The Fragility of Market Risk Insurance
研究了可变年金市场在金融危机和低利率环境下的脆弱性，发现销售下降、费用上升，保险公司减少风险暴露，模型分析了金融摩擦和市场力量对定价和合同特征的影响。
ABSTRACT Variable annuities, which package mutual funds with minimum return guarantees over long horizons, accounted for $1.5 trillion or 35% of U.S. life insurer liabilities in 2015. Sales decreased and fees increased during the global financial crisis, and insurers made guarantees less generous or stopped offering guarantees to reduce risk exposure. These effects persist in the low‐interest rate environment after the global financial crisis, and variable annuity insurers suffered large equity drawdowns during the COVID‐19 crisis. We develop and estimate a model of insurance markets in which financial frictions and market power determine pricing, contract characteristics, and the degree of market completeness.