Market timing,investment, and risk management

The 2008 financial crisis exemplifies significant uncertainties in corporate financing conditions. We develop a unified dynamic q-theoretic framework where firms have both a precautionary-savings motive and a market-timing motive for external financing and payout decisions, induced by stochastic financing conditions. The model predicts (1) cuts in investment and payouts in bad times and equity issues in good times even without immediate financing needs; (2) a positive correlation between equity issuance and stock repurchase waves. We show quantitatively that real effects of financing shocks may be substantially smoothed out as a result of firms' adjustments in anticipation of future financial crises.     

我国保险业面临的风险与风险管理

顺应改革开放的大潮,中国民族保险业呈现出快速成长的势头.但是,近年来国际社会金融危机迭起,金融市场风险因素快速增长,来源扩大;金融市场风险所包含的能量明显上升,金融市场风险由一般风险程度上升为危机程度的几率提高.作为我国金融业重要组成部分的保险业和作为非银行金融机构的保险企业,虽然没有受到金融风暴的直接冲击,可是,在金融市场发展中,金融机构已经开始派生出自身较为庞大的市场,从而与保险、证券等形成既相互联系又在一定程度上相互独立的基金等市场.当某一市场爆发的危机较为严重时,彼此的联系就会使另外一些市场难以独善其身.因此,防范和化解经营风险,寻求健康、持续、稳定的发展道路,已成为中国保险业当前和今后相当长一段时间的重要课题.     

基于全寿命周期的保险产品风险管理问题研究

财产保险公司作为经营财产风险的微观经济实体,不仅要承担和转化被保险人的风险,同时还需要防范和化解自身风险。作为保险公司风险的承载体——保险产品,则成为其风险管理的出发点和立足点。目前我国财产保险公司的风险管理比较浅显,仅仅停留在承保前对保险标的风险和以往事故的简单分析层面上,并没有从保险产品的全寿命周期角度进行风险管理。本文基于产品全寿命周期思想,以财产保险产品为研究点,在分析我国财产保险业发展阶段的基础上,结合经济起飞理论,验证全寿命周期思想对于财产保险产品风险管理的重要作用。     

Engineered nanomaterials: risk perception,regulation and insurance

Concerns surrounding the health risk of engineered nanomaterials, effective regulation and the lack of specifically tailored insurance products for the nanotechnology sector are putting the industry’s long-term economic viability at risk. From the perspective of the underwriter, this article speculates on the relationship between risk perception, regulation and insurability. In the nanotechnology sector, regulators are currently failing to keep pace with innovation, and insurers generally lack guiding principles for underwriting occupational risk from nanomaterial exposure. Such vulnerabilities when combined with misguided risk perceptions can lead to the overpricing of risk transfer and ill-conceived regulatory initiatives, thus potentially exhausting resources and stifling innovation in the sector. In the absence of well-developed regulatory protocols, the insurance industry has, and will continue, to occupy a key role as an effective lobby in terms of improved risk management practice. We suggest that the insurance industry will increasingly rely on control banding frameworks and ‘risk mitigation at source’ methods developed in conjunction with their clients to manage severe acute diversifiable risks. Long tail risk will continue to represent a serious challenge to insurers and regulators. In the meantime, insurers will have to bridge their current needs with improvised solutions. As an example of one possible solution, we outline a framework that utilizes financial instruments to hedge an insurer’s exposure to uncertain estimates of these long-term risks.     

利用数据仓库技术加强保险行业风险管理

中国是市场资源最丰富的国家之一,持续高速的经济增长和庞大的消费需求形成了巨大的市场潜力。在中国加入WTO、市场政策逐渐放开之后,保险市场成为中国最具吸引力的宝藏。近年来,国内企业、机构和个人的保险意识大大增强,保险市场快速发展。1999年我国保险业保费规模为1393亿元     

Social insurance,incentives and risk taking

From the perspective of parents, redistributive taxation can be seen as social insurance for their children, for which no private alternative exists. Because private insurance comes too late during a person's life, it cannot cover the same risks as social insurance. Empirically, 85% of social insurance covers risks for which no private insurance would have been available. Redistributive taxation can be efficiency enhancing, because it creates safety and because it stimulates income generating risk taking. However, it also brings about detrimental moral hazard effects. Both the enhancement of risk taking and the moral hazard effects tend to increase the inequality in the economy, and, under constant returns to risk taking, this increase is likely to be strong enough even to make the net-of-tax income distribution more unequal. Optimal redistributive taxation will either imply that the pie becomes bigger when there is less inquality in pre-tax incomes or that more redistribution creates more post-tax inequality.The author gratefully acknowledges reserach assistance by Claudio Thum and useful comments by two anonymous referees. The paper is a broadened and non-technical discussion that draws on previous writings by the author on the subject. See in particular Sinn (1995).     

