1、 外文翻译 原文 Should Governments Provide Catastrophe Insurance Material Source:University of California Author:Dwight Jaffee Introduction The tragic consequences of Hurricane Katrina have given renewed importance to the analysis of the appropriate role of government in the provision of catastrophe insura
2、nce. Even before Katrina, the impending expiration of the Terrorism Risk Insurance Act of 2002, (TRIA), had set in motion an active debate on this question,. This act made the US Federal government the temporary re-insurer of certain terrorism risks, and led to divided opinions on whether or not thi
3、s new role should extended; see e.g. Hubbard and Deal (2004), Wharton Risk Management and Decision Processes Center (2005), C.B.O. (2005), US Treasury (2005) , Smetters (2005), Jaffee and Russell(2003, 2005). In this paper we focus on two central aspects of this question. Firstly, we revisit the que
4、stion of what features of catastrophe insurance make it so special that private insurers have declared it to be uninsurable.” Secondly, stipulating for the moment that private markets by themselves will not insure large infrequent events, we examine the form of the public/private partnership which p
5、rovides the most beneficial risk management incentives. Catastrophes: Are Private Insurance Markets Viable? From the point of view of actuarial science, the absence of private markets for catastrophe insurance is something of a puzzle. A 100 year flood causing $50b in damage, (expected loss=$500m pe
6、r annum), for example, is well within the approximately $400b carrying capacity of the domestic US property casualty industry, not even counting the additional carrying capacity of foreign re-insurers such as Lloyds, Swiss Re and Munich Re. This “actuarial” view that catastrophe risks are insurable
7、is supported by the fact that at one time or another, insurance against all catastrophes in the US was readily available, often at a very low price. In every case, market collapse was sudden, following hard on the heels of some catastrophic event, the Mississippi floods of 1927 for flood insurance,
8、the Northridge earthquake for California earthquake insurance, Hurricane Andrew for Florida hurricane insurance, and the terrorist attacks of 9/11 2001 for terrorism insurance. This before and after pattern, with insurance readily available before the loss, but not available at all afterward, sugges
9、ts something of a panic reaction. After all, following a catastrophic event, actions are usually taken (levee strengthening, increased airport security, for example) to lower the probability or the consequences of a subsequent event. Of course, insurers may argue that before the event they had misju
10、dged the potential magnitude of the loss, but even if the event creates losses far above the expected amount, these incremental losses must still be multiplied by very small probabilities and a suitable (perhaps even large) upward revision of premiums should be sufficient to maintain profitability.
11、This would enable insurance companies to continue underwriting at least part of the risk, and, with the improved sophistication of catastrophe loss modeling, it should be straightforward to justify an increase in premiums to regulators based on the revised estimates of expected losses. Of course, th
12、ere is the obvious problem that a catastrophic event depletes insurance company reserves. But again, given that catastrophe insurance remains a profitable business at the appropriate price, external financial markets should be available to replenish the capital stock. This capital restocking process
13、 is not free of practical difficulties, and in prior work we have noted a number of them, Jaffee and Russell (1997). For example, providers of new monies will be rightly concerned that their capital will be used to pay off existing claims. Again, under current US law, the interest on capital reserve
14、s is taxed even though it is expected to be used to pay claims, see Harrington and Niehaus (2001). These and other difficulties, however, can be overcome. In particular, catastrophe bonds, instruments whose principal is cancelled in the event of a loss, have already proven capable of financing earth
15、quake and wind risk and are beginning to be used to finance terrorism risk. The market for such instruments is still not large ($1b per annum), but many obstacles to their acceptance (for example, the receipt of an investment grade rating from the bond rating agencies) have been overcome, and it wou
16、ld be sensible public policy to remove the remaining obstacles. The increase in sophistication of both catastrophe risk modeling and catastrophe financial engineering (the two go hand-in-hand) make it all the more difficult to explain the reluctance of most insurers to write this line. Of course, th
17、ere are exceptions. Warren Buffett, the owner-manager of the Berkeley Hathaway insurance companies, has, on several occasions been willing to write catastrophe insurance contracts rejected by other companies. This raises the question of the extent to which professional managers of publicly traded fi
