Hansjörg Albrecher, Karl-Theodor Eisele, Mogens Steffensen, Mario V. Wüthrich
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引用次数: 2
Abstract
In this paper we discuss the concept of the cost-of-capital (CoC) rate for an insurance company as an equilibrium in the economic triangle of policyholders, shareholders, and the regulator. This provides a possible rationalization and an economic foundation for a quantity that is widely used in practice but whose value is typically neither technically nor economically well justified. We show how it can be well founded in such a triangular equilibrium. Under a simple one-period model and a valuation procedure of a two-price economy for illiquid assets we provide a corresponding economic-theoretical quantification for the CoC rate. The resulting rates are illustrated by a number of concrete numerical examples.
期刊介绍：
The Journal of Risk and Insurance (JRI) is the premier outlet for theoretical and empirical research on the topics of insurance economics and risk management. Research in the JRI informs practice, policy-making, and regulation in insurance markets as well as corporate and household risk management. JRI is the flagship journal for the American Risk and Insurance Association, and is currently indexed by the American Economic Association’s Economic Literature Index, RePEc, the Social Sciences Citation Index, and others. Issues of the Journal of Risk and Insurance, from volume one to volume 82 (2015), are available online through JSTOR . Recent issues of JRI are available through Wiley Online Library. In addition to the research areas of traditional strength for the JRI, the editorial team highlights below specific areas for special focus in the near term, due to their current relevance for the field.
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