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        寿险公司盈利模式两板斧之第二板斧:求解最优杠杆率|银行业

        摘要: 原标题:寿险公司盈利模式两板斧之第二板斧:求解最优杠杆率 来源:13个精算师先说结论:1、寿险业的盈利模式主要靠两板斧:一板斧是“两差一销”,即息差收入、营业偏差和剩余边际 ...

        原标题:寿险公司盈利模式两板斧之第二板斧:求解最优杠杆率 来源:13个精算师

        先说结论:

        1、寿险业的盈利模式主要靠两板斧:一板斧是“两差一销”,即息差收入、营业偏差和剩余边际摊销;二板斧是杠杆,实际上是把第一板斧加了杠杆。

        第一板斧的盈利载体都是负债,而第二版斧则规定了这项负债可以达到净资产的多少倍。

        我们在第75周报告里面描述了第一板斧的影响,牌照收益率。这周我们将主要研究一下杠杆这个第二板斧。

        2、2019年寿险行业总资产规模为15.8万亿元,近十年复合增速为17.8%;净资产规模为1.4万亿元,近十年复合增速为16.8%,均呈现出高速发展态势。

        2019年寿险业杠杆率为10.9,银行业杠杆率为12.3。其中,银行业杠杆率是基于中国资本市场上36家上市银行的财务数据计算而得。

        不难发现,银行业的杠杆率是要高于寿险业的。但从趋势来看,近十年银行业杠杆率持续下滑,而寿险行业杠杆率基本保持稳定。

        我们还给出了2010-2019年寿险业和银行业的ROE对比状况。两类行业ROE的计算均是采用净利润除以期末净资产。2019年寿险业ROE为16%,而银行业ROE为11%。

        从趋势来看,银行业的ROE持续下滑,自2018年以来寿险行业ROE已经连续两年超过银行业。

        3、“13精”给出了2010-2019年寿险行业不同类型公司的杠杆率。2019年老三家杠杆率10.9,居中位置;中型寿险公司的杠杆率是最高的为13.3,小型寿险公司的杠杆率是最低的仅为9.4。

        一个有趣的现象是,与杠杆率排序不同,2019年老三家ROE为22.1%,是最高的;中型寿险公司的ROE为14.8%,居中;小型寿险公司的ROE是最低的仅为7.8%。

        这也从侧面反映出,并非高杠杆一定带来高收益,但同时低杠杆也不能带来高收益,是否存在寿险行业的最优杠杆率呢?

        4、我们使用近十年涉及近600个样本数据,研究寿险公司杠杆率对ROE的实证影响。我们发现杠杆率对ROE具有倒“U”型的非线性影响。

        按照实证研究的一般处理规范,我们在模型中加入了杠杆率的一次项和二次项,根据抛物线的性质,我们可以计算出最优的杠杆率为 0.0320182/(2*0.0014738)=10.8。

        巧合的事,目前头部寿险公司的杠杆率是10.9,这似乎表明头部公司的ROE可能已经是天花板了。

        但是有一句话老话不是,天花板不是问题,问题是能否可持续?只要能继续,估值就不是问题。

        本文最大的贡献可能也是这个结论,各个公司可以依据自身的实际情况,看看离行业的最优杠杆率差距有多大?你是需要开始降杠杆了呢?还是有继续加杠杆的空间?

