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    Essays on Shadow Insurance

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    Genre
    Thesis/Dissertation
    Date
    2019
    Author
    Peng, Ying
    Advisor
    Weiss, Mary A.
    Committee member
    Cummins, J. David
    Chen, Hua
    Mao, Connie X.
    Department
    Business Administration/Risk Management and Insurance
    Subject
    Finance
    Business Administration
    Capital Management
    Captive Reinsurance
    Life Reinsurance
    Shadow Insurance
    Systemic Risk
    Permanent link to this record
    http://hdl.handle.net/20.500.12613/2130
    
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    DOI
    http://dx.doi.org/10.34944/dspace/2112
    Abstract
    This dissertation discovers an important development in the life reinsurance market and investigates two problems behind the rapid growth of shadow insurance -- the motivation of shadow insurance activities and the underlying risks. The first part investigates why U.S. life insurance groups use shadow insurance, i.e., reinsure their risks using affiliated, unauthorized, and unrated off-balance-sheet entities rather than traditional reinsurers, and how such activities are allocated to individual group members. We find that regulatory arbitrage through shadow insurance activities is motivated by a large deviation from an insurance group's optimal capital structure and is primarily exercised by larger groups with relatively lower capital adequacy. Rather than smoothing capitalization across firms using affiliated reinsurers' capacity, insurance groups allocate the amount of shadow insurance to only a few highly leveraged, less capitalized, and larger life insurers within the group. The se
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