Use of the CAPM to Discount Property-Liability Loss Reserves
应用资本资产定价模型确定财产责任损失准备金的适当折现率，以反映其经济价值和风险调整，对保险业和税务实践有参考意义。
The 1986 Tax Reform Act requires property-liability insurers to discount loss reserves at a set rate to determine tax liabilities. Conversely, statutory accounting standards do not permit discounting of loss reserves in most instances. Properly applied, discounting of loss reserves establishes a risk-adjusted present value for loss reserves that reflects the economic value of these liabilities. The discount rate should reflect the appropriate risk adjustment inherent in these liabilibies and, as such, would be expected to vary by line of insurance. This note applies the capital asset pricing model to determine the appropriate discount rate.