| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w10184
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| 来源ID | Working Paper 10184
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| Risk Management, Capital Budgeting and Capital Structure Policy for Insurers and Reinsurers |
| Kenneth A. Froot
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| 发表日期 | 2003-12-22
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| 出版年 | 2003
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| 语种 | 英语
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| 摘要 | This paper builds on Froot and Stein (1998) in developing a framework for analyzing the risk allocation, capital budgeting, and capital structure decisions facing insurers and reinsurers. The model incorporates three key features: i) value-maximizing insurers and reinsurers face product-market as well as capital market imperfections that give rise to well-founded concerns with risk management and capital allocation; ii) some, but not all, of the risks they face can be frictionlessly hedged in the capital market; iii) the distribution of their cashflows may be asymmetric, which alters the demand for underwriting and hedging. We show that these features result in a three-factor model that determines the pricing and allocation of risk and the optimal capital structure of the firm. This approach allows us to integrate these features into: i) the pricing of risky investment, underwriting, reinsurance, and hedging; and ii) the allocation of risk across all of these opportunities, and the optimal amount of surplus capital held by the firm. |
| 主题 | Financial Economics
; Financial Institutions
; Corporate Finance
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| URL | https://www.nber.org/papers/w10184
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567812
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推荐引用方式
GB/T 7714 |
Kenneth A. Froot. Risk Management, Capital Budgeting and Capital Structure Policy for Insurers and Reinsurers. 2003.
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文件名：
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w10184.pdf
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格式：
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Adobe PDF
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