        5、正如前文所论述的,我们并非希望杠杆率越高越好,但总需要给出一个排列标准,由大到小仅是为了阅读方便。

        2019年天安人寿的杠杆率是最高的,达到了50.2;而杠杆率最低的寿险公司是瑞华健康,杠杆率仅为1.2。除业务模式差异外,由于该公司成立于2018年5月,经营时间短也对公司杠杆率产生一定影响。

        此外,太保寿险杠杆率为15.0,居第9位;平安寿险的杠杆率为12.4,居16位;中国人寿的杠杆率为9.1,居第35位。

        正文:

        上月,我们给出了寿险公司牌照收益率指标,勾勒了寿险公司的利源来源,主要是净资产投资收益、息差收入、剩余边际摊销和营运偏差,如下图所示。

        其中,净资产投资收益率与牌照赋予的保险业务关系不大。除了净资产外,其他三项可以理解为寿险行业商业模式,也正是因为有了寿险牌照,才能享受这种商业模式。

        寿险行业的盈利之源主要体现在寿险责任准备金和储户投资款上,两者又占到总资产的近八成。

        不失一般性,也为了便于比较,我们使用总资产除以净资产计算寿险公司的杠杆率。该比值可以反映牌照赋予寿险公司的杠杆撬动力。

        当然,杠杆率高低与否并不是我们追求的最终目标,在本次杠杆率分析过程中,我们使用以ROE-max作为最优杠杆率的检验尺度。

        一、寿险行业杠杆率和ROE

        图1.1给出了2010-2019年寿险行业总资产与净资产规模状况。2019年寿险行业总资产规模为15.8万亿元,近十年复合增速为17.8%;净资产规模为1.4万亿元,近十年复合增速为16.8%,均呈现出高速发展态势。

        需要说明的是,寿险行业相关指标是基于81家寿险公司加总而得,具体公司名单可见第四部分的排行榜。

        图1.2给出了2010-2019年寿险业和银行业的杠杆率对比状况。2019年寿险业杠杆率为10.9,银行业杠杆率为12.3。其中,银行业杠杆率是基于中国资本市场上36家上市银行的财务数据计算而得。

        从图中不难发现,银行业的杠杆率是要高于寿险业的。但从趋势来看,近十年银行业杠杆率持续下滑,而寿险行业杠杆率基本保持稳定。

        图1.3给出了2010-2019年寿险业和银行业的ROE对比状况。两类行业ROE的计算均是采用净利润除以期末净资产。2019年寿险业ROE为16%,而银行业ROE为11%。

        从趋势来看,银行业的ROE持续下滑,自2018年以来寿险行业ROE已经连续两年超过银行业。

        二、寿险行业不同类型公司的杠杆率和ROE

        图2.1给出了2010-2019年寿险行业不同类型公司的杠杆率。2019年老三家杠杆率10.9,居中位置;中型寿险公司的杠杆率是最高的为13.3,小型寿险公司的杠杆率是最低的仅为9.4。

        图2.2给出了2010-2019年寿险行业不同类型公司的ROE。与杠杆率排序不同,2019年老三家ROE为22.1%,是最高的;中型寿险公司的ROE为14.8%,居中;小型寿险公司的ROE是最低的仅为7.8%。

        这也从侧面反映出,并非高杠杆一定带来高收益,但同时低杠杆也不能带来高收益,是否存在寿险行业的最优杠杆率呢?

        三、寿险行业的最优杠杆率

        我们使用近十年涉及近600个样本数据,研究寿险公司杠杆率对ROE的实证影响。

        从图3.1中,我们发现杠杆率对ROE具有倒“U”型的非线性影响。按照实证研究的一般处理规范,我们在模型中加入了杠杆率的一次项和二次项,根据抛物线的性质,我们可以计算出最优的杠杆率为 0.0320182/(2*0.0014738)=10.8。

        图3.2给出了描述杠杆率与ROE的散点图及拟合曲线,可以很清楚地看到,当杠杆率低于10.8时,杠杆率与ROE正相关;而当杠杆率高于10.8时,杠杆率与ROE又是负相关。

