This paper deals with the effects of distribution stress and macroeconomic factors on the composition of life insurance investment portfolios on the Central European market. Using a wide array of variables and the VAR model as our main method, we have found that a strong majority of insurers react to external shocks, induced by high levels of contract turnover or positive changes in macro-variables such as GDP and inflation, by strengthening bond components of their portfolio. The exception is connected to interest rates (two-week repo), which presumably have a negative effect on bond investments. Other components such as shares, funds and cash positions have been affected in a diverse way, yet to a minor extent. This implies that insurers tend to react to external stressors by beefing up the conservative part of their investments, potentially leading to an underperformance of managed assets. As such, our results point to conceivable regulatory implications, which would prevent those secondary negative detriments of life distribution growth (i.e., reselling), which are to be expected on the surveyed market.

中文翻译：

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分配增长是否会影响人寿保险公司的资产配置？中欧案例

本文探讨了分配压力和宏观经济因素对中欧市场上寿险投资组合的构成的影响。通过使用各种各样的变量和VAR模型作为我们的主要方法，我们发现绝大多数保险公司对外部冲击做出了反应，这些外部冲击是由于高额合同周转率或GDP和通货膨胀等宏观变量的积极变化所引起的。加强其投资组合中的债券组成部分。唯一的例外是利率（两周回购），可能对债券投资产生负面影响。股票，资金和现金头寸等其他组成部分受到了不同程度的影响，但程度较小。这意味着保险公司倾向于通过增加投资的保守部分来应对外部压力，可能导致托管资产的表现不佳。因此，我们的结果指出了可能的监管影响，这将防止预期分布在调查市场上的那些人生分布增长的次要负面影响（即转售）。