Insurers as Asset Managers and Systemic Risk
研究了美国寿险业监管框架如何激励保险公司对冲可变年金担保，但将风险转移至高收益低流动性债券，导致在重大冲击下引发系统性抛售，可能抹去一半以上的股权资本。
Abstract Financial intermediaries often provide guarantees resembling out-of-the-money put options, exposing them to undiversifiable tail risk. We present a model in the context of the U.S. life insurance industry in which the regulatory framework incentivizes value-maximizing insurers to hedge variable annuity (VA) guarantees, though imperfectly, and shifts risks into high-risk and illiquid bonds. We calibrate the model to insurer-level data and identify the VA-induced changes in insurers’ risk exposures. In the event of major asset and guarantee shocks and absent regulatory intervention, these shared exposures exacerbate system-wide fire sales to maintain capital ratios, plausibly erasing over half of insurers’ equity capital. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.