Market discipline and deposit insurance

Cross-country evidence presented in this paper suggests that explicit deposit insurance reduces required deposit interest rates, while at the same time it lowers market discipline on bank risk taking. Internationally, deposit insurance schemes vary widely in their coverage, funding, and management. This reflects that there are widely differing views on how deposit insurance should optimally be structured. To inform this debate, we use a newly constructed data set of deposit insurance design features to examine how different design features affect deposit interest rates and market discipline.     

保险企业开发模式对风险管理和控制的影响

十六大以来，我国国民经济发展迅速，特别是《国务院关于保险业改革发展的若干意见》和《中国保险业“十一五”发展规划纲要》的相继出台，国内保险业在业务规模、服务创新能力及品牌竞争优势等各方面得到了快速发展和提高。但是，伴随着业务快速发展，保险业面临的外部、内部风险逐渐加大，因此，对保险业加强内控建设和强化风险管理，提高风险防范能力变得愈发重要。     

基于战略风险管理模式下的养老保险公司风险管理分析

战略风险管理模式是金融企业比较流行的一种全面风险管理模型。本文在分析养老保险公司业务经营及风险管理特殊性的基础上,应用战略风险管理基本思想,提出了当前形势下养老保险公司风险管理的核心问题,并对公司目前面临的风险类别、风险因素以及风险管控措施进行了分析研究。     

Firm value,illiquidity risk and liquidity insurance

Our interest here concerns liquidity supply to firms. We first examine the relation between firm value and access to liquidity supply, and then we investigate the existence conditions and efficiency properties of financial contracts with a liquidity covenant in a continuous-time, infinite-horizon stochastic model of a repeated firm-investors relationship where the key problem is the mutual commitment between the two parties. To model this problem we consider liquidity supply as a stochastic “regulator mechanism” that prevents the firm’s ability to pay from falling below a predefined threshold (here the market fixed coupon), and we then apply recent developments in dynamic programming techniques for “regulated processes” to obtain a close form solution for the firm’s value. Our main finding is that efficient, i.e. actuarially fair and renegotiation-proof contracts emerge in the absence of perfect commitment as the firm and the investor can exert mutual threat of termination.     

The art of risk management: the crucial role of the global art insurance industry in enabling risk and security

This article investigates the under-researched sphere of insurance. It uses empirical research data to focus on one case study, the London art world, to analyse how the global art insurance industry ‘does’ security and how it enables risk and security to be embraced. Examining how the industry plays a crucial role in the security of art and within the art world itself, the article argues that the global art insurance industry’s role is largely beneficial for the art world because by enabling risk to be embraced through insurance, its pre-crime and post-crime responses, and its influence ‘beyond’ insurance, it emboldens and fuels the dynamic, thriving global art world.     

VaR模型及其在寿险公司风险管理中的应用

随着保险产品的创新、竞争的加剧及金融市场的发展,我国寿险公司面临的风险将更为复杂和多样,如何对这些风险进行有效管理是寿险公司面临的重要难题,而VaR模型作为当前国际金融风险管理和金融监管的主流方法,含有丰富的风险管理思想,故对VaR模型进行研究并探讨其在我国寿险公司风险管理中的应用具有一定的现实意义。本文分析了寿险公司应用VaR模型时需注意的问题,并指出我国寿险公司建立基于VaR的风险管理体系需在公司治理结构、风险管理组织架构、风险管理技术、风险数据库等方面加以完善。     

From insurance risk to credit portfolio management: a new approach to pricing CDOs

We present a new approach for pricing collateralized debt obligations (CDOs) which takes into account the issue of the market incompleteness. In particular, we develop a suitable extension of the actuarial framework proposed by Bayraktar et al. [Valuation of mortality risk via the instantaneous Sharpe ratio: Applications to life annuities. J. Econ. Dyn. Control, 2009, 33, 676–691], Milevsky et al. [Financial valuation of mortality risk via the instantaneous Sharpe-ratio: Applications to pricing pure endowments. Working Paper, 2007. Available at: http://arxiv.org/abs/0705.1302], Young [Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio: Theorems and proofs. Technical Report, 2007. Available at: http://arxiv.org/abs/0705.1297] and Young [Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio. Insurance: Math. Econ., 2008, 42, 691–703], which is based on the so-called instantaneous Sharpe ratio. Such a procedure allows us to incorporate the attitude of investors towards risk in a direct and rational way and, in addition, is also suitable for dealing with the often illiquid CDO market. Numerical experiments are presented which reveal that the market incompleteness can have a strong effect on the pricing of CDOs, and allows us to explain the high bid-ask spreads that are frequently observed in the markets.     

