期刊Journal of Risk and Insurance 2026年93卷第3期目录及摘要

声明：本系列文章基于原期刊目录和摘要内容整理而得，仅限于读者交流学习。如有侵权，请联系删除。

期刊介绍：

《Journal of Risk and Insurance》为季刊，每年4期，每期发表文章8-10篇左右。2025年影响因子为1.7，是风险管理与保险领域的顶级权威学术期刊。该期刊主要发表保险经济学和风险管理主题的理论和实证方面的学术论文，可以为保险市场的实践、决策和监管以及企业和家庭风险管理提供重要的信息。

本期看点：

●《平价医疗法案》健康保险交易所中因费用分摊补贴在贫困线150%处骤增而诱发的道德风险，使受补贴者每年多花约1860美元医疗费用，补贴需求弹性约为−0.52。

●在多元偏好框架下，治疗需求与健康保险需求如何随财富、健康、保费、治疗成本及健康损失严重程度变化，取决于个体对财富与健康相关性的态度（偏好正相关或厌恶正相关）以及对财富风险和健康风险的态度。

●在澳大利亚，资本要求会显著推高长期护理保险保费、但对生命护理年金产品影响较小，而长期护理保险在多种情景下均能带来福利增益。

●我国城市受访者最偏好的退休保险组合是覆盖预期自付重疾与长期护理费用50%、月年金约为城市平均可支配收入20%，且产品知识、金融素养、遗赠动机和风险容忍度会以不同方向影响重疾/长期护理保障需求与年金需求。

●基于美国雇主固定缴费计划的行政数据，研究发现雇主在员工达到特定年龄后增加缴费并不会挤出员工自身缴费，反而使总退休储蓄增加，从而为降低老年财务风险提供了一种雇主发起的有效政策工具。

●基于中国寿险业2011—2021年数据，研究发现保险公司声誉与退保量负相关，正面声誉在财务稳健、客户服务和CSR方面作用突出，负面声誉风险则主要通过诉讼等负面事件影响退保，且投保人在低通胀、低失业、低利率或高期限利差时对声誉更为敏感。

●基于2016—2022年欧洲寿险公司数据，研究发现负利率环境下利率水平变化对寿险公司股票回报的冲击最高可达正利率环境下的2.8倍，长期利率低于0%时利率每降1个百分点将导致股票回报下降逾10个百分点，且利率水平与敏感性之间呈凸性关系。

※ 本期目录

●ACA交易所中的道德风险：来自费用分摊补贴断点的证据

●多元偏好下的最优治疗需求与健康保险需求

●私人长期护理保险的设计与定价：基于澳大利亚的分析

●年金、重大疾病保险与长期护理保险组合的偏好：来自一项在线调查的证据

●固定缴费计划中的员工储蓄：来自雇主计划中基于年龄的政策的证据

●改进基金映射：可变年金中的应用

●寿险公司声誉对投保人退保行为的影响

●负利率对欧洲寿险公司的影响

Moral hazard on the ACA exchanges: Evidence from a cost-sharing subsidy discontinuity

ACA交易所中的道德风险：来自费用分摊补贴断点的证据

作者

Cameron M. Ellis（美国爱荷华大学），Meghan I. Esson（美国爱荷华大学），Eli Liebman（美国乔治亚大学）

摘要：This paper examines the moral hazard effects of cost-sharing subsidies on the Affordable Care Act's Health Insurance Exchanges. Exploiting a sharp discontinuity in subsidy generosity at 150% of the federal poverty level, we compare healthcare spending for individuals just above and below this threshold using a regression discontinuity design and data from the Medical Expenditure Panel Survey. We find that individuals just below 150% federal poverty level who receive the most generous subsidies spend approximately $1860 more annually on healthcare compared to those just above the threshold receiving less generous subsidies, implying an elasticity of −0.52. Several analyses suggest this discontinuity reflects moral hazard rather than adverse selection or health differences across the income threshold. The results highlight the significant impact of moral hazard induced by generous cost-sharing subsidies, with important implications for the design of means-tested health insurance subsidies.

