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Journal of Risk and Insurance最新文献

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How does medical insurance contribution affect corporate value? Evidence from China 医疗保险缴费如何影响企业价值？来自中国的证据
IF 1.9 3区 经济学
Journal of Risk and Insurance Pub Date : 2023-09-18 DOI: 10.1111/jori.12448
Xuchao Li, Jiankun Lu, Jian Wang, Jiyuan Wang
{"title":"How does medical insurance contribution affect corporate value? Evidence from China","authors":"Xuchao Li,&nbsp;Jiankun Lu,&nbsp;Jian Wang,&nbsp;Jiyuan Wang","doi":"10.1111/jori.12448","DOIUrl":"10.1111/jori.12448","url":null,"abstract":"<p>Using medical insurance (MI) to shift employees' health risks outside is an important risk management tool for modern firms. Existing studies usually treat firms' contributions to employees' MI only as a labor cost. However, contributing to MI also has indirect benefits, such as improved labor productivity and R&amp;D innovation, which consequently increase corporate value. This paper studies the impact of firms' MI contributions for employees on corporate value, using social insurance collection system reform in China as a natural experiment. Results show that, first, the reform increases firms' contributions to employees' MI funds. Second, the increase has a positive impact on firms' market-to-book ratio. These effects can be explained by enhanced labor productivity, firm efficiency, and innovation. Heterogeneity analysis suggests that the effects are more pronounced for firms in high R&amp;D industries, areas with high pollution, or areas with better medical and labor supplies.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"91 1","pages":"57-92"},"PeriodicalIF":1.9,"publicationDate":"2023-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135153087","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Regulatory capital and asset risk transfer 监管资本和资产风险转移
IF 1.9 3区 经济学
Journal of Risk and Insurance Pub Date : 2023-09-05 DOI: 10.1111/jori.12441
Kyeonghee Kim, J. Tyler Leverty, Joan T. Schmit
{"title":"Regulatory capital and asset risk transfer","authors":"Kyeonghee Kim,&nbsp;J. Tyler Leverty,&nbsp;Joan T. Schmit","doi":"10.1111/jori.12441","DOIUrl":"https://doi.org/10.1111/jori.12441","url":null,"abstract":"<p>We explore whether life insurers use a unique reinsurance arrangement to manage assets tied to their regulatory capital. Typical reinsurance allows insurers to reduce their regulatory capital by transferring liabilities (reserves), and the associated assets, to reinsurers. With modified coinsurance (ModCo), insurers maintain control of their liabilities and assets while transferring regulatory capital requirements to the reinsurer. Holding fixed an insurer's reported capital, we find that ModCo allows insurers to report higher risk-based capital ratios. Insurers with ModCo are less likely to fire sale downgraded bonds. We also find suggestive evidence of regulatory arbitrage, as most ModCo is purchased from reinsurers in countries with low capital requirements or within the same insurance group.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"90 4","pages":"1027-1061"},"PeriodicalIF":1.9,"publicationDate":"2023-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134802997","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Do insurers use internal capital markets to manage regulatory scrutiny risk? 保险公司是否利用内部资本市场来管理监管审查风险?
IF 1.9 3区 经济学
Journal of Risk and Insurance Pub Date : 2023-08-25 DOI: 10.1111/jori.12438
Stephen G. Fier, Andre P. Liebenberg
{"title":"Do insurers use internal capital markets to manage regulatory scrutiny risk?","authors":"Stephen G. Fier,&nbsp;Andre P. Liebenberg","doi":"10.1111/jori.12438","DOIUrl":"https://doi.org/10.1111/jori.12438","url":null,"abstract":"<p>Empirical evidence suggests that insurance groups allocate capital to members with better performance or growth prospects and use internal capital markets (ICMs) to protect the franchise value of less capitalized members. We propose and test an additional motivation for the use of ICMs—to manage regulatory scrutiny risk. We show that almost 50% of insurers at risk of facing additional regulatory scrutiny due to failing four Insurance Regulatory Information System (IRIS) ratios received sufficient internal capital to avoid enhanced regulation. Moreover, the likelihood and extent of internal capital allocation are related to regulatory scrutiny risk and the amount of capital allocated is typically just enough to avoid regulatory scrutiny. Time series evidence indicates that groups manage regulatory scrutiny risk by allocating capital toward affiliates when their pre-capital contribution IRIS ratio failures exceed three, and away from affiliates when they are no longer at risk of additional regulatory scrutiny.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"90 4","pages":"861-897"},"PeriodicalIF":1.9,"publicationDate":"2023-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134813951","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal insurance contract design with government disaster relief 考虑政府救灾的最优保险合同设计
IF 1.9 3区 经济学
