Portfolio Diversification Effects of Downside Risk

Risk managers use portfolios to diversify away the unpricedrisk of individual securities. In this article we compare thebenefits of portfolio diversification for downside risk in casereturns are normally distributed with the case of fat-taileddistributed returns. The downside risk of a security is decomposedinto a part which is attributable to the market risk, an idiosyncraticpart, and a second independent factor. We show that the fat-tailed-baseddownside risk, measured as value-at-risk (VaR), should declinemore rapidly than the normal-based VaR. This result is confirmedempirically.     

新保险会计准则征求意见稿对寿险企业利润计量的影响

本文分析并比较了财政部发布的《企业会计准则第X号保险合同(修订)(征求意见稿》与我国现行保险会计准则在利润披露与确认方面的差异。通过仿真模拟利润计量,发现征求意见稿下定期寿险合同的承保后期将会确认更多的利润贡献;合同服务边际对利润计量的平滑效应更加突出,尤其是对亏损计量的吸收作用将会显现;征求意见稿对手续费及佣金的规定会进一步平稳计量利润;收入口径的改变更符合寿险合同长期性的经济特质等。因此,建议我国寿险公司统一数据平台,衔接财务系统与精算系统;调整绩效考核指标、业务结构和产品策略;更加谨慎合理地进行产品定价测算;进一步加强保单的维护工作,为应对征求意见稿的实施做好充分准备。     

B-L模型的保险资金投资多元化问题研究——从行为投资组合角度

保险资金应用是我国保险行业发展的新亮点,但是在投资中存在着投资行为不合理的问题,这严重制约着我国保险业的健康发展。经分析认为目前投资模式不当的主要问题是资产组合方法有缺陷,认为在构建资产组合时应该考虑投资人的非理性,从行为金融学角度构建了保险投资模型,在模型中加入了投资人的主观观点,这样使投资模式更趋合理。本文利用Bl...     

保险法中转让问题研究

2009年2月28日,第十一届全国人民代表大会常务委员会第七次会议对保险法进行了修订,其中新增的关于保险合同随保险标的转让的规定引人瞩目。然而,何为保险标的转让,保险合同的转让是否需要被保险人和受让人达成协议,保险合同转让后保险人如何管理风险,保险合同转让能否替代保险金请求权转让等问题都需要进一步澄清。本文对此进行了探讨,并提出了自己的看法。     

The design of an optimal insurance contract for irreplaceable commodities

This paper discusses optimal insurance contract for irreplaceable commodities. To describe the dual impacts on individuals when a loss occurs to the insured irreplaceable commodities, we use a state-dependent and bivariate utility function, which includes both the monetary wealth and sentimental value as two arguments. We show that over (full, partial) insurance is optimal when a decrease in sentimental value will increase (not change, decrease, respectively) the marginal utility of monetary wealth. Moreover, a non-zero deductible exists even without administration costs. Furthermore, we demonstrate that a positive fixed reimbursement is optimal if (1) the premium is actuarially fair, (2) the monetary loss is a constant, and (3) the utility function is additively separable and the marginal utility of money is higher in the loss state than in the no-loss state. We also characterize comparative statics of fixed-reimbursement insurance under an additively separable preference assumption. JEL Classification G22 · D86 The author acknowledge funding from National Science Council in Taiwan (NSC93-2416-H-130-020).     

On the performance of the minimum VaR portfolio

Alexander and Baptista [2002. Economic implications of using a mean-value-at-risk (VaR) model for portfolio selection: A comparison with mean–variance analysis. Journal of Economic Dynamics and Control 26: 1159–93] develop the concept of mean-VaR efficiency for portfolios and demonstrate its very close connection with mean–variance efficiency. In particular, they identify the minimum VaR portfolio as a special type of mean–variance efficient portfolio. Our empirical analysis finds that, for commonly used VaR breach probabilities, minimum VaR portfolios yield ex post returns that conform well with the specified VaR breach probabilities and with return/risk expectations. These results provide a considerable extension of evidence supporting the empirical validity and tractability of the mean-VaR efficiency concept.     

A bootstrap-based comparison of portfolio insurance strategies

This study presents a systematic comparison of portfolio insurance strategies. We implement a bootstrap-based hypothesis test to assess statistical significance of the differences in a variety of downside-oriented risk and performance measures for pairs of portfolio insurance strategies. Our comparison of different strategies considers the following distinguishing characteristics: static versus dynamic protection; initial wealth versus cumulated wealth protection; model-based versus model-free protection; and strong floor compliance versus probabilistic floor compliance. Our results indicate that the classical portfolio insurance strategies synthetic put and constant proportion portfolio insurance (CPPI) provide superior downside protection compared to a simple stop-loss trading rule and also exhibit a higher risk-adjusted performance in many cases (dependent on the applied performance measure). Analyzing recently developed strategies, neither the TIPP strategy (as an ‘improved’ CPPI strategy) nor the dynamic VaR-strategy provides significant improvements over the more traditional portfolio insurance strategies.     

Locally Greater Vulnerability to Background Risk

Willingness to take on risk is influenced by the presence of fair and unfair background risks for decision makers who are risk vulnerable as defined by Gollier and Pratt [1996], for these decision makers are more risk averse when they possess such an uninsurable background risk. We present an alternative derivation of the index of local vulnerability based on Diamond and Stiglitz [1974] compensated increases in risk, such that risk aversion increases with the introduction of any small fair background risk if and only if the index of local vulnerability is positive. We establish that the increase in risk aversion is greater for those who are more vulnerable as measured by the index of local vulnerability.     