本文考察了《平价医疗法案》（ACA）健康保险交易所中费用分摊补贴的道德风险效应。利用联邦贫困线150%处补贴慷慨程度存在的明显断点，我们采用断点回归设计，并使用医疗支出面板调查（Medical Expenditure Panel Survey）的数据，比较了该阈值上下个体的医疗支出。我们发现，刚刚低于联邦贫困线150%、获得最慷慨补贴的个体，相比刚刚高于该阈值、获得较少慷慨补贴的个体，每年在医疗保健上多支出约1860美元，这意味着弹性为−0.52。多项分析表明，这一断点反映的是道德风险，而非逆向选择或收入阈值两端的健康差异。研究结果凸显了慷慨的费用分摊补贴所诱发的道德风险的显著影响，对基于经济状况调查的健康保险补贴设计具有重要意义。

原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70052

Optimal demand for treatment and health insurance under multivariate preferences

多元偏好下的最优治疗需求与健康保险需求

作者

Jimin Hong（韩国崇实大学）

摘要：Health insurance mitigates health risks by covering the cost of treatment, but it also reduces the financial risk associated with those costs. In a multivariate preference framework, this study analyzes the effects of changes in wealth, health status, insurance premiums, treatment costs, and the severity of health loss on the demand for treatment and health insurance in the face of health loss. The conditions under which demand for treatment and insurance increases depend on the attitude toward the correlation between wealth and health, namely, correlation loving or correlation aversion, as well as the attitude toward wealth and health risks. These findings have implications for government subsidization policies related to treatment and health insurance and health promotion policies.

健康保险通过覆盖治疗费用来缓解健康风险，但同时也会降低与这些费用相关的财务风险。本研究在多元偏好框架下，分析了在面临健康损失时，财富、健康状况、保险费、治疗成本以及健康损失严重程度的变化对治疗需求和健康保险需求的影响。治疗需求和保险需求增加的条件取决于对财富与健康之间相关性的态度，即“偏好正相关”还是“厌恶正相关”，以及对财富风险和健康风险的态度。这些发现对与治疗和健康保险相关的政府补贴政策以及健康促进政策具有启示意义。

原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70050

Design and pricing of private long-term care insurance: An Australian analysis

私人长期护理保险的设计与定价：基于澳大利亚的分析

作者

Kyu Park（澳大利亚新南威尔士大学），Michael Sherris（澳大利亚新南威尔士大学）

摘要：Private long-term care insurance (LTCI) is unavailable in many countries, including Australia, where individuals rely on government support and retirement savings for aged care. This study explores the design and pricing of private LTCI products covering out-of-pocket costs, using a model of chronic illness and disability in Australia. We assess insurer capital costs and pricing implications, incorporating trends in mortality and disability. Demand is analysed through utility models for healthy and chronically ill individuals. Our analysis includes stand-alone LTCI and life care annuity (LCA) products, considering public aged care co-payments, comfortable consumption, the age pension, and Solvency II requirements. A systematic literature review informs our pricing approach. We show that capital requirements significantly increase stand-alone LTCI premiums but are lower for LCA products. Welfare analysis demonstrates welfare gains from LTCI across scenarios, influenced by expense loading, risk aversion, wealth, and bequest motives. Findings offer insights for Australia and other developed countries.

私人长期护理保险（LTCI）在许多国家（包括澳大利亚）尚不可得，在澳大利亚，个人依赖政府支持和退休储蓄来应对老年护理。本研究利用澳大利亚慢性疾病与失能模型，探讨了覆盖自付费用的私人长期护理保险产品的设计与定价。我们评估了保险公司的资本成本及其定价影响，并纳入了死亡率和失能趋势。需求方面，通过健康个体和慢性病患者的效用模型进行分析。我们的分析涵盖独立长期护理保险和生命护理年金（LCA）产品，并考虑了公共老年护理共付费用、舒适消费、养老金以及偿付能力II（Solvency II）要求。系统性文献综述为我们的定价方法提供了依据。我们表明，资本要求会显著提高独立长期护理保险的保费，但对生命护理年金产品而言则较低。福利分析表明，在各种情景下长期护理保险都能带来福利增益，且受费用附加、风险厌恶、财富和遗赠动机的影响。研究结论对澳大利亚及其他发达国家具有启示意义。

原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70057

Preferences for annuity, critical illness, and long-term care insurance portfolios: Evidence from an online survey

年金、重大疾病保险与长期护理保险组合的偏好：来自一项在线调查的证据

作者

Cheng Wan（瑞士苏黎世联邦理工学院），Hazel Bateman（澳大利亚新南威尔士大学），Hanming Fang（美国宾夕法尼亚州立大学），Katja Hanewald（澳大利亚新南威尔士大学）

