管理巨災(zāi)保險風(fēng)險的新的方法外文文獻(xiàn)翻譯

外文題目:NewAproachestoManagingCatastrophicInsuranceRisk出處：RiskManagementChallengeandOpportunity作者：UlrichHommelandMischaRitterUlrichHommel原文：NewApproachestoManagingcatastrophicInsuranceRiskUlrichHommelandMischaRitterEuropeanBusinessSchool–InternationalUniversity,SchlossReichartshausen,D-65375Oestrich-Winkel,GermanyAbstract:Insuranceandfinancialmarketsareconvergingas(re-)insurersaresearchingfornewwaysofexpandingtheirunderwritingcapacitiesandmanagingtheirriskexposures.Catastrophe-linkedinstrumentshavealreadyestablishedthemselvesasanewassetclasswhichoffersuniqueprofitanddiversificationopportunitiesfortheinvestorcommunity.Thischapteranalyzestheprincipalforcesbehindthesecuritizationofcatastrophicinsuranceriskandtherebyhighlightskeyfactorswhichdeterminetowhatextentandwithwhatmeansotherformsofinsurancerisks(inparticularothertypesofproperty&casualty,longevity,healthandweatherrisks)canbetransferredtofinancialmarketsinthefuture.JELClassification:G150,G220,G130Keywords:CatastropheRisk,Securitization,Derivatives,Reinsurance,RiskManagement1.IntroductionAlternativeRiskTransfer(ART)isoneofthemostrapidlygrowingsegmentsofthereinsurancebusinesstoday.Itsobjectiveistodevelopalternativedistributionchannels(e.g.insurancecoverageforcaptivedemanders)andtoidentifywaysofexpandingthecapitalbasetosatisfytheever-growingappetiteforreinsurance,mostimportantlyviathesecuritizationofinsurancerisks.ARTisspearheadingtheprocesswhichworkstowardsbridgingthegapbetweeninsuranceandfinancialmarketsandincreasinglyexposesreinsurerstocompetitivepressuresfrominvestmentbanks.Thischapterfocusesontheoneareawherethetransferofinsurancerisktofinancialmarketshasalreadybeencarriedoutsuccessfully,catastrophe(orCAT)risk.Theanalysiswillhighlightkeyaspectswhichwillgainequalprominencewhenorganizedandover-the-counter(OTC)marketsbegintoabsorbotherformsofinsurancerisks,mostimminentlyothertypesofproperty&casualtyrisksaswellaslongevityandhealthrisks(seealsoRiemer-Hommel/Trauthinthisvolume).NotallformsoffinancialinnovationrelatedtosecuritizingCATriskhavebeensuccessful.Allexchange-tradedinstrumentshavebasicallyceasedtoexistinrecentyearsbutareneverthelessincludedinthischaptersincetheyhaveprovideduniqueformsofmanagingCAT-likeexposures.Someofthekeyreasonsforthesefailureswillbefurtherdetailedbelowaswell.Wehavewitnessedanextraordinaryincreaseinthefrequencyandseverityofnaturalcatastrophesinrecentdecadeswhichcanlargelybeexplainedbyanoverallincreaseinpopulationdensity,theappreciationofpropertyvaluesinindustrializedcountries,andanincreaseofinsuredpropertyvaluesinhigh-riskregions.Particularlyproblematicareso-calledmassive-losseventswithinsureddamagesofUSD1bill.ormoresincetheymaythreatenthesolvencyoftheinsuranceindustryasawhole.Property-casualtyinsurershavefacedatotalof36eventsbetween1970and2003eachwithaninsuredlossofoverUSD1.5bill.,28since1990alone.ThemostprominentexamplesareHurricaneAndrew(USD20.9bill.,1992),theNorthridgeEarthquake(USD17.3bill.,1994),TaifunMireille(USD7.6bill.,1991),andHurricanesDariaandLothar(bothUSD6.4bill.,1990/1999).Withtheriseofglobalterrorism,man-madedisastershavealsobecomeacentralissueformanagingCAT-likeexposures.The“September11”attack(2001)hasforinstancecausedtotalinsuredlossesofUSD21.1bill.