Barrieu, Pauline and Louberge, Henri (2013) Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints. Insurance: Mathematics and Economics, 52 (2). pp. 135-144. ISSN 0167-6687 (Submitted)
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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 |
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| Official URL: | http://www.journals.elsevier.com/insurance-mathema... |
| Additional Information: | © 2013 Elsevier B.V. |
| Divisions: | Statistics Centre for Analysis of Time Series |
| Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management H Social Sciences > HG Finance |
| JEL classification: | G - Financial Economics > G2 - Financial Institutions and Services > G22 - Insurance; Insurance Companies |
| Date Deposited: | 13 Nov 2012 14:58 |
| Last Modified: | 14 Sep 2024 05:42 |
| URI: | http://eprints.lse.ac.uk/id/eprint/47396 |
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