The Cost of Financial Frictions for Life Insurers
研究发现金融危机期间寿险公司以低于精算价值的价格出售长期保单，年金和寿险的平均加价率分别低至-19%和-57%，并识别出资本影子成本为每美元法定资本0.96美元。
During the financial crisis, life insurers sold long-term policies at deep discounts relative to actuarial value. The average markup was as low as −19 percent for annuities and −57 percent for life insurance. This extraordinary pricing behavior was due to financial and product market frictions, interacting with statutory reserve regulation that allowed life insurers to record far less than a dollar of reserve per dollar of future insurance liability. We identify the shadow cost of capital through exogenous variation in required reserves across different types of policies. The shadow cost was $0.96 per dollar of statutory capital for the average company in November 2008.