从长到短：利率如何影响人寿保险市场
From Long to Short: How Interest Rates Shape Life Insurance Markets
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中文总结 AI 辅助
本文以人寿保险行业为背景，研究利率风险通过保险公司传导至产品市场的机制，发现暴露于利率风险的保险公司转向短期产品发行对冲，导致长期人寿保险覆盖率下降GDP的31%。
中文摘要 AI 辅助
本文以人寿保险行业为背景，探究金融机构如何将利率风险传导至产品市场。我们从理论上证明，保险公司最优策略是扭曲不同期限的产品发行以抵消久期缺口。我们研究2008年金融危机后因 variable annuity（变额年金）负债而外生暴露于利率风险的保险公司，与机制一致，这些保险公司形成负久期缺口、提高长期产品的 markup（ markup 指加价幅度）、将发行转向短期产品以对冲。最终，2005至2023年间，长期人寿保险覆盖率下降了GDP的31%。
英文摘要
This paper explores how financial institutions pass interest rate risk through to product markets using the life insurance industry as a setting. We show theoretically that it is optimal for insurers to distort product issuance across maturities to offset duration gaps. We examine insurers exogenously exposed to interest rate risk through their variable annuity liabilities after the 2008 financial crisis. Consistent with our mechanism, exposed insurers developed negative duration gaps, increased markups on long-duration products, and rebalanced product issuance toward shorter-duration products to hedge. This response reduced long-duration life insurance coverage by 12.1% of GDP between 2005 and 2023.
