Optimal Controls for a Large Insurance Under a CEV Model: Based on the Legendre Transform-Dual Method

The purpose of this paper is to consider the optimal proportional reinsurance and investment strategies for an insurance company. The insurer’s surplus process is approximated by a Brownian motion with drift. The insurance company can purchase proportional reinsurance and invest the surplus in a financial market which includes one risk-free asset and one risky asset whose price is modeled by a CEV model. The primary problem is changed to the dual problem by implying Legendre transform. When the objective of the insurance company is to maximize the expected logarithmic utility from terminal wealth, the closed-form expressions for the optimal reinsurance-investment policy which is different to the Merton case to the primal optimal problem are obtained and numerical simulations are provided to demonstrate our results. Moreover, we find an interesting result that risk exposure is non-monotonic in the cost of reinsurance.

     

科技保险基金风险管理与投资策略研究展望

在介绍科技保险与再保险研究情况的基础上,探讨如何针对科技保险的风险机制和保险特征研究科技保险基金的风险管理与投资策略问题。在综述相关研究现状与趋势后认为,可从以下方面展开：建立风险资产模型,构造一个新型风险函数,研究最优再保险策略与各参数之间的关系以及最优分红策略,并研究风险资产模型对破产概率和确定时刻预期累计收益的影响;研究再保险方式对破产概率和确定时刻预期累计收益的影响;研究不同效用函数对不同确定时刻预期累计收益的影响,并引入不同风险测度方法,研究在不同情形下如何选择最优风险测度准则;考虑再保险双方,设计一种新的保险机制;建立试点平台,采集大量经验概率,并以此为基础建立科技保险的费率厘定模型,进而形成一套方法体系。     

Optimal reinsurance policies with two reinsurers in continuous time

An optimal reinsurance problem of an insurer is studied in a continuous-time model, where insurance risk is partly transferred to two reinsurers, one adopting the expected-value premium principle and another one using the variance premium principle. The insurer aims to select an optimal reinsurance arrangement to minimize the probability of ruin. To provide an easy-to-implement solution to the problem, (semi)-explicit expressions for the optimal reinsurance strategies as well as the minimal ruin probabilities are derived for several claims distributions. Numerical studies including a real-data example based on the Danish fire insurance losses are provided to illustrate the solution of the problem. Our empirical results based on the Danish data reveal that the heavy-right-tailedness of claims distributions has a significant impact on the optimal reinsurance strategies and has a quite pronounced impact on the residual risk described by the minimal ruin probability.     

自然灾害、巨灾保险与政府主导

近年来,中国各地频频发生地震、干旱、洪水等自然灾害,给人民群众的生命和财产造成了损失,影响了社会经济的运行。巨灾保险作为一种有效转移自然灾害风险的市场手段,对分担巨灾带来的经济损失、稳定社会经济发挥着重要的作用。而当前中国巨灾保险体系的建设还离不开政府的主导推动,只有政府和保险公司紧密合作,加大巨灾险种的引进创新,利用好再保险和巨灾保险基金等多样化风险转移工具,尽快构建巨灾保险体系,才能有效保障中国经济继续保持又好又快增长。     

How does reinsurance and derivatives usage affect financial performance? Evidence from the UK non-life insurance industry

A three-equation structural model is applied in this study to facilitate our examination of 1994–2011 regulatory returns data on UK non-life insurers, from which we find that those insurers using more reinsurance tended to have inferior financial performance, whilst those insurers with a predisposition towards risk management tended to have used both reinsurance and derivatives. We also find that those insurers with high loss ratios were found to have inferior financial performance. Our analysis sheds some light on the relationships between financial performance, reinsurance and derivative usage.     

我国开发环境责任保险的必要性与可行性分析

环境责任保险有利于维护公众的利益,有利于企业经营的稳定,有利于对环境污染的监管,有利于我国保险业的发展,有利于社会的安定,也有利于国家财政负担的减轻。但是,由于环境责任风险具有基本风险的特征,导致保险公司的经营风险增加,影响了保险公司的开发积极性;价格偏高制约了投保人的有效需求;公众维护自身权益的意识有待加强以及相关法律、法规不完善也严重地阻碍了环境责任保险的开发,因此,政府应该通过税收优惠、强制保险和完善法律、法规扶持环境责任保险的开发,保险业应通过限制保险金额、规定绝对免赔额和利用再保险降低和转移经营风险,厂家应积极购买环境责任保险来转移环境责任风险。     

