保险业投资及其对金融稳定的影响

The Geneva AssociationThe Geneva Association is the leading international insurance think tank for strategically important insurance and riskThe Geneva Association identifies fundamental trends and strategic issues where insurance plays a substantial role orwhich influence the insurance sector. Through the development of research programmes, regular publications and theorganisation of international meetings, The Geneva Association serves as a catalyst for progress in the understanding of riskand insurance matters and acts as an information creator and disseminator. It is the leading voice of the largest insurancegroups worldwide in the dialogue with international institutions. In parallel, it advances—in economic and cultural terms—the development and application of risk management and the understanding of uncertainty in the modern economy.The Geneva Association membership comprises a statutory maximum of 90 chief executive officers (CEOs) from the world’stop insurance and reinsurance companies. It organises international expert networks and manages discussion platforms forsenior insurance executives and specialists as well as policymakers, regulators and multilateral organisations.Established in 1973, The Geneva Association, officially the ‘International Association for the Study of Insurance Economics’,has offices in Zurich, Switzerland and is a non-profit organisation funded by its Members. management issues. Insurance Sector Investments andTheir Impact on Financial StabilityAN EMPIRICAL STUDY The Geneva AssociationThe Geneva Association—‘International Association for the Study of Insurance Economics’Zurich | Talstrasse 70, CH-8001 ZurichEmail: secretariat@genevaassociation.org | Tel: +41 44 200 49 00 | Fax: +41 44 200 49 99Insurance Sector Investments and Their Impact on Financial StabilityPublished by The Geneva Association—‘International Association for the Study of Insurance Economics’, Zurich.The opinions expressed in The Geneva Association newsletters and publications are the responsibility of the authors. We thereforedisclaim all liability and responsibility arising from such materials by any third parties.Download the electronic versionfromwww.genevaassociation.org. © The Geneva Association EXECUTIVE SUMMARY1. REPORT OBJECTIVES2. INSURANCE SECTOR CONTEXT2.1. Insurers’ holdings of financial assets2.2. Recent trends in insurers’ asset allocations3. STABILITY OF INSURANCE SECTOR’S INVESTMENT BEHAVIOUR3.1. Volatility of life insurers’ invested asset balances and allocation3.2. U.S. case study: variation in life insurer asset allocations4. INSURERS’ INVESTMENT BEHAVIOUR RELATIVE TO OTHER INVESTORS AND THE MARKET4.1. Comparison of life insurers' investment behaviour with other types of investor4.1.1. Life insurers and banks4.1.2. Life insurers and mutual funds4.2. Relationship between market movements and life insurers’ investments5. ASSESSMENT OF POTENTIAL ASSET FIRE SALES5.1. Impact assessment of hypothetical asset fire sales5.2. Asset fire sales due to large-scale de-risking5.2.1. Credit de-risking5.2.2. Equity de-risking5.2.3. Worst case scenario impact analysis5.3. Asset fire sales caused by large surrenders6. CONCLUSIONAPPENDIX A.A.1. The potential systemic relevance of the insurance industryA.2. BibliographyA.3. AcknowledgementsI1345899141516192022242730313537 INSURANCE SECTOR INVESTMENTS AND THEIR IMPACT ON FINANCIAL STABILITYThe fallout from the Global Financial Crisis of 2008 continues to capture ourattention. Under the lead of the Financial Stability Board (FSB), global regu-lators have developed, and begun to implement, a set of measures designedto mitigate risks associated with systemically important financial institutions.In collaboration with the International Association of Insurance Supervisors(IAIS), the FSB identified nine globally active insurers as systemically important(G-SIIs). It reflects the view that, under certain circumstances, insurers toomight be a source of systemic risk large enough to adversely impact the finan-cial system and the real economy.Recent developments have added new wrinkles to the discussion aboutsystemic risks originating in the insurance sector. Whereas G-SII designationplaces the individual firm at the centre of attention, the question now beingdebated is whether the insurance industry as a whole, through its concertedinvestment behaviour, may exacerbate financial market fluctuations. The po-tential for procyclicality, under extreme conditions, to impair financial stabilityand economic growth, is a matter currently attracting focus.As spelled out in this report, there are many reasons why such concertedinvestment behaviour may exist. The report neither disputes their plausibility,nor questions the validity of studies documenting procyclicality. Instead, usingempirical evidence, it challenges the systemic relevance of the alleged procy-clical behaviour. The insurance business model, with liability-driven investmentmanagement at its core, should inhe