Journal of Risk and Insurance Pub Date : 2023-08-16 DOI: 10.1111/jori.12442
Sebastian Hinck
{"title":"Optimal insurance contract design with government disaster relief","authors":"Sebastian Hinck","doi":"10.1111/jori.12442","DOIUrl":"10.1111/jori.12442","url":null,"abstract":"<p>I examine the design of optimal insurance contracts considering the possibility of government disaster relief payments. This work focuses on the impact of (risky and ambiguous) government disaster relief on the shape of optimal private insurance contracts. I demonstrate that the optimal insurance contract is a straight deductible contract in the case of a fixed probability of government relief. This result is robust to ambiguity in the probability of relief payments, even for ambiguity-averse decision makers. If government disaster relief becomes more likely for larger losses, then the optimal insurance contract features coinsurance above a deductible. I also extend this analysis to more general stochastic dominance relationships between disaster relief and loss magnitude.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"91 2","pages":"415-447"},"PeriodicalIF":1.9,"publicationDate":"2023-08-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jori.12442","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48895250","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Issue Information: Journal of Risk and Insurance 3/2023 发行信息：《风险与保险杂志》3/2023
IF 1.9 3区 经济学
Journal of Risk and Insurance Pub Date : 2023-08-11 DOI: 10.1111/jori.12389
{"title":"Issue Information: Journal of Risk and Insurance 3/2023","authors":"","doi":"10.1111/jori.12389","DOIUrl":"https://doi.org/10.1111/jori.12389","url":null,"abstract":"","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"90 3","pages":"565-568"},"PeriodicalIF":1.9,"publicationDate":"2023-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jori.12389","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50128941","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Fixed and variable longevity income annuities in defined contribution plans: Optimal retirement portfolios taking social security into account 固定缴款计划中的固定和可变长寿收入年金:考虑社会保障的最佳退休投资组合
IF 1.9 3区 经济学
Journal of Risk and Insurance Pub Date : 2023-08-03 DOI: 10.1111/jori.12440
Vanya Horneff, Raimond Maurer, Olivia S. Mitchell
{"title":"Fixed and variable longevity income annuities in defined contribution plans: Optimal retirement portfolios taking social security into account","authors":"Vanya Horneff,&nbsp;Raimond Maurer,&nbsp;Olivia S. Mitchell","doi":"10.1111/jori.12440","DOIUrl":"10.1111/jori.12440","url":null,"abstract":"<p>This paper investigates retirees' optimal purchases of fixed and variable longevity income annuities using their defined contribution (DC) plan assets and given their expected social security benefits. As an alternative, we also evaluate using plan assets to boost social security benefits through delayed claiming. Using a calibrated life-cycle model, we determine that including deferred income annuities in DC accounts is welfare-enhancing for all sex/education groups examined. We also show that providing access to well-designed variable deferred annuities with some equity exposure further enhances retiree well-being, compared to having access only to fixed annuities. Nevertheless, for those facing the highest mortality rates, delaying claiming social security is mostly preferred, whereas those anticipating living longer than average will benefit more from using accumulated DC plan assets to purchase deferred annuities.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"90 4","pages":"831-860"},"PeriodicalIF":1.9,"publicationDate":"2023-08-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jori.12440","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41362588","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Are female CEOs associated with lower insolvency risk? Evidence from the US property-casualty insurance industry 女性ceo是否与较低的破产风险有关?来自美国财产保险行业的证据
IF 1.9 3区 经济学
Journal of Risk and Insurance Pub Date : 2023-07-31 DOI: 10.1111/jori.12439
Jing Li, Jiang Cheng
{"title":"Are female CEOs associated with lower insolvency risk? Evidence from the US property-casualty insurance industry","authors":"Jing Li,&nbsp;Jiang Cheng","doi":"10.1111/jori.12439","DOIUrl":"https://doi.org/10.1111/jori.12439","url":null,"abstract":"<p>This paper investigates the relationship between female CEOs and insolvency risk of US property-casualty insurance companies. We show that female CEOs are associated with lower insurer insolvency propensity, higher <i>z</i>-score, and lower standard deviation of return on assets. These findings are robust to alternative econometric specifications to address potential endogeneity concerns and self-selection issues, including propensity score matching, the instrumental variable approach, and the difference-in-difference approach. Furthermore, we find that the impact of female CEOs on insurer insolvency risk is moderated by firm capitalization, the presence of female directors, and political conservatism of insurers' home states.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"90 4","pages":"941-973"},"PeriodicalIF":1.9,"publicationDate":"2023-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134815800","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Analyst coverage, executive compensation and corporate risk-taking: Evidence from property–casualty insurance firms 分析师保险、高管薪酬和企业风险承担：来自财产保险公司的证据
