| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP14029
|
| DP14029 Can Risk Be Shared Across Investor Cohorts? Evidence from a Popular Savings Product |
| Johan Hombert; Victor Lyonnet
|
| 发表日期 | 2019-09-28
|
| 出版年 | 2019
|
| 语种 | 英语
|
| 摘要 | This paper shows how one of the most popular savings products in Europe -- life insurance financial products -- shares market risk across investor cohorts. Insurers smooth returns by varying reserves that offset fluctuations in asset returns. Reserves are passed on between successive investor cohorts, causing redistribution across cohorts. Using regulatory and survey data on the 1.4 trillion euro French market, we estimate this redistribution to be quantitatively large: 1.4% of savings value per year on average, or 0.8% of GDP. These findings challenge a large theoretical literature that assumes inter-cohort risk sharing is impossible. We develop and provide evidence for a model in which the elasticity of investor demand to predictable returns determines the amount of risk sharing that is possible. The evidence is consistent with low elasticity, sustaining inter-cohort risk sharing despite predictable returns. Demand elasticity is higher for investors with a larger investment amount, suggesting that low investor sophistication enables inter-cohort risk sharing. |
| 主题 | Financial Economics
|
| 关键词 | Inter-cohort risk sharing
Life insurers
|
| URL | https://cepr.org/publications/dp14029
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542917
|
推荐引用方式
GB/T 7714 |
Johan Hombert,Victor Lyonnet. DP14029 Can Risk Be Shared Across Investor Cohorts? Evidence from a Popular Savings Product. 2019.
|
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