The Risk‐Sharing Implications of Disaster Insurance Funds
研究了引入灾害保险基金对巨灾保险市场风险分担的影响，模型预测买家需求增加、卖家降价导致收入减少，并用恐怖主义风险保险法数据验证了这些效应。
Abstract We study the risk‐sharing implications that arise from introducing a disaster insurance fund to the cat insurance market. Such a form of intervention can increase efficiency in the private market, and our design of disaster insurance suggests a prominent role of catastrophe reinsurance. The model predicts buyers will increase their demand in the private market, and the seller will lower prices to such an extent that their revenues decrease upon introduction of disaster insurance. We test two predictions in the context of the Terrorism Risk Insurance Act (TRIA). It is already known that the introduction of TRIA led to negative abnormal returns in the insurance industry. In addition, we show this negative effect is stronger for larger and for low‐risk‐averse firms—two results that are consistent with our model. The seller’s risk aversion plays an important role in quantifying such feedback effects, and we point toward possible distortions in which a firm may even be overhedged upon introduction of disaster insurance.