ریسک بیمه اتکایی و اوراق بهادار بیمه عمر: اثرات محدودیت های نظارتی

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.

The convergence of the insurance industry with capital markets has become ever more important over recent years (see, for instance, the papers by Cowley and Cummins, 2005, Cummins, 2004, Cummins, 2008 or Cummins and Weiss, 2009 or the recent handbook by Barrieu and Albertini, 2009). Such convergence has taken many forms. And of the many convergence attempts, some have been more successful than others. The first academic reference to the use of capital markets in order to transfer insurance risk was in a paper by Goshay and Sandor (1973). The authors considered the feasibility of an organised market, and how this could complement the reinsurance industry in catastrophic risk management. In practice, whilst some attempts have been made to develop an insurance future and option market, the results have, so far, been rather disappointing. In parallel to these attempts, however, the Insurance-Linked Securities (ILS) market has been growing rapidly over the last 15 years. There are many different motivations for ILS, including risk transfer, capital strain relief, boosting of profits, speed of settlement, and duration. Different motives mean different solutions and structures, as the variety of instruments on the ILS market illustrates. Among the key challenges faced by the insurance industry, the management of longevity risk, i.e. the risk that the trend of longevity improvements significantly changes in the future, is certainly one of the most important. Ever more capital has to be accumulated to face this long-term risk, and new regulations in Europe, together with the recent financial crisis, only amplify this phenomenon. Under the Solvency II rules, put forward by the European Commission, the more stringent capital requirements that have been introduced for banks should also be applied to insurance company operations (see Eling et al., 2007; Harrington, 2009; and Geneva Association, 2010). Moreover, in addition to this risk of observing a significant change in the longevity trend, the insurance sector is facing some basis risk, as the evolution of the policyholders’ mortality is usually different from that of the national population, due to selection effects. These selection effects have different impacts on different insurance companies’ portfolios, as mortality levels and speeds of decrease and increase are very heterogeneous in the insurance industry. This makes it hard for insurance companies to rely on national, or even industry, indices, in order to manage their own longevity risk. Hence, it has become more and more important for insurance companies and pension funds to find a suitable and efficient way to deal with this risk. Recently, various risk mitigation techniques have been attempted. Reinsurance and capital market solutions, in particular, have received an increasing interest (see for instance Blake and Burrows, 2001 and Blake et al., 2006). Even if no Insurance-Linked Securitisation related to longevity risk has yet been completed, the development of this market for other insurance risks has been experiencing a continuous growth for several years, mainly encouraged by changes in the regulatory environment and the need for additional capital from the insurance industry. Today, longevity risk securitisation lies at the heart of many discussions, and is widely seen as a potentiality for the future. The classical and standard framework of risk sharing in the insurance industry, as studied, for instance, by Borch, 1960 and Borch, 1962, involves two types of agents: primary insurers and a pool of reinsurers. The risk is shared among different agents of the same type, but with both differing sizes and utility functions. The possible financial consequences of some risks, such as large-scale catastrophes or dramatic changes in longevity trends, however, make this sharing process difficult to conduct within a reinsurance pool. In this case, capital markets may improve the risk-sharing process. Indeed, non-diversifiable risks for the insurance industry may be seen as a source of diversification for financial investors, such as a new asset class, enhancing the overall diversification of traditional investment portfolios, particularly in the case of low correlations with overall market risk. Even if the correlation is not necessarily low, which may be the case for changes in longevity, the non-diversifiable insurance risks may be shared by a larger population of financial investors, instead of being assumed by reinsurers only. In Section 1 of the paper, we focus on some insurance risks (for instance, longevity and mortality risks), and, from a general point of view, study the optimal strategy of risk-sharing and risk-transfer between three representative agents (an insurer, a reinsurer and an investor), taking into account pricing principles in insurance and finance within a unified framework. Comments on an optimal securitisation process and, in particular, on the design of an appropriate alternative risk transfer are made. In Section 2, we focus on the impact of regulation upon risk transfer, by differentiating reinsurance and securitisation in terms of their impact upon reserves. More precisely, we will study the bias introduced by the regulatory framework, and the subsequent impact upon the aforementioned risk transfer techniques.