Han,L.M.,ManagerialCompensationandCorporateDemandforInsurance,JournalofRiskandInsurance,(march,1996),LXIII,pp.381-404.#13#,,,,,,;,,,,,,∃,,,,,%,,,1-GDP,,,,:(1),(Mossin,1968)&(2),(Mossin,1968;Smith,1968)∋∃KangohLee,Wealth,Income,andOptimalInsurance,TheJournalofRiskandInsurance,(January,2007),LXXIV,pp.175-184.%KangohLee,Wealth,Income,andOptimalInsurance,TheJournalofRiskandInsurance,(January,2007),LXXIV,pp.175-184(Deadweightloss)(monopolypricing),&Mossin,J.,AspectsofRationalInsurancePurchasing,JournalofPoliticalEconomy,(JulyAugust,1968),LXXVI,pp.552-568.∋Mossin,J.,AspectsofRationalInsurancePurchasing,JournalofPoliticalEconomy,(JulyAugust,1968),LXXVI,pp.552-568.Smith,V.L.,OptimalInsuranceCoverage,JournalofPoliticalEconomy,(January/February1968),LXXVI,pp.68-77.#14#(3),,(DohertyandSchlesinger,1983)∃(4),%,;(Raviv,1979)&,,,,2.,,,:(1),,,24,,,(2),,,,,(3),,,,,,,2,,,,∃Doherty,N.A.,H.Schlesinger,OptimalInsuranceinIncompleteMarkets,JournalofPoliticalEconomy,(1983),XCI,pp.1045-1054.%,&Raviv,A.,TheDesignofanOptimalInsurancePolicy,AmericanEconomicReview,(1979),LXIX,pp.84-96.#15#,;;;,()1.,,,,∃,,(包括正常利润),%,,,,(或损失),,,,,P=E0(X)+A,P,E0{X},A:E0(X)=+T0(+-,0xt−ft(xt)−dxt)−e-r−t−dt,ft(xt)t,rr,,,,r,,,2.,,,,,,,,,,,,,,,,,,3.,,,,,,,,∃−H.−:!∀(庹国柱等译),1999,412.%,,#16#,-,,,,,,,,1995~2006,1998~2002,2003,-,,,,31995~20064.,P:P=E(x)+A+R,E(x),A,R,,,,,,,###,,,,,,,,−(RobertJ.Shiller),,∃,(弱有效市场)(强有效市场),,,,,,,,;,,()1.,,,,,!Sigma∀,60,,250000.5%,∃−:!∀(文忠桥卞东译),2007,43#17#∃,,,,,,;,,,,,2.,,,,,,,,,,,,,,,,∃DavidLaster:!∀,(),20006,13,,#18#3.JamesR.GarvenRichardD.MacMinn(1993)∃,,,;;BS3,,;S3,V-L,V,L;,I,V-L+IB,,;,,,,[S0,S2][S0,S1],,,,,V,V-L+1,,[S0,S2][S0,S2∗],,,,V,,,,,,;,,,,,,[][1]郭宏宇.资本市场对保险市场的影响及对策[J].中国城市经济,2008,(1).[2]卡尔−H.−博尔奇.庹国柱等译.保险经济学[M].北京:商务印书馆,1999.[3]罗伯特−希勒.文忠桥卞东译.市场波动[M].北京:中国人民大学出版社,2007.[4]王珺.个人和公司对财产保险需求的经济学比较分析.保险研究[J],2007,(5).[5]Bernstein,P.L.,HiddenLinkages:RiskManagemen,tFinancialMarkets,andInsurance,,ContingenciesMagazine,(Nov/Dec2000).pp.21-26.[6]Doherty,N.A.,H.Schlesinger,OptimalInsuranceinIncompleteMarkets,JournalofPoliticalEconomy,(1983),XCI,pp.1045-1054.[7]Doherty,N.A.,IntegratedRiskManagement#TechniquesandStrategiesforManagingCorporateRisk,(McGrawHil,lInc,2000).[8]Garven,J.R.,andR.D.MacMinn,TheUnderinvestmentProblem,BondCovenants,andInsurance,JournalofRiskandInsurance,(December,1993),LX,pp.635-646.[9]Grace,M.F.,andM.J.Rebello,FinancingandtheDemandforCorporateInsurance,GenevaPapersonRiskandInsuranceTheory,(February,1993),XVIII,pp.147-172.[10]Han,L.M.,ManagerialCompensationandCorporateDemandforInsurance,JournalofRiskandInsurance,(march,1996),LXIII,pp.381-404.∃Garven,J.R.,andR.D.MacMinn,TheU