| 000 | 02448cam a22003257 4500 | ||
|---|---|---|---|
| 001 | w10184 | ||
| 003 | NBER | ||
| 005 | 20211020112850.0 | ||
| 006 | m o d | ||
| 007 | cr cnu|||||||| | ||
| 008 | 210910s2003 mau fo 000 0 eng d | ||
| 100 | 1 |
_aFroot, Kenneth A. _910802 |
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| 245 | 1 | 0 |
_aRisk Management, Capital Budgeting and Capital Structure Policy for Insurers and Reinsurers / _cKenneth A. Froot. |
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_aCambridge, Mass. _bNational Bureau of Economic Research _c2003. |
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| 300 |
_a1 online resource: _billustrations (black and white); |
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| 490 | 1 |
_aNBER working paper series _vno. w10184 |
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| 500 | _aDecember 2003. | ||
| 520 | 3 | _aThis paper builds on Froot and Stein (1998) in developing a framework for analyzing the risk allocation, capital budgeting, and capital structure decisions facing insurers and reinsurers. The model incorporates three key features: i) value-maximizing insurers and reinsurers face product-market as well as capital market imperfections that give rise to well-founded concerns with risk management and capital allocation; ii) some, but not all, of the risks they face can be frictionlessly hedged in the capital market; iii) the distribution of their cashflows may be asymmetric, which alters the demand for underwriting and hedging. We show that these features result in a three-factor model that determines the pricing and allocation of risk and the optimal capital structure of the firm. This approach allows us to integrate these features into: i) the pricing of risky investment, underwriting, reinsurance, and hedging; and ii) the allocation of risk across all of these opportunities, and the optimal amount of surplus capital held by the firm. | |
| 530 | _aHardcopy version available to institutional subscribers | ||
| 538 | _aSystem requirements: Adobe [Acrobat] Reader required for PDF files. | ||
| 538 | _aMode of access: World Wide Web. | ||
| 588 | 0 | _aPrint version record | |
| 690 | 7 |
_aG20 - General _2Journal of Economic Literature class. |
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| 690 | 7 |
_aG31 - Capital Budgeting • Fixed Investment and Inventory Studies • Capacity _2Journal of Economic Literature class. |
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| 710 | 2 | _aNational Bureau of Economic Research. | |
| 830 | 0 |
_aWorking Paper Series (National Bureau of Economic Research) _vno. w10184. |
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| 856 | 4 | 0 | _uhttps://www.nber.org/papers/w10184 |
| 856 |
_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w10184 |
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_2ddc _cW-PAPER |
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_c337987 _d296549 |
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