摘要：In many low- and middle-income countries, social insurance provides basic pension benefits with limited cover for illness and care costs, while private insurance markets are underdeveloped. Using an online survey of retirement portfolio choices in urban China, we examined the stated demand for longevity, critical illness, and long-term care (LTC) insurance under realistic financial constraints. The most preferred portfolios had 50% cover for expected out-of-pocket critical illness and LTC costs, and a monthly annuity of around 20% of average urban disposable income. Access to critical illness and LTC insurance increased annuity demand in some cases, with effects varying by wealth and level of cover. Product knowledge, higher financial competence, stronger bequest motives, and lower risk tolerance were linked to higher demand for critical illness and LTC cover but lower demand for annuities. Results inform the development of retirement insurance markets in countries with ageing populations and social and private insurance gaps.

在许多低收入和中等收入国家，社会保险提供基本养老金待遇，但对疾病和护理费用的保障有限，而私人保险市场尚不发达。本研究利用一项针对中国城市退休投资组合选择的在线调查，考察了在现实财务约束下，人们对长寿风险保险（年金）、重大疾病保险和长期护理（LTC）保险的陈述性需求。最受偏好的组合为：对预期自付重大疾病和长期护理费用提供50%的保障，以及约相当于城市平均可支配收入20%的月年金。在某些情况下，获得重大疾病保险和长期护理保险会增加年金需求，其效应因财富水平和保障程度而异。产品知识、较高的金融素养、较强的遗赠动机以及较低的风险容忍度，与更高的重大疾病和长期护理保障需求相关，但与更低的年金需求相关。研究结果对面临人口老龄化和社会保险与私人保险缺口的国家发展退休保险市场具有启示意义。

原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70055

Employee savings in defined contribution plans: Evidence from age-based policies in employer plans

固定缴费计划中的员工储蓄：来自雇主计划中基于年龄的政策的证据

作者

Brent J. Davis（美国TIAA研究院），Anita Mukherjee（美国威斯康星大学麦迪逊分校），Mingli Zhong（美国华盛顿城市研究院）

摘要：Retirement saving is a critical form of self-insurance at older ages, but ensuring that such savings are adequate remains a challenge in the United States. This is especially true for those who save through defined contribution (DC) plans, in which participants are responsible for setting both the amount and the investment strategy. In some plans, employers increase their contributions after employees reach a certain age. Whether these policies increase total retirement savings depends on whether employees offset the increases by reducing their own contributions at the designated age thresholds. Analyzing individual-level administrative data and plans with varied age-based employer contribution rules, we find that these age-based employer contribution increases do not crowd out employees' own contributions and that total retirement savings increase. Our research thus offers an example of an employer-initiated policy that can reduce employees' financial risk at older ages.

退休储蓄是老年时期一种关键的自我保险形式，但确保此类储蓄充足在美国仍是一项挑战。对于通过固定缴费（DC）计划储蓄的人群而言尤其如此，因为在该计划中，参与者需要自行决定缴费金额和投资策略。在一些计划中，雇主会在员工达到一定年龄后增加其缴费。这些政策能否增加总退休储蓄，取决于员工是否会在规定的年龄阈值处通过减少自身缴费来抵消雇主的增缴。我们分析了个人层面的行政数据以及具有不同基于年龄的雇主缴费规则的计划，发现这些基于年龄的雇主缴费增加并未挤出员工自身的缴费，且总退休储蓄有所增加。因此，我们的研究提供了一个雇主发起的、能够降低员工老年财务风险的政策范例。

原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70045

Improving fund mapping: An application to variable annuities

改进基金映射：可变年金中的应用

作者

Wenchu Li（美国圣约翰大学），Thorsten Moenig（美国天普大学），Maciej Augustyniak（加拿大蒙特利尔大学）

摘要：This study provides the first comprehensive analysis of basis risk in mutual funds underlying U.S. variable annuity policies. These popular personal savings and investment products contain long-term financial guarantees that expose life insurers to extensive systematic market risk. Although hedging these guarantees is critical, hedging performance is impeded by basis risk since the funds themselves cannot be used as hedging instruments. Using historical returns from a large sample of mutual funds and nearly 600 alternative instruments, we show that insurers can substantially reduce their exposure to basis risk—and improve hedging effectiveness—by enhancing their fund mapping process with data analytic methods, by hedging with exchange-traded funds instead of futures, and by including more index funds in their offerings. Even so, basis risk remains an important factor when assessing the quality of hedging at the fund level.

