美国恐怖主义风险保险立法研究

美国9.11恐怖袭击事件发生后,美国保险市场一度出现混乱:由于恐怖袭击风险的不可保性,私人保险市场的保险人纷纷把恐怖袭击风险从工商企事业保险的保险责任中删除,这种状况直到布什总统签署了《恐怖主义风险保险法》后才停止。本文重点研究了该法案的主要内容,并对该法案的特点和市场效果做了分析     

我国巨灾风险可保性的理性思考

巨灾保险虽然一直未能真正踏上破冰之旅,但近年频发加剧的巨灾,使巨灾保险再次成为保险业的聚焦领域。巨灾风险可保性争论不休,业界徘徊不前,厘清巨灾风险的保险属性,可否引导市场参与巨灾风险的有效管理,特别是金融市场、保险市场和资本市场的联动推进,更是尚需解决的问题。基于巨灾风险管理的理论分析认为,我国巨灾风险具备可保性有其理...     

Damages Caps, Insurability, and the Performance of Medical Malpractice Insurance

This article uses the complete property‐casualty insurance files of the National Association of Insurance Commissioners from 1984 to 1991 to assess the effect of medical malpractice reforms pertaining to damages levels and the degree to which these damages are insurable. Limits on noneconomic damages were most influential in affecting insurance market outcomes. Several punitive damages variables specifically affected the medical malpractice insurance market, including limits on punitive damage levels, prohibitions of the insurability of punitive damages, and prohibition of punitive damages awards. Estimates for insurance losses, premiums, and loss ratios indicate effects of reform in the expected directions, where the greatest constraining effects were for losses. The quantile regression analysis of losses indicates that punitive damages reforms and limits were most consequential for firms at the high end of the loss spectrum. Tort reforms also enhanced insurer profitability during this time period.     

A Value at Risk Approach to Background Risk

This paper studies the effects of an uninsurable background risk (BR) on the demand for insurance (proportional and with deductible). We study both the case of BR uncorrelated with the insurable one and the perfectly correlated one, in a Gaussian world. In order to perform our study, we exploit the new risk measure known as Value at Risk (VaR) and consider insurance contracts which are Mean-VaR efficient. We obtain results which depend on the parameters (moments) of both risks and on the magnitude of loadings charged by the insurance company, instead of depending on the risk attitudes of the insured, such as risk aversion and prudence.We demonstrate that, if loadings are not too high, the demand for insurance increases with positively correlated BR; it decreases with BR negatively correlated if the latter is less risky than the insurable one (in this case it can even go to zero, if loadings are too high); it goes to zero with BR which is negatively correlated and more risky than the insurable one.     

Risiken aus kommerzieller Nutzung des Internet — Möglichkeiten der Schadenverhütung und Versicherung

Due to the increasing importance of the Internet and its commercial use a new risk category has emerged, opening up interesting business opportunities for insurance companies. — Besides insurance, loss prevention measures must be considered key aspects in this context, particularly since without contract clauses regarding loss prevention and extensive assessment of an insured’s activities in this field, insurance may not be available in many cases. After a short classification and explanation of Internet risks, this paper firstly deals with loss prevention, concentrating on the technical measures such as cryptology or firewall concepts, which are specific for the risks in question. These measures allow for a significant increase in the security of data transfer and the security of individual networks’ connections to the Internet. A complete elimination of risk, however, is usually not an economically reasonable goal. The question, to what extent the remaining risk can be covered by insurance, is addressed in the following section of this paper, in which we analyze problems of insurability and how these problems could probably be solved through product design.     

Financing and the demand for corporate insurance

In this paper we examine the insurance decision of a firm with private information regarding its cash flows and insurable losses. We show that, even in the absence of bankruptcy costs and information production by insurers, the firm's attempts to hedge its information risk can induce it to demand insurance. If higher operating revenues are accompanied by a lower insurance risk, the firm will choose to self-insure. In contrast, if higher operating revenues are accompanied by a higher insurance risk, the firm will demand insurance. In fact, if its insurable losses are relatively small, the firm will fully insure its losses. Further, if there exists considerable uncertainty regarding the firm's insurance risk, the level of coverage demanded by the firm is dependent on its private information, with higher levels of coverage signaling favorable information regarding the firm's future operations.     

Is consumption risk priced in the stock market?