18、rms decline to write this line because they feel the need to provide Wall Street with a smooth earnings pattern. A catastrophic event can put a significant dent in the earnings of any quarter in which there is a loss, and accounting rules prevent this loss from being smoothed, Jaffee and Russell (19
19、97). Of course, for firms writing catastrophe lines, some down quarters are to be expected. The question is whether or not financial markets recognize the temporary and idiosyncratic nature of these losses, and set the stock-market price for these firms accordingly. Several studies have found, for e
20、xample, that the effect of a catastrophic earthquake on the market value of property-liability insurers can actually be positive, perhaps because market investors anticipate firmer premium levels in the future. Shelor, Anderson, and Cross (1992) documented that the 1989 Loma Prieta earthquake had a
21、positive impact on insurance firm value. Aiuppa, Carney, and Krueger (1993) also demonstrated positive insurer share price reaction to that event. Kennedy and Lamb (1997) found that property liability insurers experienced a significant positive reaction immediately after the Northridge earthquake. A
22、 recent analysis of post 9/11 effects by Cummins and Lewis (2003) confirms the absence of clear negative effects, “The immediate effect of the attack was a general decline in insurance stock prices. However, during the period after the first post-event week, the stock prices of insurers with strong
23、financial ratings rebounded while those of weaker insurers did not, thus providing support for the flight to quality hypothesis.” All of which suggests that the fears of the professional managers are more imagined than real. With respect to the insurability of catastrophe risk, when these risks are
24、free to be priced to yield a reasonable profit, and assuming that creative financial engineers can find ways to raise the capital necessary to fund losses, there is no obvious reason why private insurance markets should not be able to provide this product. After all, modern insurance was born of a d
25、esire to provide catastrophe insurance. The 1666 Great Fire of London, which destroyed of Englands GDP, led to the creation of Englands first fire insurance company, the Fire Office. Designing a Public Catastrophe Insurance Program If private market catastrophe insurance is commercially viable, perm
26、anent government programs which provide lower-cost public substitutes would crowd out the market alternative. This suggests that the design of Government interventions need to be examined very carefully. As critics of the National Flood Insurance Program (NFIP) have pointed out, subsidies are legisl
27、ated into this program (up to $10,000 per policy). In addition, the failure to require this program to maintain actuarially computed reserves against future losses makes the system an insurance scheme in name only. The program is backstopped by a line of credit with the US Treasury of $1.5b, some of
28、 which was used in 2004. Since losses from Katrina will clearly greatly exceed this, those who bought this flood insurance are now almost as dependent on taxpayer largesse as those who did not. Two design principles would help to avoid these problems: Direct participation by the private markets shou
29、ld be encouraged as much as possible. Government programs should support, not replace, private markets. When government programs are required, they should mimic as far as possible the structure of private market outcomes. TRIA, the Government terrorism reinsurance program, was explicitly and properl
30、y legislated as a stop-gap measure designed to allow the private market to get back on its feet. But, since the government reinsurance facility is provided without charge, it has necessarily crowded out the corresponding elements of the private terrorism reinsurance market. Not surprisingly, element
31、s of the real estate and insurance industries are lobbying hard for the continuation of these benefits. It is quite possible, however, to design temporary catastrophe assistance programs which support private markets rather than destroy them. As pointed out above, many of the problems faced by priva
32、te markets stem from the abrupt loss of capital caused by a catastrophic event. Clearly, Governments can offer temporary loans to replenish capital, allowing private insurers breathing time to access private sources of capital. There is an obvious analogy with the banking industry. The Federal Reser
33、ve System stands ready to loan reserves to banks in temporary difficulties, and this has allowed the private banking system to flourish in the face of its own catastrophic risk of bank runs. The same argument can be made with respect to private insurers. The federal Government can offer to make loan