本研究首次对美国可变年金保单所依托的共同基金中的基差风险进行了全面分析。这些广受欢迎的个人储蓄与投资产品包含长期财务担保，使寿险公司面临广泛的系统性市场风险。尽管对这些担保进行对冲至关重要，但对冲效果会因基差风险而受到阻碍，因为基金本身无法用作对冲工具。我们利用来自大量共同基金样本以及近600种替代工具的历史收益率数据表明，保险公司可以通过以下方式大幅降低其基差风险敞口并提高对冲有效性：运用数据分析方法改进基金映射过程、使用交易所交易基金（ETF）而非期货进行对冲，以及在产品中纳入更多指数基金。即便如此，在评估基金层面的对冲质量时，基差风险仍是一个重要因素。

原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70049

The impact of life insurance companies' reputations on policyholders' surrender behavior

寿险公司声誉对投保人退保行为的影响

作者

Hairuo Guo（武汉大学），Jiyuan Wang（中央财经大学），Sujin Zheng（中央财经大学），Yanwan Zhu（中央财经大学）

摘要：The impact of reputation of insurers on its market performance has long been a significant issue. Using data from China's life insurance industry from 2011 to 2021, this study combines ChatGPT with active learning to construct the perceived reputations of Chinese insurers. We find that reputation is negatively associated with surrender volume. Further results show that the negative reputational effect on surrender is more salient in positive sentiment, while the reputational effect with negative sentiment is mainly realized through the negative events of lawsuits. A positive reputation matters mainly in financial soundness, customer service, and corporate social responsibility, while managing negative reputation risks is particularly important for corporate governance and government relations. Finally, the paper finds that policyholders prioritize insurers' reputation when inflation, unemployment, and interest rates are low or when the term spread is high. Policyholders are also more sensitive to larger insurers' reputation in a more dynamic market.

保险公司声誉对其市场表现的影响长期以来一直是一个重要问题。本研究利用中国寿险业2011年至2021年的数据，将ChatGPT与主动学习相结合，构建了中国保险公司的感知声誉指标。我们发现，声誉与退保量呈负相关关系。进一步的结果表明，声誉对退保的负面影响在正面情绪中更为显著，而负面情绪下的声誉效应主要通过诉讼等负面事件得以体现。正面声誉主要体现在财务稳健性、客户服务和企业社会责任方面，而管理负面声誉风险对公司治理和政府关系尤为重要。最后，本文发现，当通货膨胀、失业率和利率较低，或期限利差较高时，投保人会更加重视保险公司的声誉。在市场更具动态性时，投保人对大型保险公司声誉也更为敏感。

原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70060

The influence of negative interest rates on European life insurance companies

负利率对欧洲寿险公司的影响

作者

Nicolaus Grochola（德国法兰克福大学）

摘要：Between 2016 and 2022, life insurers in several European countries experienced negative long-term interest rates, which put pressure on their business models. The aim of this paper is to empirically investigate the impact of negative interest rates on the stock performance of life insurers. To measure the sensitivities, I estimate the level, slope, and curvature of the yield curve using the Nelson-Siegel model and empirical proxies. Panel regressions show that the effect of changes in the level is up to 2.8 times greater in a negative interest rate environment than in a positive one. Thus, a 1ppt decline in the interest rate level reduces European life insurers' stock returns by more than 10ppt when long-term interest rates are below 0%. The study also demonstrates that the relationship between the level and the sensitivity to interest rates is convex, and that accounting for the slope and curvature can prevent biased estimates.

2016年至2022年间，若干欧洲国家的寿险公司经历了长期负利率，这对其商业模式构成了压力。本文旨在实证研究负利率对寿险公司股票表现的影响。为衡量敏感性，我使用Nelson-Siegel模型和经验代理变量估计了收益率曲线的水平、斜率和曲率。面板回归显示，在负利率环境下，水平变化的影响比正利率环境下最高可达2.8倍。因此，当长期利率低于0%时，利率水平下降1个百分点会使欧洲寿险公司的股票回报下降超过10个百分点。研究还表明，利率水平与利率敏感性之间的关系呈凸性，且纳入斜率和曲率可以避免估计偏误。

原文链接：https://onlinelibrary.wiley.com/doi/10.1111/jori.70044