        实证角度,我们可以将其理解为随着杠杆率增加,对公司ROE的影响先是正的,后是负的。

        同样我们也检验了银行业杠杆率与ROE之间的关系是否也满足倒“U”型。图3.3给出了银行业杠杆率与ROE的散点图关系。

        杠杆率为什么对ROE的影响呈现出倒“U”型呢?一般性共识,杠杆率的确可以提高公司ROE,发挥杠杆撬动收益的作用。

        但随着杠杆率的持续提高,公司经营中蕴含的潜在风险也在逐渐累积,不断变动,势必会对公司健康持续发展产生不利影响。

        幸好,寿险公司的偿付能力充足率可以衡量公司蕴含的风险水平。偿付能力充足率越高,则表明公司经营风险越小。

        图3.4给出了杠杆率与偿付能力充足率的散点图关系。

        不难发现,两者之间存在显著负相关性。由于偿付能力充足率变化幅度较大,为降低异方差影响,我们将其取对数。

        图3.5给出了杠杆率与偿付能力充足率的对数序列的散点图关系。两者之间负相关的更为直观。

        四、寿险公司杠杆率排行榜

        表1给出了近五年寿险公司的杠杆率排行榜。

        正如前文所论述的,我们并非希望杠杆率越高越好,但总需要给出一个排列标准,由大到小仅是为了阅读方便。

        2019年天安人寿的杠杆率是最高的,达到了50.2;而杠杆率最低的寿险公司是瑞华健康,杠杆率仅为1.2。除业务模式差异外,由于该公司成立于2018年5月,经营时间短也对公司杠杆率产生一定影响。

        此外,太保寿险杠杆率为15.0,居第9位;平安寿险的杠杆率为12.4,居16位;中国人寿的杠杆率为9.1,居第35位。

        英文阅读:

        Original title: Pattern of profit of birthday risk company the 2nd broad ax of two broad ax: Seek solution best leverage origin: 13 essence calculate division

        Say verdict first:

        1, The profit pattern of birthday risk line of business basically relies on two broad ax: One broad ax is " two difference are sold " , cease namely poor income, business deviation and odd limit amortize; 2 broad ax are lever, it is a the first broad ax actually added lever.

        The gain carrier of the first broad ax is indebted, and it how many times what achieve net assets is OK that axe of the second edition stipulated this is in debt.

        We described the effect of the first broad ax inside the 75th week of report, license plate yield. This week we basically will study lever this the 2nd broad ax.

        2, Dimensions of total assets of birthday danger industry was 15.8 trillion yuan 2019, nearly 10 years compound add fast for 17.8% ; Net assets dimensions is 1.4 trillion yuan, nearly 10 years compound add fast for 16.8% , all present a high speed to develop posture.

        Leverage of birthday risk line of business was 2019 10.9, banking leverage is 12.3. Among them, banking leverage is to be based on on Chinese capital market 36 to appear on the market to the financial data of the bank is calculated and be gotten.

        Discover not hard, the leverage of banking wants job of danger of prep above birthday. But from the point of the trend, nearly 10 years banking leverage glides continuously, and leverage of birthday danger industry keeps basically stable.

        We still gave out 2010-2019 year the ROE contrast state of birthday risk line of business and banking. The computation of ROE of two kinds of industries all is to use net profit to divide with period end net assets. ROE of birthday risk line of business was 2019 16% , and banking ROE is 11% .

        From the point of the trend, the ROE of banking glides continuously, since 2018 ROE of birthday danger industry has exceeded banking two years continuously.

        3, "13 essence " gave out 2010-2019 year birthday danger industry is disparate the leverage of type company. Old 2019 3 leverage 10.9, position of be placed in the middle; The leverage of company of medium-sized birthday risk is highest for 13.3, the leverage of company of small-sized birthday risk is lowest it is only 9.4.

        An interesting phenomenon is, differ with leverage sort, old 2019 3 ROE are 22.1% , it is highest; The ROE of company of medium-sized birthday risk is 14.8% , be placed in the middle; The ROE of company of small-sized birthday risk is lowest it is only 7.8% .

        This also goes out from flank report, be not tall lever to bring high profit certainly, but at the same time low lever also cannot bring high profit, where is the best leverage that whether is put in birthday danger industry?

