标题： 风险转移和偿付能力监管下的最优投资与保费政策 显示英文标题

标题： Optimal Investment and Premium Policies under Risk Shifting and Solvency Regulation

摘要： 有限责任在保险公司保单持有人和股东之间产生了利益冲突。 它为股东提供了增加保险人资产和负债风险的激励，这可能会降低保单持有人对保险保障的价值认定以及他们愿意支付的保费。 我们在这种情况下描述了帕累托最优的投资和保费政策，并提供了其存在性和唯一性的必要且充分条件。 然后，我们确定在股东无法在政策出售和保费支付前可信地承诺投资策略的情况下，风险转移问题下的投资和保费政策。 最后，我们分析了偿付能力监管，如Solvency II或瑞士偿付能力测试，对风险转移问题代理成本的影响，并将我们的模型校准到一个非寿险保险公司的平均投资组合。 显示英文摘要

摘要： Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer's assets and liabilities which, in turn, might reduce the value policyholders attach to and premiums they are willing to pay for insurance coverage. We characterize Pareto optimal investment and premium policies in this context and provide necessary and sufficient conditions for their existence and uniqueness. We then identify investment and premium policies under the risk shifting problem if shareholders cannot credibly commit to an investment strategy before policies are sold and premiums are paid. Last, we analyze the effect of solvency regulation, such as Solvency II or the Swiss Solvency Test, on the agency cost of the risk shifting problem and calibrate our model to a non-life insurer average portfolio.