The paper examines whether the risk in the consumption of stockholders caused by incomplete consumption insurance is priced in the cross-section of average stock returns. Using Taylor series expansion of the average marginal utility of consumption, we show that the risk in the consumption of stock market participants can be decomposed into two components, insurable (hedgeable using financial assets) and uninsurable (caused by incomplete consumption insurance) consumption risks. We argue that the growth rate of average consumption may be viewed as a proxy for the insurable component of consumption risk, while the growth rates of the rescaled higher-order cross-sectional consumption distribution moments may be regarded as a multivariate proxy for uninsurable risk in consumption. Exploiting microlevel household quarterly consumption data from the US Consumer Expenditure Survey, we find that both components of consumption risk are significantly priced when the limited stock market participation is taken into account. Neither the insurable and uninsurable components of consumption risk nor the Fama–French risk factors are rejected as capturing important components of systematic risk when tested against each other in an integrated multifactor asset pricing model.     

背景风险对保险需求的影响——基于中国健康保险市场的实证研究

保险需求理论研究表明,不可保的背景风险会增加投保人对可保风险的保险需求。本文把2003年发生的SARS看作一次自然实验,来检验背景风险对保险需求的影响。本文用我国健康保险市场的时间序列数据,通过邹-检验和时间序列结构突变检验方法,对存在背景风险时的保险需求理论进行实证研究。研究发现,背景风险会增加投保人对可保风险的保险需求,但这种影响只具有短期效应。     

Corporate Insurance Strategy: The Case of British Petroleum

The authors provide a fundamental rethinking of how corporations should evaluate various kinds of risks and risk management solutions—a rethinking that leads to a major shift in British Petroleum's approach to insuring property and casualty losses, product liability suits, and other insurable events. Conventional corporate practice—and until the early 1990s (when this article was written) the longstanding policy of BP and most large oil companies—was to insure against large losses while self‐insuring against smaller ones. In this article, the authors explain why BP has chosen to go against the conventional wisdom and instead buy insurance for mainly smaller losses while self‐insuring larger ones. The BP decision came down to factors affecting the market supply of insurance as well as the corporate demand for it. On the demand side, the authors demonstrate that the primary source of demand for insurance by large public companies is not, as standard insurance textbooks assume, to transfer risk away from the corporation's owners. Because corporate stockholders and bondholders effectively manage the effects of such risks by diversifying their own portfolios, the corporate demand for insurance in BP's case stems from the insurers' comparative advantage in evaluating and monitoring BP's smaller risks and in processing claims. On the supply side, the authors explain why the capacity of insurance companies and markets to underwrite very large or highly specialized exposures—when compared to the industry expertise and financial resources of companies like BP—is quite limited, and likely to remain so. Since premiums would be experience‐rated and prior years' losses simply rolled into the following years' premiums, there would be no effective transfer of risk, and so no gain to BP from buying insurance.     

Management von Terrorrisiken in Deutschland — eine empirische Analyse

In this article insurance is considered as a means for allocating terrorism risk. After September 11^th, 2001 several countries, among them Germany, Great Britain, and the United States, have intervened on the markets for terrorism insurance. In Germany a primary insurance company was founded by the government and private insurers to supply cover for this peril. Using a full dataset of the demand for terrorism insurance this paper provides an evaluation of the intervention on the market for terrorism insurance in Germany. The results derived are then used to suggest ways to improve the allocation of terrorism risk in Germany.     

The Spillover effect of compulsory insurance

The assumption usually made in the insurance literature that risks are always insurable at the desired level does not hold in the real world: some risks are not—or are only partially—insurable, while others, such as civil liability or health and workers' injuries, must be fully insured or at least covered for a specific amount. We examine in this paper conditions under which a reduction in the constrained level of insurance for one risk increases the demand of insurance for another independent risk. We show that it is necessary to sign the fourth derivative of the utility function to obtain an unambiguous spillover effect. Three different sufficient conditions are derived if the expected value of the exogenous risk is zero. The first condition is that risk aversion be standard—that is, that absolute risk aversion and absolute prudence be decreasing. The second condition is that absolute risk aversion be decreasing and convex. The third condition is that both the third and the fourth derivatives of the utility function be negative. If the expected value of the exogenous risk is positive, a wealth effect is added to the picture, which goes in the opposite direction if absolute risk aversion is decreasing.     

Precautionary Insurance Demand With State-Dependent Background Risk

This article considers a zero‐mean background risk that is uncorrelated with insurable losses, but is not necessarily statistically independent. In particular, the size of the background risk can vary in different insurable‐loss states. We show how a prudent individual will buy either more insurance or less insurance than with no background risk, depending on the relative size of the background risk in the loss states vis‐á‐vis the no‐loss states. If we consider two individuals, with one more risk averse than the other, we need to compare the intensities of their precautionary motives, in addition to their measures of risk aversion, before we can determine who buys more insurance coverage in the presence of the state dependent background risk.     

