英文标题：
《A simulation of the insurance industry: The problem of risk model
homogeneity》
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作者：
Torsten Heinrich and Juan Sabuco and J. Doyne Farmer
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最新提交年份：
2019
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英文摘要：
We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the problem of risk model homogeneity. The model simulates the balance sheets of insurance firms, who collect premiums from clients in return for ensuring them against intermittent, heavy-tailed risks. Firms manage their capital and pay dividends to their investors, and use either reinsurance contracts or cat bonds to hedge their tail risk. The model generates plausible time series of profits and losses and recovers stylized facts, such as the insurance cycle and the emergence of asymmetric, long tailed firm size distributions. We use the model to investigate the problem of risk model homogeneity. Under Solvency II, insurance companies are required to use only certified risk models. This has led to a situation in which only a few firms provide risk models, creating a systemic fragility to the errors in these models. We demonstrate that using too few models increases the risk of nonpayment and default while lowering profits for the industry as a whole. The presence of the reinsurance industry ameliorates the problem but does not remove it. Our results suggest that it would be valuable for regulators to incentivize model diversity. The framework we develop here provides a first step toward a simulation model of the insurance industry for testing policies and strategies for better capital management.
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中文摘要：
我们开发了一个基于agent的巨灾保险和再保险行业模拟，并使用它来研究风险模型的同质性问题。该模型模拟了保险公司的资产负债表，保险公司从客户那里收取保费，以确保客户免受间歇性、重尾风险的影响。公司管理资本，向投资者支付股息，并使用再保险合同或cat债券对冲尾部风险。该模型生成了合理的损益时间序列，并恢复了典型的事实，如保险周期和不对称、长尾企业规模分布的出现。我们使用该模型来研究风险模型的同质性问题。根据Solvency II，保险公司只需使用经认证的风险模型。这导致了一种情况，即只有少数公司提供风险模型，从而对这些模型中的错误造成了系统性的脆弱性。我们证明，使用太少的模型会增加拒付和违约的风险，同时降低整个行业的利润。再保险业的存在改善了问题，但并没有消除它。我们的结果表明，监管机构鼓励模型多样性是有价值的。我们在这里开发的框架为保险业的模拟模型提供了第一步，用于测试政策和战略，以更好地管理资本。
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分类信息：

一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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