Barrieu, Pauline and Louberge, Henri (2012) Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints. Insurance: mathematics and economics . ISSN 0167-6687 (In Press)
|
PDF
Download (446Kb) | Preview |
Abstract
Large systematic risks, such as those arising from natural catastrophes, climatic changes and uncertain trends in longevity increases, have risen in prominence at a societal level and, more particularly, have become a highly relevant issue for the insurance industry. Against this background, the combination of reinsurance and capital market solutions (insurance-linked securities) has received an increasing interest. In this paper, we develop a general model of optimal risk-sharing among three representative agents – an insurer, a reinsurer and a financial investor, making a distinction between systematic and idiosyncratic risks. We focus on the impact of regulation on risk transfer, by differentiating reinsurance and securitisation in terms of their impact on reserve requirements. Our results show that different regulatory prescriptions will lead to quite different results in terms of global risk-sharing.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.journals.elsevier.com/insurance-mathema... |
| Additional Information: | © 2012 The Authors |
| Uncontrolled Keywords: | reinsurance, risk sharing, risk measures, longevity risk, insurance-linked securities |
| Library of Congress subject classification: | H Social Sciences > HG Finance |
| Journal of Economic Literature Classification System: | G - Financial Economics > G2 - Financial Institutions and Services > G22 - Insurance; Insurance Companies |
| Sets: | Departments > Statistics Research centres and groups > Centre for the Analysis of Time Series (CATS) Research centres and groups > Risk and Stochastics Group |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/47396/ |
Actions (login required)
 |
Record administration - authorised staff only |
