Capital Allocation for Insurance Companies—What Good IS IT?
指出Myers和Read提出的保险定价资本配置方法在理论框架中并非必要，且在有摩擦成本时可能导致错误定价；同时证明净现值分析比资本配置更能指导保险公司的资本预算决策。
Abstract In their 2001 Journal of Risk and Insurance article, Stewart C. Myers and James A. Read Jr. propose to use a specific capital allocation method for pricing insurance contracts. We show that in their model framework no capital allocation to lines of business is needed for pricing insurance contracts. In the case of having to cover frictional costs, the suggested allocation method may even lead to inappropriate insurance prices. Beside the purpose of pricing insurance contracts, capital allocation methods proposed in the literature and used in insurance practice are typically intended to help derive capital budgeting decisions in insurance companies, such as expanding or contracting lines of business. We also show that net present value analyses provide better capital budgeting decisions than capital allocation in general.