CAPITAL ALLOCATION FOR INSURANCE COMPANIES
CAPITAL ALLOCATION FOR INSURANCE COMPANIES
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DOI：
10.2307/2691539
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发表时间：
2001-12
影响因子：
1.9
通讯作者：
S. Myers;J. Read
中科院分区：
文献类型：
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作者：
S. Myers;J. Read
这项研究表明了期权定价方法如何可用于在不同险种之间分配所需资本（盈余）。资本分配取决于各险种损失的不确定性，以及与其他险种损失和资产收益的相关性。分配取决于各险种对违约价值的边际贡献，即保险公司违约期权的现值。作者表明，边际违约价值加总等于公司的总违约价值，因此资本分配是唯一的，而非任意的。因此，他们不同意先前文献中认为不应将资本分配到业务险种或应统一分配的观点。该研究基于标准期权定价方法给出了几个例子。然而，证明资本分配唯一性的“加总”结果适用于损失和资产收益的任何联合概率分布。该研究最后阐述了对保险定价和监管的影响。
This study shows how option pricing methods can be used to allocate required capital (surplus) across lines of insurance. The capital allocations depend on the uncertainty about each line's losses and also on correlations with other lines' losses and with asset returns. The allocations depend on the marginal contribution of each line to default value-that is, to the present value of the insurance company's option to default. The authors show that marginal default values add up to the total default value for the company, so that the capital allocations are unique and not arbitrary. They therefore disagree with prior literature arguing that capital should not be allocated to lines of business or should be allocated uniformly. The study presents several examples based on standard option pricing methods. However, the "adding up" result justifying unique capital allocations holds for any joint probability distribution of losses and asset returns. The study concludes with implications for insurance pricing and regulation.