Large portfolio losses

This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating exposure limits, and in allocating risk capital across different lines of business. Assuming that, for a given total loss, the distress caused by the loss is larger if the loss occurs within a smaller time period, we provide a large-deviations estimate of the likelihood that there will exist a sub-period of the future planning period during which a total loss of the critical severity occurs. Under conditions, this calculation is reduced to the calculation of the likelihood of the same sized loss over an initial time interval whose length is a property of the portfolio and the critical loss level.Received: March 2003Mathematics Subject Classification: 60F10, 91B28, 91B28JEL Classification: G21, G22, G33Amir Dembo is with the Department of Statistics, Stanford University. His research was partially supported by NSF grant #DMS-0072331. Jean-Dominique Deuschel is with the Department of Mathematics, Technische Universität, Berlin. His research was partially supported by DFG grant #663/2-3 and DFG FZT 86. Darrell Duffie is with the Graduate School of Business, Stanford University. We are extremely grateful for research assistance by Nicolae Gârleanu and Gustavo Manso, for conversations with Michael Gordy, and for comments from Michael Stutzer, Peter Carr, David Heath, and David Siegmund.     

基于权益视角的保险人契约责任探析

履约能力不对称条件下,被保险人权益实现面临多元经济伦理和法律规范约束,主要表现为保险人契约责任问题。本文从现代民商法和制度金融学的分析视角,阐释保险人履行契约责任涉及的企业伦理和契约法制度问题,并就保险人契约责任法律规制,提出相应的学理思考。     

论商事实践张力与法律文本抑制间的博弈——以保险经纪人双方代理法律地位为视角

我国保险法规定保险经纪人基于投保人利益开展经营活动,学术界的观点也寓于此规定。而实践中,已出现保险经纪人代表保险人从事保险事务的情形,形成双方代理。现有制度和理论已不能有效解决这一问题。须立足商事实践、借鉴国外法经验对保险经纪人的法律地位作重新定位。对保险经纪人的法律地位应采用综合说,现行保险法律制度也应作适当调整。     

Utility maximizing portfolio insurance strategies when hedgers consider the impact of their trading on security prices

Portfolio insurance strategies can destabilize markets to such an extent that they may be counterproductive. Destabilization results when hedgers take share prices as given and follow exogenously specified price-based trading rules. We recognize that such trading rules may not be utility maximizing and that hedging affects share prices. Accordingly, we develop a portfolio insurance strategy where hedgers consider the impact of their trading on prices and endogenize their trading rule which is obtained by maximizing expected utility. Moreover, our strategy does not require the dissemination of information about the extent of portfolio-insurance based hedging activity in the economy.     

财产保险合同转让的立法比较与启示——评新《保险法》第49条修改的“属人主义”与“从物主义”之争

对于保险标的转让后,保险合同是否当然转让,有属人主义与从物主义之争。大多数学者认为,我国旧《保险法》关于财产保险合同转让从属人主义,新《保险法》则从从物主义。本文则认为,属人特征是财产保险合同的固有特性,在任何时候都不能抛弃。保险立法单纯强调属人主义不利于保护受让人的利益,而单纯强调从物主义对保险人也有失公平。我国新《保险法》关于财产保险合同转让的修改并没有彻底否定财产保险合同的属人特性,而是对从物主义和属人主义进行了结合与折衷,以实现同时保护保险人和受让人权益的共赢。     

保险合同法定解除权之考察

保险合同法定解除权作为一种利益失衡的矫正方式,对保险合同双方当事人的利益影响极大。本文通过埘投保人与保险人法定解除权的行使情形进行列举,分析现行法定解除制度存在的缺陷,并借鉴其他国家有关规定,对进一步完善我斟保险合同法定解除制度提出建议。     

结构化产品收益分配及投资策略的优化——基于结构化定增劣后级投资者视角

依据A公司投资伊利股份定向增发项目的样本数据,运用蒙特卡罗模拟方法,考量优先级收益分配及投资策略的改进效果.结果发现:改进后的私募结构化产品收益分配更为合理,具有更优的风险收益配置,从而,揭示市场价格波动在结构化产品内部的传递过程,劣后级资金的收益有相当比例是优先级资金收益的让渡.     

地理分散化降低了多少保险经营风险?

本文定量分析了地理分散化对中国保险公司经营风险的影响。收集我国1998~2017年间各省市区的财产保险业和人身保险业的收入和支出数据,基于投资组合原理,比较了三种地理布局战略下保险公司的赔付风险。研究发现:无论是财产保险业还是人身保险业,各省区市之间赔付风险的差异性较大,在华北、东北、华东、中南、西南和西北这六大区域内部经营并不能显著地分散风险,但扩大到全国范围内经营,便能够较好地分散风险。进一步,采用Bootstrap随机模拟方法分析发现:财产保险公司在约10个省区市经营能够分散掉约80%的赔付风险,而人身保险公司在约5个省区市经营能够分散掉约40%的赔付风险。鉴于财产保险公司经营的各条产品线之间的风险差别较大,本文还发现:农业保险的地理分散化效果最强,短期健康险的地理分散化效果最弱。研究结果既支持保险公司跨地域经营以降低风险,也为监管资本设计中考虑地理分散化效应提供了经验证据。