ارزش گذاری محصولات مدیریت ریسک سازمان یافته

This paper applies valuation theory to structured risk management products. We specialize the theoretical model to two representative products, a “double trigger” put option and a property insurance with a retention which is a function of a commodity price. The double trigger refers to the fact that the option has to satisfy two conditions in order to be in the money: the underlying equity must be below the strike price and, in addition, a specified catastrophic event must have occurred and affected the insured firm. These examples illustrate how the standard valuation theory for pricing risk in an arbitrage-free market should be applied to products engineered to manage multiple risks within the firm.

This paper builds upon the results of Cox et al. (2000) and applies the valuation machinery from financial economics to structured risk management products. In that paper, we argue that the introduction of any risk management technologies (products) that reduce market frictions associated with the allocation of risk over the economy result in a welfare improvement. We then provide details on how such products represent the reduction of certain market frictions and how these products move existing imperfect markets toward a perfect markets equilibrium. This paper assumes perfect markets and applies the resulting valuation theory to structured risk management products. This approach is in the same vein as using Black–Scholes to establish benchmark values of over-the-counter and real options, since the assumptions of a Black–Scholes economy do not obtain in practice (e.g., the violation of local dynamic completeness).

Valuation theory applies to structured risk management products based on combinations of traditional insurance risks and financial risks. We argue that many of the reasons underlying the demand for corporate insurance, from Mayers and Smith (1982) for example, applies to these structured products. We showed that financial economics and actuarial techniques can be applied to value structured products. We applied the theoretical model to two representative products, a “double trigger” put option and a property insurance with a retention which is a function of a commodity price. These examples illustrate how the standard valuation theory for pricing risk in an arbitrage-free market should be applied to products engineered to manage multiple risks within the firm. Clearly the methods can be applied to other structured products.