Optimal Risk Financing in Large Corporations through Insurance Captives
作者： Pierre Picard , Jean Pinquet
DOI: 10.1057/GRIR.2012.4
关键词:
摘要: A captive is an insurance or reinsurance company established by a parent group to finance its own risks. Captives mix internal risk pooling between the business units of and transfer toward market. We analyze captives from optimal contract perspective. The paper considers vertical contractual chain that links firstly "fronters" through contracts, secondly fronters cession risks thirdly reinsurers cessions retrocessions. In particular, trades o¤ benefits derived recouped premiums sharing advantage "umbrella policy", against result liabilities. scheme depends on price coverage in markets group's corporate capital. Since these variables fluctuate across time, analysis developed this corroborates intertemporal variability activity.
springer.com
archives-ouvertes.fr
paperity.org参考文章(33)
Harris Schlesinger, The Theory of Insurance Demand Handbook of Insurance. pp. 167- 184 ,(2013) , 10.1007/978-1-4614-0155-1_7
Christian Gollier, Optimal Insurance Design: What Can We Do With and Without Expected Utility? Handbook of Insurance. pp. 97- 115 ,(2000) , 10.1007/978-94-010-0642-2_3
Edward Furman, Ričardas Zitikis, Weighted Pricing Functionals With Applications to Insurance The North American Actuarial Journal. ,vol. 13, pp. 483- 496 ,(2009) , 10.1080/10920277.2009.10597570
J. David Cummins, Neil A. Doherty, Capitalization of the Property-Liability Insurance Industry: Overview Journal of Financial Services Research. ,vol. 21, pp. 5- 14 ,(2002) , 10.1023/A:1014366800354
Jean Marcal Pierre Tirole, The Theory of Corporate Finance Research Papers in Economics. pp. 640- ,(2005)
Artur Raviv, The design of an optimal insurance policy The American Economic Review. ,vol. 69, pp. 251- 263 ,(1992) , 10.1007/978-94-015-7957-5_13
Louis Eeckhoudt, Harris Schlesinger, Christian Gollier, Economic and Financial Decisions under Risk ,(2005)
Jay C. Hartzell, Sheridan Titman, Garry J. Twite, Why Do Firms Hold So Much Cash? A Tax-Based Explanation Social Science Research Network. ,(2007) , 10.2139/SSRN.654881
Erik Banks, Alternative Risk Transfer Encyclopedia of Quantitative Risk Analysis and Assessment. ,(2008) , 10.1002/9780470061596.RISK0338