Impact of Major Events on the Systemic Risk of Insurance Industry

Abstract

Abstract: This paper applies the event study method to figure out the impact of the major events in the insurance industry in 2018. There are three actual economic manifestations of the systemic risk: interconnection, contagion and shock transmission. We use Pearson correlation test, Granger Causality test and Impulse Response function to describe the systemic risk after the events. This will help us find which events have the greatest possibility of developing into risk events. It is found that China's insurance industry is becoming a highly clustered system. Large-scale compensation emergencies caused by catastrophes have the potential to form an infectious relationship among insurance companies, which may have a further impact on the overall financial system.

Key words: Event Study, Systemic Risk, Insurance Industry

摘要： 2018年发生的诸多重大事件改变了保险业的外部环境。本文利用事件研究法分析了这些重大事件对保险业系统性风险的冲击。根据系统性风险具体的经济表现,即从互联性、传染性和外溢性衡量受事件冲击后的风险水平;并分别采用Pearson相关性检验、Granger因果检验和向量自回归模型中的脉冲响应函数进行量化分析,比较了受不同重大事件冲击后保险业系统性风险的累积程度。研究结果表明,2018年我国保险业内部的互联性明显,但只有受到具有巨灾风险特质的重大事件冲击时才会有传染性和外溢性的表现。

关键词: 事件研究法, 系统性风险, 保险业

CLC Number:

F842

ZOU Yige, SU Fang. Impact of Major Events on the Systemic Risk of Insurance Industry[J]. , 2020, 36(8): 53-62.

邹奕格, 粟芳. 重大事件对保险业系统性风险的冲击研究[J]. 财经论丛, 2020, 36(8): 53-62.

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