(in2003USD).TraditionalinsurancemarketslacktheabilitytosupplysufficientcoverageforexistingCATriskexposures.TheU.S.insuranceindustryforinstancecontrolsanequitycapitalbaseofUSD350bill.AsingleearthquakewithanepicenternearOrangeCounty(CA)orahurricanecomingtoshoreinthevicinityofMiami(FL)mayalreadyimposedamageclaimsofuptoUSD50-100bill.onU.S.property&casualtyinsurers,anamountlargeenoughtoprobablyputanumberofinsuranceprovidersinastateoffinancialdistress.Primaryinsurershaverespondedbyreducingtheavailabilityofinsurancecoverage(e.g.homeownerinsuranceinhighriskareas)andbyraisinginsurancepremiumsanddeductibles.Statelegislatorshaveinsomecasesreactedbysettinguppublicinsuranceschemes(e.g.CaliforniaEarthquakeAuthority,1996),byestablishingguarantyfunds(e.g.FloridaHurricaneCatastropheFund)andbypassinglegislativemoratoriumswhichpreventprimaryinsurersfromstoppingtosupplyCATriskcoverage.Inthiscontext,itisalsoimportanttonotethatthegapbetweentotaleconomiclossesandlossesactuallyinsuredwidenssignificantlyaswemovefromthedevelopedworldtotransitioneconomiesandunderdevelopedcountries.Theprimaryreasonfortheproperty&casualtyinsurers’continuedoverexposuretoCATriskhasbeenthelimitedavailabilityoftraditionalreinsurancecoveragewhichis,however,notsurprisinggiventhereinsuranceindustry’snarrowcapitalandsurplusbaseofUSD42bill.(1997).TherisingdemandforreinsurancehaspushedCATreinsurancepremiumsupby72%between1990and2002alonewhiletheprimaryinsurers’attachmentpoints(equivalenttodeductibles)haveforinstancerisenby73%between1985and1994.Theaveragecoverageformassive-losseventsexceedingUSD5bill.hadrisenmarkedlyintheU.S.since1970butstillfailedtoreach30%in1994.Hence,theinsuranceindustry’skeychallengesincetheearly1990shadbeenthesearchforalternativemeansofreinsuringCATrisks.Theworld’sequityandfixedincomemarketswithacapitalizationofmorethanUSD30trillioncoupledwiththeorganizedandover-the-counter(OTC)marketsforderivativeinstrumentsprovidethecapabilityandaspirationtoabsorbsomeoftheseexposures.Asoutlinedinsection2,CAT-linkedsecuritiesoffernewportfoliodiversificationopportunitiesforinvestorsgiventheirstatisticalindependencefromsystematicmarketrisk.Inaddition,traditionalCATreinsurancereturnsstillexceedtherisk-freeratewhichrepresentstheadequateminimumrequiredreturnintheabsenceofarbitrageandcapitalconstraints.Thediscussioninsection3explainsthatcontractdesignmayeitheraimatreplicatingthepayoffstructureoftraditionalreinsurancecontractsorgeneratepayoffpatternstailoredaroundtheinsurer’sspecificriskmanagementneed.Asdiscussedinsection4,theuseofCATderivativesfurtherenablesinsurerstoobtainamorefavorableriskprofile,aboveallbyreducingtheiroverallCATriskexposure,byobtainingasuperiorgeographicaldiversificationoftheircontractportfolioandbyeliminatingso-calledmoralhazardrisk.Section6providesanoverviewofthevarioushedgingstrategiestobepursuedwithCATderivatives.AkeyissuerelatedtotheusageofCATderivativesisthevaluationofthesecontractswhichisdiscussedinsection6.Finally,theconcludingremarks(section7)analyzetheimplicationsofsecuritizationanddisintermediationforthefuturedevelopmentofthereinsuranceindustry,inparticularitsroleasanagentforthepoolingandbearingofrisk.CAT-linkedsecuritiesenableinsurerstoreduceandrestructuretheirexistingriskexposuresandtherebyenhancetheirrisk-bearingcapacities.Itthereforeseemsappropriatetobeginthediscussionbyreviewingsomeoftheeconomicrationaleswhyinsurersshouldengageinactiveriskmanagement.Onagenericlevel,corporateriskmanagementcanbejustifiedonthebasisofmarketimperfectionswhichimplyaninvalidationofModigliani-Miller’s(1958)irrelevancetheorem.Specifically,corporate(asopposedtoinvestor-based)hedgingactivitiesmayraiseshareholdervalueby(a)reducingtheagencycostsofequityfinancing(riskpreferenceproblem,performancesignaling)anddebtfinancing(underinvestmentandassetsubstitutionproblem)associatedwithasymmetricinformation;(b)reducingthecorporatetaxburdeninanenvironmentwithconvextaxschedules(e.g.statutoryprogressivity,lossforwardandtaxcreditprovisions);(c)reducingthetransactioncostsofhedgingassociatedwithscaleeffects,asymmetricinformation(i.e.,inabilityofshareholderstodeterminethefirm’strueexposure)orstructuralaccessbarriers;(d)reducingtheexpectedcostsoffinancialdistress(i.e.,reducingtheprobabilityofencounteringfinancialdistressandthedirectaswellasindirectcostsassociatedwithfinancialdistress);(e)improvingtheavailabilityofinternallygeneratedcashflowsinanenvironmentwithhigherabsolutecostsaswellasrisingmarginalcostsofexternalfinancing;(f)helpingoptimizethefirm’sriskportfolio(i.e.,byhelpingtoeliminatenon-compensatedriskexposures).Whileallofthesemotivesaremoreorlessapplicabletotheinsurancebusinessaswell,itmustberecognizedthatthereareimportantdifferences.Insurersdonotconsiderriskanundesirablesideeffectofdoingbusiness;itistheirbusiness.Theypool,repackage,cedeaswellasretrocede,diversify,andbearallformsofriskexposures.Maintainingtheabilitytodeliverontheircontractualobligationsliesattheheartoftheirriskmanagementactivities(d).Inaddition,consolidationpressuresresultingfromtheinternationalizationoftheinsurancebusinessforcemarketparticipantstopursuemarketexpansionstrategieswhichimplytheneedtoexpandunderwritingcapacitywithinternalorexternalmeans(e).Financialmarketsofferuniqueopportunitiesforcontract-basedreplicationofCATriskexposureswhichenablesinsurerstocedeexposuresdirectlyto(primarilyinstitutional)investors.Insurersaretypicallyspecializedincertainproductsegmentsandregions,ifonlyforhistoricalreasons,andmaythereforebepreventedfromexploitingtheirfullmarketpotentialinordertoavoidtheoverexposuretocertainriskfactors.Traditionalreinsuranceoffersopportunitiestocedesomeoftheserisksbutisoftensaidtorequirespecialpremiumstocompensateforagencyriskgiventhereinsurers’limitedabilitytoevaluatetheriskprofileoftheprimaryinsurer’scontractportfolio.Financialmarketsprovideadditionalopportunitiesfortheoptimizationofaninsurer’sriskportfolio(f),forinstanceviaCATswapmarkets,andhelptoreducetheexposuretoagencyriskaswellasitsprice(a).TraditionalandART-BasedCATReinsuranceCATreinsurancecanbeobtainedwiththeobjectivetoeithertransferrisktoanotherpartyortoprovidefinancingintheoccurrenceofadisastrousevent.Theexistingtransactionstructurescanbasicallybegroupedintothefollowingfourcategories:?TraditionalReinsurance:Transactionwhichinvolvesthetransferofinsuranceriskfromapartywhohasassumedsuchriskfromathirdpartybymeansofaninsurancecontract(cedinginsurer)toanotherpartywhoisspecializedinassumingsuchrisk(reinsurer).ThistransactiontypeemphasizesthetransferofCATrisk.?FinancialReinsurance:Transactionswhichcombinetraditionalreinsuranceproductswithfinancingcomponentsforpurposesofgeneratingsurplusrelief,catastrophecoverage,taxoptimization,andincomesmoothing.Theemphasisistypicallyplacedonriskfinancingratherthanonthetransferofrisk.Contractingpartiesareprimaryinsurersandreinsurers.Finiteriskreinsuranceasoneexampleoffinancialreinsurancemaybeusedtocomplementspecificcoveragegaps(e.g.unhedgedlosslayers,settlementrisk)ratherthanthefullunderlyingrisk.?Securitization:Transferof(insurance)riskfromonepartywhohasassumedorisdirectlysubjecttosuchrisktoanotherpartyviatheissuanceofsecuritieswitharisk-linkedpayoffstructure(e.g.CATbonds).Thetransactionsrepresentamixtureofrisktransferandriskfinancingwithanemphasistypicallyplacedonthelatter.Ofparticularrelevanceinthiscontextarealsocontingentfinancingfacilitieswhichprovidefinancialsupportatthediscretionofthecoveredpartyorupontheoccurrenceofacatastrophicevent(e.g.ContingentSurplusNotes).?Derivatives:Transferof(insurance)riskbymeansofissuingderivativeinstrumentswitharisk-specificunderlying(e.g.lossindex).Iftheunderlyingissufficientlystandardizedtoallowexchange-trading,thenwealsospeakofinsurancecommoditization.Dependingonthespecificcontractdesign,thistransactiontypemayemphasizethetransferofrisk(e.g.CATswaps)orriskfinancing(e.g.CATequityputs).Accordingtoourdefinition,thedistinguishingfeatureofsecuritizationrelativetoderivativestransactionsisthepresenceofaninitialriskexposurewhichistransferredtoinvestorsbythevirtueofbeingpackagedintoafinancialinstrument.However,wewillapplythisdefinitionratherlooselyandincludeunderthisheadingliability-backedsecuritiesaswellasstructureswithembeddedCATderivatives(e.g.bondissueswithcouponslinkedtoaCATlossindex).TraditionalCATreinsurancecontractsaretypicallytreaty-basedratherthanfacultativeandarespecifiedasexcess-of-loss(non-proportional)policies,i.e.,thereinsurercoversallclaimswhichexceedacertainminimumlevel(stop-losscover),alsocalledattachmentpoint.Inessence,theprimaryinsurerexchangesexposuretopeaklossesresultingfromso-calledcorrelatedeventrisk24againstthepaymentofaconstantpremiumstream.Theattachmentpointsfunctionasdeductiblesandhelptoreducethereinsurer’smoralhazardrisk.Thesameobjectivemay,however,beachievedwithacoinsurancearrangement(alsocalledproratacoverage)whereinsurerandreinsurersharethelossesinconstantproportionsor,alternatively,withprotectivecovenantswhichplacebehavioralconstraintsontheinsurer’sbehavior(e.g.withrespecttotheacquisitionofnewbusinessindisaster-proneareas).Itisnotuncommonforthereinsurertocaphisobligationsbydefininganupperattachmentpoint(limit)beyondwhichhewillnolongeroffercompensationforinsurancelosses,i.e.,hemerelyofferscoverageforalosslayer.Asaresult,theprimaryinsurerretainsthepeakofthelossexposurebut,inreturn,reduceshisexposuretocounterparty(credit)risk,i.e.,theriskthatthereinsurerbecomesinsolventasaresultofthecatastrophicevent.Thereinsurermayalternativelychoosetoofferso-calledstate-contingentreinsurancewhichisbasedontheobjectiveseverityofacatastrophicevent(e.g.totaldamages,disasterseverityindexvaluesuchastheRichterscale)ratherthanontheinsurer’sactuallosses.Bydoingso,thereinsurerprotectshimselfagainstmoralhazardriskbutexposestheprimaryinsurertoadditionalbasisrisk.ThisisalsothedirectiontakenbyART-basedCATriskcoverage.ThemaindifficultyofinsuringCATrisksistoresolvetheapparentmismatchbetweenastablepremiumflowandfluctuatinginsuranceclaimsgiventhatinsuranceproviderslacktheincentivetobuildupCAT-contingentsurplusfunds.Forone,theinvestmentofex-antecapitaltendstogeneratesub-parreturnsandthereforedepressestheinsurer’soverallprofitability.Second,duetothelackofabindingcommitmentmechanism,someinsurerswouldfinditindividuallyrationaltoconvertthesefundsintounderwritingcapacityandcompeteforbusinessbydrivingdowninsurancepremiums,therebydepressingindustryprofitabilityevenmore.Third,insurerssetupascorporationsmayinviteraiderstoundertakehostiletakeoverwiththebuild-upofex-antecapitalwhilemutualinsurersmaybepushedintoaroll-backofratesbytheirmembershiporconsumeradvocates.Inaddition,insurersfaceanumberofregulatoryconstraintssuchasaccountingrestrictionsonthebuild-upofcontingencysurplus(e.g.underU.S.FASBNo.5)andtaxprovisionswhichtreatadditionstoex-antecapitalandinterestonthesefundsastaxableincome.AsdocumentedbyJaffee/Russell(1997,p.215)forthecaseoftheU.S.,insurersalsoseemtolackadynamicallyconsistentpremiumstrategywhichtakesCAT-relatedlosspeaksintoaccountandwhichensuresacertainsmoothnessinthepremiumdevelopment.FollowingHurricaneAndrew,averageinsuranceratesincreasedby65%between1992and1995.TheNorthrigdeearthquaketriggeredrequestsforrateincreasesfrom101insurancecompanies.StateFarmforinstanceappliedfora97.2%increaseinCAT-linkedpolicypremiumsandreceivedregulatoryapprovalfora65%hike.ThetraditionalCATreinsurancegaphasledtotheemergenceofanumberofART-basedsolutions,includingseveralfinancial-market-basedtransactionstructures.外文題目：NewApproachestoManagingCatastrophicInsuranceRisk出處：RiskManagementChallengeandOpportunity作者：UlrichHommelandMischaRitterUlrichHommel譯文：管理巨災(zāi)保險風(fēng)險的新的方法