财险公司防范利率风险的策略研究

财险公司在防范利率风险时，需要采用对利率变动反应灵敏的策略。大多数的研究都不太重视这个问题，认为财险公司可以通过再保险安排来解决利率风险问题。本文利用期望效用理论证明了财险公司不能依靠再保险来防范利率风险。而后．通过一个算例直观地说明了利率变动与财险公司保费策略之问的关系．并结合我国的保险实践提出了解决方案。     

中国财产保险公司资本结构的影响因素

利用1998-2009年中国大陆地区财产保险公司的业务数据和财务数据,通过差分GMM方法实证研究中国财产保险公司资本结构的影响因素发现:中国财产保险公司的目标负债水平与公司规模、再保险利用、公司成熟度的关联显著为正,与利润波动性的关联显著为负,而与产品分散化、地理分散化、产品收支间隔期的关联不显著.     

基于PPP模式的海洋灾害保险合作模式分析

基于我国灾害救助以政府为主、商业性模式开发不足，且海洋灾害风险管理实践发展相对落后的现实，以PPP模式为雏形的灾害保险不失为一种有益的尝试。针对海洋灾害保险存在的信息不对称与主体地位不对等问题，在引入再保险机构、构建新的不对称PPP参与模式基础上，运用灰博弈模型对各主体参与的动态博弈过程及稳定策略进行分析，利用原保险与再保险双维灰博弈矩阵，求得各参数情形下的稳定策略，并对各情形下的稳定策略实现路径进行具体解析，为海洋灾害保险合作模式的达成提供进一步的决策参考     

巨灾风险证券化及在中国保险市场的应用

在分析了巨灾风险的损失频率与损失幅度的特点、传统保险与再保险对抗巨灾风险的局限性等方面的基础上，重点介绍了巨灾风险证券的几种产品类型，分析了各种风险转移方式的优缺点。最后，根据中国保险市场的特点，从应用环境和应用条件两个方面提出了开展巨灾风险证券化应用的若干设想。     

Pareto optimal chains of reinsurance

Extending Arrow (1963), we show that coinsurance is the optimal insurance scheme if all companies belonging to a chain of reinsurance are risk averse. The extent to which Borch's (1960) theorem and corollary are still valid in this context is investigated.     

金融危机下全球保险业风险管理策略调整新动向

2007年发端于美国的次贷危机迅速演变为全球性金融危机,各国金融业损失惨重,作为金融业三大支柱之一的保险业也未能幸免。本文分析了金融危机冲击下全球保险业的风险变动和随之引发的保险业风险管理策略新动向,同时这些变革也给我国保险业在未来的改革与发展中,如何防范风险、健康成长带来深刻启示。     

Corporate insurance with optimal financial contracting

Summary. This paper attemps to rationalize the use of insurance covenants in financial contracts, and shows how external financing generates a demand for insurance by risk-neutral entrepreneurs. In our model, the entrepreneur needs external financing for a risky project that can be affected by an accident during its realization. Accident losses and final returns are private information to the firm, but they can be evaluated by two costly auditing technologies. We derive the optimal financial contract: it is a bundle of a standard debt contract and an insurance contract with franchise, trading off bankruptcy costs vs auditing costs. We then analyze how this optimal contract can be achieved by decentralized trading on competitive markets when insurance and credit activities are exogenously separated. With additive risks, the insurance contract involves full coverage above a straight deductible. We interpret this result by showing how our results imply induced risk aversion for risk-neutral firms. Received: December 14, 1998; revised version: August 11, 1999     

Financial opening, deposit insurance, and risk in a model of banking competition

We study the impact of competition on banks’ risk-taking behavior under different assumptions about deposit insurance and the dissemination of information. While financial opening increases banks’ riskiness, a risk-based deposit insurance or, alternatively, the public disclosure of financial information, are likely to mitigate this effect. Moreover, the limiting cases of uninsured but fully informed depositors, and risk-based full deposit insurance, yield the same equilibrium risk level. Although the welfare consequences of increased competition depend on its impact on risk, financial opening unambiguously improves welfare as we approach the limiting cases.     

