Capital and risk in property-liability insurance markets
基于期权定价理论构建模型，预测保险公司资本与风险正相关，并用联立方程方法实证检验，结果支持模型，还发现管理层激励影响资本和风险决策，对偿付能力监管有启示。
This paper investigates the capital and portfolio risk decisions of property-liability insurance firms. A theoretical model based on option pricing theory is developed which predicts a positive relationship between insurer capital and risk, as firms balance these two factors to achieve their desired overall insolvency risk. The implications of the model are then tested empirically using a simultaneous equations methodology. The results support the predictions of the model. They also provide evidence that managerial incentives play a role in determining capital and risk in insurance markets. The findings have significant implications for insurance solvency regulation.