摘要：保險業(yè)和金融市場正在融合為（再）保險公司，為擴(kuò)大其承保能力和風(fēng)險管理方面尋找新的途徑。災(zāi)難掛鉤投資工具已經(jīng)確立了新的資產(chǎn)類別，為投資者提供了獨特的盈利和社會多元化的機(jī)會。本章分析巨災(zāi)保險風(fēng)險證券化背后的主要力量，從而突出決定其長度的關(guān)鍵因素是什么，以及其他形式的保險風(fēng)險的意義（特別是其他類型的財產(chǎn)及意外險，長壽，健康和氣候風(fēng)險）可以被轉(zhuǎn)移到了未來的金融市場。關(guān)鍵詞：巨災(zāi)風(fēng)險，證券化，衍生性商品，再保險，風(fēng)險管理

1.介紹

替代風(fēng)險轉(zhuǎn)移（ART）是現(xiàn)今再保險領(lǐng)域增長最迅速的業(yè)務(wù)之一。其目標(biāo)是開發(fā)替代分銷渠道（如為自保需求者提供保險覆蓋），并確定如何擴(kuò)大資本基礎(chǔ)，最重要的是通過保險風(fēng)險證券化來滿足再保險日益增長的胃口。替代風(fēng)險轉(zhuǎn)移在再保險市場和金融市場之間起橋梁作用，彌合他們之間的缺口——不斷曝光的來自投資銀行的競爭壓力。本章重點介紹保險風(fēng)險已經(jīng)成功轉(zhuǎn)移到金融市場的一個領(lǐng)域，災(zāi)難（或CAT）風(fēng)險。該分析將重點突出，當(dāng)組織和過度的柜臺交易（OTC）市場開始吸收其他形式的保險風(fēng)險，其他類型的財產(chǎn)及意外險風(fēng)險以及健康長壽風(fēng)險將得到同等的重視。并非所有與巨災(zāi)風(fēng)險證券化相關(guān)的金融創(chuàng)新都取得了成功。最近幾年所有交易所交易文書已基本不復(fù)存在，不過，這一章包括在內(nèi)，因為他們提供獨特形式來管理與貓債券相似的暴露。對這些失敗的關(guān)鍵原因有以下將進(jìn)一步詳細(xì)介紹。

我們目睹了近幾十年來的頻率和程度嚴(yán)重的自然災(zāi)害的顯著增加，在很大程度上提高了整體的人口密度，工業(yè)化國家的資產(chǎn)價值升值，以及高風(fēng)險地區(qū)保險價值的增加。特別有問題的是所謂的大量損失的被保險人賠償10億美元的事件?；蛘吒啵驗樗鼈兛赡芪＜罢麄€保險業(yè)的償付能力。財產(chǎn)險保險公司在1970年到2003年期間總共有36個事件，被保險人的損失超過15億美元。，自1990年以來就有28個。最突出的例子是安德魯颶風(fēng)（209億美元。，1992年），北嶺地震（173億美元，1994），米雷耶臺風(fēng)（76億美元，1991年），和颶風(fēng)達(dá)里亞和洛薩（包括64億美元，1990/1999）。隨著全球恐怖主義的興起，人為災(zāi)害也成為管理似貓債券風(fēng)險的一個核心問題?！?.11”襲擊（2001），導(dǎo)致保險損失總額達(dá)到211億美元。

傳統(tǒng)型保險市場缺乏能力提供有效的CAT風(fēng)險的覆蓋面。例如在美國保險業(yè)的管制法案規(guī)定了3500億美元基本股權(quán)資本。橘郡（CA）附近的一個單一地震或邁阿密海岸（佛羅里達(dá)州）附近的颶風(fēng)就可能已經(jīng)造成索賠高達(dá)500億至1000億美元的損失。美國財產(chǎn)險保險公司的數(shù)量遠(yuǎn)遠(yuǎn)多于在金融危機(jī)狀態(tài)下的保險供應(yīng)商的數(shù)目。主要保險商的反應(yīng)是減少保險覆蓋范圍（如：在高風(fēng)險地區(qū)的屋主保險），或者提高保險費和免賠額。州議員在某些情況下作出的反應(yīng)是設(shè)立公共保險計劃（如加利福尼亞州地震局，1996），建立擔(dān)?；穑ɡ绶鹆_里達(dá)州颶風(fēng)巨災(zāi)基金），并暫停傳遞的防止停止供應(yīng)巨災(zāi)風(fēng)險保險覆蓋面的主要立法。在這種情況下，還必須指出，總的經(jīng)濟(jì)損失和實際損失差距顯著擴(kuò)大意味著我們從發(fā)達(dá)國家轉(zhuǎn)移到欠發(fā)達(dá)國家的經(jīng)濟(jì)轉(zhuǎn)型。