IF 1.9 3区 经济学
Journal of Risk and Insurance Pub Date : 2023-07-18 DOI: 10.1111/jori.12437
Tao Chen, Shinichi Kamiya, Pingyi Lou, Andreas Milidonis
{"title":"Analyst coverage, executive compensation and corporate risk-taking: Evidence from property–casualty insurance firms","authors":"Tao Chen,&nbsp;Shinichi Kamiya,&nbsp;Pingyi Lou,&nbsp;Andreas Milidonis","doi":"10.1111/jori.12437","DOIUrl":"10.1111/jori.12437","url":null,"abstract":"<p>Using an exogenous drop in analyst coverage introduced by broker closures and mergers, we test for the causal impact of analyst coverage on corporate risk-taking, in an opaque industry. We document an increase in risk using several book-based and market-based risk measures, including tail and default risk measures. Results are driven by firms with stronger managerial risk-taking compensation incentives. The increase in risk is stronger in more opaque firms, and firms with weaker policyholder monitoring. Firm risk increases through at least one risk-taking action, such as investing firm assets in higher-risk bonds. Our study highlights the importance of stock analysts in affecting corporate risk-taking, especially in the presence of stronger managerial, compensation risk-taking incentives.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"90 4","pages":"899-939"},"PeriodicalIF":1.9,"publicationDate":"2023-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41495889","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Improving risk classification and ratemaking using mixture-of-experts models with random effects 利用具有随机效应的混合专家模型改进风险分类和费率制定
IF 1.9 3区 经济学
Journal of Risk and Insurance Pub Date : 2023-06-19 DOI: 10.1111/jori.12436
Spark C. Tseung, Ian Weng Chan, Tsz Chai Fung, Andrei L. Badescu, X. Sheldon Lin
{"title":"Improving risk classification and ratemaking using mixture-of-experts models with random effects","authors":"Spark C. Tseung,&nbsp;Ian Weng Chan,&nbsp;Tsz Chai Fung,&nbsp;Andrei L. Badescu,&nbsp;X. Sheldon Lin","doi":"10.1111/jori.12436","DOIUrl":"10.1111/jori.12436","url":null,"abstract":"<p>In the underwriting and pricing of nonlife insurance products, it is essential for the insurer to utilize both policyholder information and claim history to ensure profitability and proper risk management. In this paper, we apply a flexible regression model with random effects, called the <i>Mixed Logit-weighted Reduced Mixture-of-Experts</i>, which leverages both policyholder information and their claim history, to categorize policyholders into groups with similar risk profiles, and to determine a premium that accurately captures the unobserved risks. Estimates of model parameters and the posterior distribution of random effects can be obtained by a stochastic variational algorithm, which is numerically efficient and scalable to large insurance portfolios. Our proposed framework is shown to outperform the classical benchmark models (Logistic and Lognormal GL(M)M) in terms of goodness-of-fit to data, while offering intuitive and interpretable characterization of policyholders' risk profiles to adequately reflect their claim history.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"90 3","pages":"789-820"},"PeriodicalIF":1.9,"publicationDate":"2023-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jori.12436","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44147520","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Lapses in long-term care insurance 长期护理保险的失效
IF 1.9 3区 经济学
Journal of Risk and Insurance Pub Date : 2023-06-19 DOI: 10.1111/jori.12425
Leora Friedberg, Wenliang Hou, Wei Sun, Anthony Webb
{"title":"Lapses in long-term care insurance","authors":"Leora Friedberg,&nbsp;Wenliang Hou,&nbsp;Wei Sun,&nbsp;Anthony Webb","doi":"10.1111/jori.12425","DOIUrl":"10.1111/jori.12425","url":null,"abstract":"<p>About a quarter of long-term care insurance (LTCI) policy holders aged 65 let their policies lapse before death, forfeiting all benefits. We find that lapse rates are substantially higher among the cognitively impaired in the Health and Retirement Study. This generates a pernicious form of dynamic advantageous selection, as the cognitively impaired are more likely to use care. Simulations show that an inappropriately optimistic asset drawdown path further increases the individual welfare cost of unanticipated lapses. Meanwhile, we find evidence of a significant but very small role for either strategic or financial motives for lapsing.</p>","PeriodicalId":51440,"journal":{"name":"Journal of Risk and Insurance","volume":"90 3","pages":"569-595"},"PeriodicalIF":1.9,"publicationDate":"2023-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/jori.12425","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45990698","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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