        4, We use nearly 10 years to involve data of nearly 600 example, leverage of company of research birthday risk is affected to the demonstration of ROE. We discover leverage is had to ROE " U " model nonlinear influence.

        According to the general disposal specification that a case of a physically strong patient running a high fever or suffering from such disorders as stasis of blood studies, when we joined leverage in the model mix 2 times, according to the property of parabola, we can be calculated give best leverage to be 0.0320182/ (2*0.0014738) =10.8.

        The thing of coincidence, at present the leverage of company of head birthday risk is 10.9, this shows the ROE of head firm may have been the ceiling it seems that.

        But having remarks about the old days of a word is not, the ceiling is not a problem, is the problem whether can you last? Want to be able to continue only, appraise value is not a problem.

        The contribution with the largest article also may be this conclusion, each companies are OK the actual condition of basis oneself, see the best leverage gap that leaves a trade have how old? Are you to need to begin to fall lever? Still have the space that continues to add lever?

        5, Place of preamble of no less than discusses, we are not hope leverage to had been jumped over higher, but total need gives out one forms a standard, by arrive greatly small it is to read only convenient.

        The leverage that the day brought person life 2019 is highest, achieved 50.2; And the birthday risk company of leverage lowest is lucky China health, leverage is only 1.2. Outside eliminating business mode difference, because this company held water in May 2018, management time is short certain to company leverage generation also influence.

        In addition, too leverage of the danger that maintain life is 15, reside the 9th; The leverage of safe life danger is 12.4, reside 16; Chinese birthdayleverage is 9.1, reside the 35th.

        Text:

        Go up month, we gave out index of yield of license plate of birthday risk company, drew the outline of the benefit source source of birthday risk company, basically be net assets yield, breath amortize of poor income, odd limit and battalion carry deviation, following plan institute are shown.

        Among them, the insurance business relation that net assets investment gain rate and license plate gift is not big. Besides net assets, other pattern of business of industry of 3 understandable danger that it is birthday, because had birthday danger license plate,also be, ability enjoys pattern of this kind of trade.

        The source of the gain of danger industry basically reflects birthday to invest a paragraph to go up in reserve of birthday danger responsibility and depositor, both what occupy total assets again is close most probably.

        Do not break run-of-mill, also compare to facilitate, we use total assets to divide the leverage with company of risk of birthday of net assets computation. This ratio can mirror license plate to gift the lever prize motivation of birthday risk company.

        Of course, leverage discretion was not the ultimate goal that we pursue, be in leverage analysis process is medium, we use what serve as best leverage with ROE-max to examine measure.

        One, leverage of birthday danger industry and ROE

        Graph 1.1 gave out 2010-2019 year total assets of birthday danger industry and state of net assets dimensions. Dimensions of total assets of birthday danger industry was 15.8 trillion yuan 2019, nearly 10 years compound add fast for 17.8% ; Net assets dimensions is 1.4 trillion yuan, nearly 10 years compound add fast for 16.8% , all present a high speed to develop posture.

        Those who need a specification is, index is to be based on company of 81 birthday risk to add related birthday danger industry total and, particular company list sees the pop chart of the 4th part.

        Graph 1.2 gave out 2010-2019 year the leverage contrast state of birthday risk line of business and banking. Leverage of birthday risk line of business was 2019 10.9, banking leverage is 12.3. Among them, banking leverage is to be based on on Chinese capital market 36 to appear on the market to the financial data of the bank is calculated and be gotten.

        Discover not hard from inside the graph, the leverage of banking wants job of danger of prep above birthday. But from the point of the trend, nearly 10 years banking leverage glides continuously, and leverage of birthday danger industry keeps basically stable.

        Graph 1.3 gave out 2010-2019 year the ROE comparative state of birthday risk line of business and banking. The computation of ROE of two kinds of industries all is to use net profit to divide with period end net assets. ROE of birthday risk line of business was 2019 16% , and banking ROE is 11% .