The impact of enterprise risk management on the marginal cost of reducing risk: Evidence from the insurance industry

We test the hypothesis that practicing enterprise risk management (ERM) reduces firms’ cost of reducing risk. Adoption of ERM represents a radical paradigm shift from the traditional method of managing risks individually to managing risks collectively allowing ERM-adopting firms to better recognize natural hedges, prioritize hedging activities towards the risks that contribute most to the total risk of the firm, and optimize the evaluation and selection of available hedging instruments. We hypothesize that these advantages allow ERM-adopting firms to produce greater risk reduction per dollar spent. Our hypothesis further predicts that, after implementing ERM, firms experience profit maximizing incentives to lower risk. Consistent with this hypothesis, we find that firms adopting ERM experience a reduction in stock return volatility. We also find that the reduction in return volatility for ERM-adopting firms becomes stronger over time. Further, we find that operating profits per unit of risk (ROA/return volatility) increase post ERM adoption.     

保险企业IT风险管控的三个关键

近年来,我国保险业信息化建设取得的成就有目共睹,IT已经成为推动保险业加速发展的重要动力,保险业对IT的依赖程度也越来越高。在IT集中管理的大趋势下,如何有效识别和控制各类IT风险成为保险企业面临的重要问题。保险企业只有不断强化IT风险管控,加大信息安全投入力度,建立完善的风险管理体系,才能防范和化解IT风险,为保险业的持续健康发展夯实基础。     

Government action,biases in risk perception,and insurance decisions

Biases in risk perception potentially have a large effect on insurance and risk-related behavior. The government can alter these perceptions either through informational programs or controlling the risk. Policies that convey a higher risk level generally have the expected effects on insurance and protective actions, whereas efforts that increase the precision of either the government risk information or private beliefs typically have ambiguous effects. In some cases, the structure of how government policies enter the risk-belief function is consequential. Ascertaining the magnitude of the effects, not simply the direction, also is an important issue. For example, misperceptions have a dramatic effect on the tradeoffs between compensating differentials and the size of the loss but a negligible effect on the tradeoff between compensating differentials and the magnitude of the probability.     

Flood insurance literacy and flood risk knowledge: Evidence from Portland,Oregon

Flood costs are escalating due to climate change and increased development in hazardous areas. Flood insurance plays a critical role in financial recovery, but there is very little research on how well consumers understand flood insurance policies. Poor insurance literacy could lead to suboptimal risk management decisions. This paper presents some of the first evidence on homeowner flood insurance literacy from a survey of residents in Portland, Oregon. We find that while a basic understanding of general insurance terms is widespread, details about flood insurance policies are not well-understood and many respondents do not know the specific terms of their policy. Residents of the 100-year floodplain are more likely to know that their homeowners’ insurance does not cover flooding, but do not have substantially better understanding or knowledge of specifics about their policy than those outside the floodplain. We also find that the majority of survey respondents did not learn about their flood risk or the cost of flood insurance until after making an offer on their property.     

Accessibility of flood risk insurance in the UK: confusion,competition and complacency

Flood risk insurance can be an effective tool in assisting the restoration of damaged property after a flood event and sustaining communities through difficult times. It can also form part of a wider flood risk management strategy. In the light of recent flood events in the UK and in the context of changing property insurance markets, the universal cover previously enjoyed by floodplain residents has been called into question. Conflicting media and industry views leave the floodplain resident and the wider community in confusion. A survey of floodplain residents in England regarding their experience with flooding and flood insurance in England has been undertaken. The results reveal that some floodplain residents do indeed encounter difficulties when seeking insurance for their homes. However, despite the risk‐averse policies of some insurers, availability of insurance is still strong in both at‐risk and previously flooded locations. Success in gaining insurance may lead to complacency among residents who see no advantage in pursuing other, more costly, damage mitigation actions. As a tool in risk management, therefore, the market is prevented from realising its potential by competition, which results in a lack of a consistent approach, rewards homeowners' search strategies and reduces information flow.     

Testing the risk as feeling and risk as analysis perspective for insurance: the antecedents of purchasing unit-linked life insurance products

Risk and uncertainty are critical to human decision-making. Yet our understanding of the underlying traits that present the foundation of decision-making remains limited. The work develops a causal model of the antecedents of consumers’ purchase behavior in the context of unit-linked life insurance products. Our experimental approach (n?=?929) builds on the risk as analysis and risk as feeling perspective, which entails huge theoretical and practical contributions. Risk avoidance and uncertainty avoidance are identified to strongly influence the product perceptions. We complement our findings by investigating the conditions that favor the influence of both traits by investigating moderating effects.