평균분산모형으로 분석한 보험과 투자의 상호연계성
A Mean-Variance Analysis on the Interaction between Insurance and Risky Investment
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우리의 논문은 최근 보험연구의 동향을 따라 잠재적 보험계약자가 보험과 함께위험자산의 구입도 가능한 분석모형을 설정하고 보험수요를 재분석한다. 즉 전체포트폴리오 관리의 관점에서 위험자산 및 무위험자산에의 투자수요와 보험수요를동시적으로 고려하는 것이다. 평균분산모형을 적용한 우리의 주된 연구결과는다음과 같이 요약된다. 먼저 우리는 위험자산에의 투자가 수행하는 전체 포트폴리오의 기댓값을일정수준으로 유지하면서 포트폴리오의 위험을 감소시킬 수 있는 위험관리수단으로서의 역할을 입증한다. 투자의 이런 역할은 Mayers-Smith(1983)가 명명한이른바 홈메이드보험(homemade insurance)을 가시적으로 증명해 주는 한 예가되겠다. 한편 우리는 양(+)의 부가보험료가 존재하는 경우 일부보험, 전부보험 그리고초과보험이 성립될 수 있는 필요충분조건도 함께 제시한다. 즉 순수위험과투자위험이 공존하는 우리의 분석모형에서 기존의 Mossin(1968) 정리는 하나의특수한 경우에 해당될 뿐임을 보이고, 아울러 우리는 Mossin(1968)의 결과와는상반되게 부가보험료가 있음에도 불구하고 잠재적 보험계약자가 전부보험 또는초과보험을 구입할 수 있는 조건도 함께 유도한다.
Abstract
We re-examine the demand for insurance by considering the case where the individuals are allowed to purchase risky assets as well as insurance coverage. In our model the individuals are exposed to both insurable risk and investment risk, and so the risky investment decision is made simultaneously with the insurance decision. Our analysis is based on mean-variance criterion, which leads to very intuitive results about insurance purchase. The results show that risky investment can be used for reducing the overall portfolio risk, holding the portfolio expected value fixed. This demonstrates that the risky investment plays an obvious role of home-made insurance, specified in Mayers-Smith (1983). Moreover, in contrast to Mossin (1968), it can be optimal for the individuals to purchase full insurance even when insurance premium is positively loaded. Mossin's results are reduced to be a special case in our model. We also identify conditions for Mossin's results to hold. We also derive many interesting and important results on interdependence between insurance and investment,which may not be possible for a general expected utility model in most cases.
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