NBER WORKING PAPER SERIES RISK MANAGEMENT, CAPITAL BUDGETING AND CAPITAL STRUCTURE POLICY FOR INSURERS AND REINSURERS
NBER WORKING PAPER SERIES RISK MANAGEMENT, CAPITAL BUDGETING AND CAPITAL STRUCTURE POLICY FOR INSURERS AND REINSURERS
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NBER 工作文件系列：保险公司和再保险公司的风险管理、资本预算和资本结构政策
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发表时间：
2003
期刊：
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通讯作者：
Kenneth A. Froot
中科院分区：
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作者：
Kenneth A. Froot
本文在Froot和Stein(1998)的基础上建立了一个分析保险公司和再保险公司面临的风险分配、资本预算和资本结构决策的框架。该模型包含三个关键特征：i)价值最大化的保险公司和再保险公司面临着产品市场和资本市场的不完善，这引发了人们对风险管理和资本分配的充分担忧；ii)他们面临的一些但不是全部风险可以在资本市场上无摩擦地进行对冲；iii)他们的现金流可能是不对称的，这改变了承保和对冲的需求。我们发现，这些特征导致了一个三因素模型，该模型决定了风险的定价和分配以及公司的最优资本结构。这种方法使我们能够将这些功能整合到：i)风险投资、承保、再保险和对冲的定价；以及ii)在所有这些机会中的风险分配，以及公司持有的最优盈余资本量。肯尼斯·A·弗罗特商学院哈佛大学士兵田野波士顿邮编：02163
This paper builds on Froot and Stein (1998) in developing a framework for analyzing the risk allocation, capital budgeting, and capital structure decisions facing insurers and reinsurers. The model incorporates three key features: i) value-maximizing insurers and reinsurers face productmarket as well as capital market imperfections that give rise to well-founded concerns with risk management and capital allocation; ii) some, but not all, of the risks they face can be frictionlessly hedged in the capital market; iii) the distribution of their cashflows may be asymmetric, which alters the demand for underwriting and hedging. We show that these features result in a three-factor model that determines the pricing and allocation of risk and the optimal capital structure of the firm. This approach allows us to integrate these features into: i) the pricing of risky investment, underwriting, reinsurance, and hedging; and ii) the allocation of risk across all of these opportunities, and the optimal amount of surplus capital held by the firm. Kenneth A. Froot Graduate School of Business Harvard University Soldiers Field Boston, MA 02163 and NBER kfroot@hbs.edu