Insurance demand in the presence of loss-dependent background risk

We analyze insurance demand when insurable losses come with an uninsurable zero-mean background risk that increases in the loss size. If the individual is risk vulnerable, loss-dependent background risk triggers a precautionary insurance motive and increases optimal insurance demand. Prudence alone is sufficient for insurance demand to increase in two cases: the case of fair insurance and the case where the smallest possible loss exceeds a certain threshold value (referred to as the large loss case). We derive conditions under which insurance demand increases or decreases in initial wealth. In the large loss case, prudence determines whether changes in the background risk lead to more insurance demand. We generalize this result to arbitrary loss distributions and find conditions based on decreasing third-degree Ross risk aversion, Arrow–Pratt risk aversion, and Arrow–Pratt temperance.     

Optimal insurance with background risk: An analysis of general dependence structures

Finance and Stochastics - In this paper, we consider an optimal insurance problem from the perspective of a risk-averse individual who faces an insurable risk as well as some background risk and...     

Background Uncertainty and the Demand for Insurance Against Insurable Risks

Theory suggests that people facing higher uninsurable background risk buy more insurance against other risks that are insurable. This proposition is supported by Italian cross-sectional data. It is shown that the probability of purchasing casualty insurance increases with earnings uncertainty. This finding is consistent with consumer preferences being characterized by decreasing absolute prudence.     

Nanotechnologie – Rechtliche Aspekte zur Versicherbarkeit von Produkten am Anfang neuer wissenschaftlicher Erkenntnisse

The article deals with the question which options exist in order to improve insurability of emerging risks, which are difficult to assess. The topic is illustrated by taking the example of nanotechnology. The author demonstrates how mathematical insurability may be increased by using contractual instruments such as the claims made principle, limits with regard to the duration and extent of insurance cover or the insured’s risk-related duties. Furthermore some ways to improve economic insurability are discussed. The analysis of pros and cons shows that the various options vary considerably with regard to their impact on insurability.     

To Insure or Not to Insure?: An Insurance Puzzle

The selection of a deductible level in insurance is governed by the willingness to limit the risk borne by risk-averse agents at an acceptable cost, given the deadweight insurance loading. We examine the demand for insurance in a simple lifecycle model with a liquidity constraint and no serial correlation in the insurable risk. This allows for consumers to follow a time-diversification (self-insurance) strategy by accumulating buffer stock wealth. We conclude that insurance would only be demanded for catastrophic risks, or by people that are currently liquidity constrained. The added value of the insurance sector is thus surprisingly low in such an economy.     

Wer trägt das Terrorrisiko?

This article deals with insuring terrorism risks and it focuses on the situation in Germany after the events of September 11^th 2001. After a brief introduction to the general problems of insuring against terrorism the authors explore how terrorism affects different lines of insurance business in Germany and examine Extremus, the German specialist insurer with government backing for insuring property risks against terrorism. A thorough analysis of different aspects of risk transfer follows. This analysis also addresses different pricing strategies for insuring against terrorism. In this section the authors focus on the question to what extend one can really speak of a risk transfer through insurance in respect to terrorism. Scenarios are developed of how large losses would affect the insurance industry as well as the customers. In regard to those scenarios it becomes visible that the risk transfer from the policyholder to the insurer is not complete.In their conclusion the authors examine some scenarios of increased and decreased terrorist activity and the effects that each of these scenarios will have on the solution of insuring against terrorism through Extremus.     

Background Risk, Demand for Insurance, and Choquet Expected Utility Preferences

This article deals with demand for insurance with a background risk in a nonprobabilized uncertainty framework, where preferences are represented by a nonadditive model of decision making. The Choquet expected utility model that we use generalizes expected utility and allows for a separation of the attitude towards uncertainty and the attitude towards wealth. When the insurable and the background risk are comonotone, the impact of the background risk on the demand for insurance is related to the attitude towards wealth. In contrast, when the two risks are anticomonotone, the attitude towards uncertainty is determinant. In this case, some of the resulting behaviors cannot be explained by the standard expected utility model.     

台风风险的可保性及其市场供求行为分析

台风灾害每年都给中国东部沿海地区造成巨大的经济损失,但到目前我国保险市场还没有单一责任的台风保险来分担此风险。台风保险是一种准公共物品,如果政府能够介入该保险市场,其可保性则得以提高。对有政府支持的台风保险供求行为博弈分析表明,农户购买台风保险的保险费用占其总产出的百分比在农户和保险公司的决策中至关重要。