Regulatory Limits to Risk Management
研究了美国寿险公司最大的负债：可变年金，发现监管对不同经济风险相似的担保区别对待，导致保险公司对冲行为差异，并仍面临大量利率风险。
Abstract Variable annuities, the largest liability of U.S. life insurers, are investment products containing long-dated minimum return guarantees. I show that guarantees with similar economic risks are treated differently by regulation and these differences impact insurers’ hedging behavior. When the regulatory regime recognizes certain risks, insurers start to hedge these risks in a substantial way. For some guarantees, this involves hedging both interest rate and equity market risks. However, for others, it involves hedging only equity market risk. As the regulatory regime still does not recognize the interest rate risk of all guarantees, insurers remain exposed to substantial interest rate risk. 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.