34、s at market rates to beleaguered insurers, these loans being treated as qualifying reserves until such times as they are replaced with external capital. Note that this arrangement does not require that the Government enter the business of catastrophe insurance. It simply extends the existing “lender
35、 of last resort” function from the bankingindustry to the insurance industry. If private insurers know that they can always replenish their reserves following a loss, straightforward profit maximization considerations would overcome at least some of the reluctance to write catastrophe lines. B.U sin
36、g the Market as the Model for Public Intervention But what if this is not enough? What if private insurers, even with the guarantee of instant access to capital at market rates still refuse to write catastrophe lines? Then we face the need to structure a public alternative. In designing public catas
37、trophe insurance programs, it is important to note what they are not suited to achieve. First, they certainly cannot eliminate the actual deaths, injuries, and losses to tangible property; indeed, by reducing the incentive of the private sector to protect itself against possible losses, government p
38、rograms may cause the actual losses to rise. Second, lobbyists claims to the contrary, subsidized public catastrophe insurance programs are not necessary to guarantee full employment. There are other stabilization weapons such as monetary and fiscal policy which can achieve that goal. Public catastr
39、ophe insurance programs should properly be thought of as substitutes for the much more expensive alternative of after the fact ex gratia payments as administered by State and Local relief agencies, the Federal Government through FEMA and a host of other public agencies, and private agencies such as
40、the Red Cross. This desire to aid ones neighbors comes from the best of human intentions, but it sets up all of the perverse incentives associated with the Samaritans dilemma, Buchanan (1977). Knowing that agencies stand read y to provide the resources to rebuild, those at risk have less incentive t
41、o act in a manner which pays any attention to the underlying risks. In designing a successful public insurance program, two features must be in place. the program must be priced at an actuarially fair level; the program must be reserved according to standard insurance principles. And here lies the p
42、aradox. Put simply, a well designed public catastrophe insurance program mimics as far as possible the procedures of an equivalent competitive private market. Conclusion The view that a public insurance scheme must mimic the private market leads to the obvious question, why not just let the private
43、market do it? But we have already noted that private insurers are often simply unwilling to write catastrophe lines. We have proposed one solution, temporary provision of capital in the aftermath of a catastrophic loss, but we acknowledge that this may not be enough. In this case, a direct governmen
44、t intervention may be needed, but the government insurance must require premiums which reflect the underlying risks (no matter how large) and it must operate with a reserving strategy which makes it unnecessary to appeal to the Treasury for a bailout with high frequency. There certainly can be no ar
45、gument for the government plan to operate with subsidies that have the effect of encouraging individuals to put themselves and their possessions in harms way. A rational public catastrophe insurance scheme must be operated on the same principles that would govern the scheme were it to be offered by
46、a competitive private market. 译文 政府 是否该 提供巨灾保险 资料来源 :加州大学 作者： 德怀特 贾菲 飓风卡特里娜的悲剧性后果给予巨灾保险新的重要性，对政府在巨灾保险方面的适当作用的分析。这种行为使美国联邦政府的临时重新某些恐怖主义风险，保险人，并导致分歧意见是否不应该 延长这个新角色，见如 Hubbard 和交易（ 2004），沃顿商学院风险管理和决策过程的中心（ 2005），国会预算办公室（ 2005），美国财政部（ 2005）， Smetters（ 2005），贾菲和罗素（ 2003， 2005）。 在本文中，我们集中讨论两个方面对这一问题的中心。 首
47、先，我们重新考虑什么样的巨灾保险功能的问题做起来很特别，私营保险公司已宣布它是 承保。其次，对于私人市场不会偶发事件保险规定，我们审查的形式公共 /私营伙伴关系，提供了最有利的风险管理激励机制。 灾难：是私人保险市场的可行吗？ 从精算学的角度来 看，私人市场为巨灾保险的情况下是一个谜的东西。 100年洪水造成的损失 500亿美元，（预计为每年损失 = 500米），例如，远低于约 4000亿美元美国国内财产险行业的生产能力，这还不算外国再额外承载能力如劳埃德，瑞士再保险公司和慕尼黑再保险公司。 这种“精算”认为，巨灾风险保险是支持的事实，即在同一时间或其他，对 在美国的所有灾害保险是现成的，在非
48、常低的价格通常。在任何情况下，市场突然崩溃之后，对一些灾难性事件紧随其后，如 1927年密西西比河洪水的洪水保险，地震保险的加州北岭地震，飓风安德鲁飓风佛罗里达保险，以及 恐怖袭击的恐怖主义保险。 这之前和之后现成的模式与保险之前的损失，但后来都无法使用。毕竟灾难性事件后，通常采取的行动（大堤加固，提高机场的安全）的概率降低或后续事件的后果。当然，保险公司可能会说，在活动前，他们误判损失的潜在规模，但即使该事件造成的金额远远高于预期的损失，这些渐进的损失必须仍是非常小的概率相乘，一个合适的（甚至大）的保费上调应足以保持盈利。这将使保险公司继续承保至少部分风险，并与巨灾损失模型改进复杂，它应该很
49、容易证明，在对预期损失的修订预算增加保费的监管。当然，还有一个明显的问题产生了灾难性 事件耗尽保险公司储备。但同样，由于巨灾保险仍保持在适当的价格，营利事业，外部金融市场应可以补充资本存量。 这种资本进货过程中的实际困难，是不是免费的，和以前的工作中，我们已经注意到了其中的一部分，贾菲和罗素（ 1997年）。例如，新的资金提供者将理所当然地担心他们的资金将用于偿还现有的索赔。同样，按照现行的美国法律，资本准备金利率，税率，即使它预计将用于支付索赔，看到哈灵顿和豪斯（ 2001年）。这些和其他方面的困难， 是 可以克服的。特别是，巨灾债券，其主要手段是在亏损的事件取消，已探明的融资地震及风力风险能力， 并开始被用于资助恐怖主义的危险。 对这类工具的市场还没有大（每年 10亿美元 ） 型购买者 ，但许多障碍，他们的接受（例如，一个投资从债券评级机构的等级评定收据）已经克服，这将会消除 公共政策仍然存在的障碍。 在这两个灾难和灾难风险建模复杂的金融工程增加使它更难以解释大多数保险公司不愿写这一行。当然，也有例外。沃伦巴菲特，所有者的伯克利哈撒韦保险公司经理，已多次愿意写巨灾保险的其