        From the point of the trend, the ROE of banking glides continuously, since 2018 ROE of birthday danger industry has exceeded banking two years continuously.

        2, birthday danger industry is not mixed with the leverage of type company ROE

        Graph 2.1 gave out 2010-2019 year birthday danger industry is disparate the leverage of type company. Old 2019 3 leverage 10.9, position of be placed in the middle; The leverage of company of medium-sized birthday risk is highest for 13.3, the leverage of company of small-sized birthday risk is lowest it is only 9.4.

        Graph 2.2 gave out 2010-2019 year birthday danger industry is disparate the ROE of type company. Differ with leverage sort, old 2019 3 ROE are 22.1% , it is highest; The ROE of company of medium-sized birthday risk is 14.8% , be placed in the middle; The ROE of company of small-sized birthday risk is lowest it is only 7.8% .

        This also goes out from flank report, be not tall lever to bring high profit certainly, but at the same time low lever also cannot bring high profit, where is the best leverage that whether is put in birthday danger industry?

        3, the best leverage of birthday danger industry

        We use nearly 10 years to involve data of nearly 600 example, leverage of company of research birthday risk is affected to the demonstration of ROE.

        From the graph 3.1 in, we discover leverage is had to ROE " U " model nonlinear influence. According to the general disposal specification that a case of a physically strong patient running a high fever or suffering from such disorders as stasis of blood studies, when we joined leverage in the model mix 2 times, according to the property of parabola, we can be calculated give best leverage to be 0.0320182/ (2*0.0014738) =10.8.

        Graph 3.2 those who gave out to describe leverage and ROE come loose bit of graph and plan to add up to a curve, can very see clearly, when leverage under 10.8 when, leverage and ROE positive close; And when leverage prep above 10.8 when, leverage and ROE are negative close.

        Angle of a case of a physically strong patient running a high fever or suffering from such disorders as stasis of blood, we can understand our to increase as leverage, it is first to the influence of company ROE, it is negative after.

        Same we also examined whether is the relation between banking leverage and ROE also satisfied " U " model. Graph 3.3 gave out of banking leverage and ROE medicinal powder the relation that choose a plan.

        Why does leverage appear to the influence of ROE go out " U " model? Run-of-mill consensus, leverage can raise company ROE really, produce the effect of lever prize accrual.

        But rise as the abidance of leverage, the company is managed in accumulate contained potential risk also is in accumulate gradually, ceaseless and fluctuant, will naturally develop generation continuously to firm health adverse effect.

        Fortunately, enough rate can measure the solvency of birthday risk company company accumulate contained risk level. Solvency is led amply taller, show company management venture is smaller.

        Graph 3.4 gave out leverage and solvency lead amply medicinal powder the relation that choose a plan.

        Discover not hard, both between existence loses dependency significantly. Because solvency is enough rate change range is bigger, to reduce different variance effect, we take our logarithm.

        Graph 3.5 gave out of the logarithm series that leverage and solvency lead amply medicinal powder the relation that choose a plan. Both between what negative closes is more intuitionistic.

        4, pop chart of leverage of birthday risk company

        Watch 1 gave out nearly 5 years the leverage pop chart of birthday risk company.

        Place of preamble of no less than discusses, we are not hope leverage to had been jumped over higher, but total need gives out one forms a standard, by arrive greatly small it is to read only convenient.

        The leverage that the day brought person life 2019 is highest, achieved 50.2; And the birthday risk company of leverage lowest is lucky China health, leverage is only 1.2. Outside eliminating business mode difference, because this company held water in May 2018, management time is short certain to company leverage generation also influence.

        In addition, too leverage of the danger that maintain life is 15, reside the 9th; The leverage of safe life danger is 12.4, reside 16; The leverage of Chinese birthday is 9.1, reside the 35th.

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