基于D-D模型的退保风险传染效应研究

The prevention and control of financial risk has been placed at a more prominent position at present. Preventing the risk of cross infection and systemic risk is one of the most important tasks of the current insurance industry. The crisis signal of an insurance company may shake the confidence of consumers to a large extent, leading to a “flock effect” that causes the risk spillovers and make the insured surrender or no longer renew, which could eventually lead to systemic risk. In this paper, based on a micro perspective and D-D model, we take the insurance companies different levels of loss claims as a key variable to establish a closed insurance market model, to study the relationship between the surrender behavior and the risk contagion, and carries on the numerical simulation and the sensitivity analysis to the risk infectivity caused by the insured under different crises. The study found that there is a critical jump point when the insured faces a different degree of crisis in the insurance company, and the behavior of the insured has a certain degree of influence on the systemic risk transmission. The regulatory authorities and insurance companies need to pay attention to the contagion effects of systemic risk caused by expectations and behaviors of policyholders.     

现代金融机构操作风险管理研究

近年来操作风险管理的兴起成为全球金融界的重要现象,业界和监管界对其定义、性质和管理框架的共识已经基本形成。在操作风险衡量技术上,以损失分布法为代表的量化方法正在兴起,但面临数据难题和有效性争论。在管理策略和方法上,风险规避、控制降低、多样化分散、风险转嫁和风险吸收等多种策略,以及保险、业务外包、提取资本金、风险定价等多种手段,开始被应用于操作风险管理,面临国际化和现代化的我国金融机构应该从中学习和借鉴这些先进的理念、制度和方法。     

Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle

This paper considers the optimal dividend problem with proportional reinsurance and capital injection for a large insurance portfolio. In particular, the reinsurance premium is assumed to be calculated via the variance principle instead of the expected value principle. Our objective is to maximize the expectation of the discounted dividend payments minus the discounted costs of capital injection. This optimization problem is studied in four cases depending on whether capital injection is allowed and whether there exist restrictions on dividend policies. In all cases, closed-form expressions for the value function and optimal dividend and reinsurance policies are obtained. From the results, we see that the optimal dividend distribution policy is of threshold type with a constant barrier, and that the optimal ceded proportion of risk exponentially decreases with the initial surplus and remains constant when the initial surplus exceeds the dividend barrier. Furthermore, we show that the optimization problem without capital injection is the limiting case of the one with capital injection when the proportional transaction cost goes to infinity.     

The effects of government intervention on the market for corporate terrorism insurance

Nine OECD countries presently have national terrorism insurance programs based on some type of public–private risk sharing. While such arrangements have helped provide the necessary insurance capacity in the post-September 11, 2001 era, little is known about the effect of such governmental intervention on terrorism insurance markets. This paper focuses on the United States, where the Terrorism Risk Insurance Act of 2002 (TRIA) provides insurers with no cost federal reinsurance up to an industry-wide loss of $100 billion. We present an empirical analysis to compare how insurers' diversification behavior varies between property coverage (no governmental intervention) and terrorism coverage (with government intervention). We find evidence that insurers in the U.S. are much less diversified for terrorism coverage than they are for property lines of coverage. We interpret these findings as tentative evidence for moral hazard caused by the governmental intervention under TRIA.     

Natural vs. financial insurance in the management of public-good ecosystems

In the face of uncertainty, ecosystems can provide natural insurance to risk averse users of ecosystem services. We employ a conceptual ecological-economic model in which ecosystem management has a private insurance value and, through ecosystem processes at higher hierarchical levels, generates a positive externality on other ecosystem users. We analyze the allocation of (endogenous) risk and ecosystem quality by risk averse ecosystem managers who have access to financial insurance, and study the implications for individually and socially optimal ecosystem management, and policy design. We show that while an improved access to financial insurance leads to lower ecosystem quality, the effect on the extent of the public-good problem and on welfare is determined by ecosystem properties. We derive conditions on ecosystem functioning under which, if financial insurance becomes more accessible, (i) the extent of optimal regulation increases or decreases; and (ii) welfare, in the absence of environmental regulation, increases or decreases.     

财务报表保险招标风险评价方法及步骤设计

财务报表保险招标风险评价是一个复杂的决策过程,也是财务报表保险制度（FSI）顺利实施的技术支撑环节,其关键在于寻求最为合理的评价方法,审计独立性风险评价模型将粗糙集理论引入审计领域,并进行相应的算法设计,从而解决招标信息系统中存在的不精确信息分类问题。