论文标题
在不完善的市场中，具有有限资产的多行保险公司的定价和资本分配
Pricing and Capital Allocation for Multiline Insurance Firms With Finite Assets in an Imperfect Market
论文作者
论文摘要
我们分析了平衡无肢体市场中的多行定价和资本分配。现有理论通常会假设一个完美的市场，但是当定价是线性的时，风险池的多元化没有任何好处，因此对保险公司没有任何作用。我们假设非加性扭曲定价功能和违约付款同等优先级的原则，而不是完美的市场。在这些假设下，我们得出了高级和边缘的规范分配，其特性值得自然分配。自然分配给所有独立线路的非负利润，用于违约保险，但在有限责任下可能会显示出低风险线路的负利润。我们介绍了投资组合中相对风险的新型条件期望度量，并使用它们来得出简单，直觉上具有吸引力的风险利润和资本分配的表达方式。我们给出了与法律不变定价功能一致的独特资本分配。与许多其他方法相比，这种分配产生的回报会因线而异。我们的模型在理论观点之间提供了一个桥梁，即具有多样化的风险和经验观察不应获得补偿，即更风险的线相对于主观的预期值获得更高的利润率。
We analyze multiline pricing and capital allocation in equilibrium no-arbitrage markets. Existing theories often assume a perfect complete market, but when pricing is linear, there is no diversification benefit from risk pooling and therefore no role for insurance companies. Instead of a perfect market, we assume a non-additive distortion pricing functional and the principle of equal priority of payments in default. Under these assumptions, we derive a canonical allocation of premium and margin, with properties that merit the name the natural allocation. The natural allocation gives non-negative margins to all independent lines for default-free insurance but can exhibit negative margins for low-risk lines under limited liability. We introduce novel conditional expectation measures of relative risk within a portfolio and use them to derive simple, intuitively appealing expressions for risk margins and capital allocations. We give a unique capital allocation consistent with our law invariant pricing functional. Such allocations produce returns that vary by line, in contrast to many other approaches. Our model provides a bridge between the theoretical perspective that there should be no compensation for bearing diversifiable risk and the empirical observation that more risky lines fetch higher margins relative to subjective expected values.