財產(chǎn)和意外傷亡保險公司的持續(xù)過度暴露貓債券風(fēng)險的主要原因是傳統(tǒng)的再保險覆蓋面能力的限制，但這并不奇怪，因為再保險業(yè)的資本和盈余基礎(chǔ)縮小到420億美元。（1997年）。再保險需求上升推高了CAT的再保險保費僅2002年至1990年就上漲了72%，主要保險的觸發(fā)點（相當(dāng)于免賠額）在1985年到1994年上升73%，美國自1970年以來超過50億美元的大量損失事件的覆蓋面有所上升，但仍然未能在1994年達(dá)到30％。因此，保險業(yè)20世紀(jì)90年代初以來的主要的挑戰(zhàn)是搜索再保險風(fēng)險的替代手段。

全球資本市場的資產(chǎn)和固定收益超過30萬億美元，利用有組織的和柜臺交易（OTC）衍生工具提供能力和愿望吸納這些暴露的風(fēng)險。如第2部分所示，利用市場風(fēng)險統(tǒng)計的巨災(zāi)債券相關(guān)的證券投資組合為投資者提供了獨立投資主體多元化的機(jī)會。此外，在套利和資本約束的情況下，傳統(tǒng)的巨災(zāi)再保險的回報仍超過無風(fēng)險利率所代表的充足的最低要求。在第三部分的討論解釋說，合約設(shè)計的目的可能不是在復(fù)制傳統(tǒng)再保險合同的收益結(jié)構(gòu)或產(chǎn)生大約保險人的具體的風(fēng)險管理需要的收益模式的基礎(chǔ)上。如第4節(jié)所討論的，巨災(zāi)風(fēng)險的衍生工具的使用進(jìn)一步使保險公司創(chuàng)造更有利的風(fēng)險收益，通過降低整體巨災(zāi)風(fēng)險暴露，通過他們地理多樣化的投資組合的的合同優(yōu)化，并消除所謂的道德風(fēng)險。第6部分介紹了巨災(zāi)風(fēng)險的各種避險策略與巨災(zāi)風(fēng)險的衍生工具。一個涉及到使用巨災(zāi)衍生工具的關(guān)鍵的問題是在第6討論的合同的估價。最后，總結(jié)發(fā)言（第7條），特別是它作為匯集和承受風(fēng)險機(jī)構(gòu)的角色來分析再保險業(yè)未來發(fā)展證券化和脫媒的影響。

巨災(zāi)掛鉤的證券使保險公司減少和調(diào)整其現(xiàn)有的風(fēng)險暴露，從而提高他們的風(fēng)險承受能力。因此，它似乎應(yīng)首先回顧經(jīng)濟(jì)學(xué)原理，來討論為什么一些保險公司應(yīng)該進(jìn)行積極的風(fēng)險管理。莫迪利亞尼-米勒（1958）認(rèn)為，企業(yè)可愿意運(yùn)用一個通用指標(biāo)進(jìn)行合理的風(fēng)險管理，這意味著市場不完善的無關(guān)定理失效的基礎(chǔ)。具體來說，企業(yè)（相對于投資者為基礎(chǔ)的）對沖活動可能會提高股東價值通過：

（一）減少股權(quán)融資（風(fēng)險偏好的問題，表現(xiàn)信令）和債務(wù)融資（投資不足和資產(chǎn)替代問題）與不對稱信息相關(guān)的代理成本；

（二）減少環(huán)境中的企業(yè)稅收負(fù)擔(dān)（如法定的累進(jìn)，損失前鋒和稅收抵免的規(guī)定）；（三）減少對沖規(guī)模效應(yīng)，非對稱信息（即股東無法確定該公司的真實接觸）或結(jié)構(gòu)性進(jìn)入壁壘相關(guān)的交易成本；

（d）減少財務(wù)困難的預(yù)期成本（即減少遇到金融危機(jī)的直接和概率以及財務(wù)危機(jī)的間接費用）；

（五）改善具有較高的絕對成本的環(huán)境下內(nèi)部產(chǎn)生的現(xiàn)金流量可作為上升的外部融資的邊際成本；

（六）協(xié)助優(yōu)化公司的風(fēng)險投資組合（即通過幫助