Dribs and Drabs

The author hereby agrees to cover each and every topic that caught his attention.

[論文]Venter, et al. "Value of Risk Reduction"

Gary Venter, Alice Underwood "Value of Risk Reduction"


「なぜコストをかけてまでリスク削減を行なうのか?」「リスク削減の価値は?」というシンプルな問いに向かう記事.もともとは CAS Exam 7 のスタディーノートとして著されたものらしい.

前半は「Costs of financial distress」「Agency issues」「Regulation and taxation」「Relationships with stakeholders」といった観点からの,(金融機関全般を想定した)論点の整理.次いで,保険固有のイシューとして,「Agency theory complications: policyholders as debtholders and/or owners」「Special vulnerability to effects of financial distress」「Reinsurance as the dominant form of hedging」が挙げられている.

後半では,定量的な例を提示.Risk-Reward chart (Efficient Frontier) や Cost of allocated risk capital といった概念を用いている. Final remarks として,「Key issues are avoiding financial distress and the need to re-capitalize. Quantification of the value of risk transfer in particular situations can be done in various ad-hoc ways, but the science is still under development and industry practice varies widely.」