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 insuring 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 firm size distributions. We use the model to investigate the problem of risk model homogeneity. Under the European regulatory framework 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, which could be used to test policies and strategies for capital management.

我们开发了一个基于代理的巨灾保险和再保险行业模拟，并用它来研究风险模型同质性问题。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，以换取为他们提供间歇性、重尾风险的保险。公司管理其资本并向投资者支付股息，并使用再保险合同或巨灾债券来对冲尾部风险。该模型生成了合理的损益时间序列，并恢复了典型的事实，例如保险周期和不对称公司规模分布的出现。我们使用该模型来研究风险模型同质性的问题。根据欧洲监管框架 Solvency II，保险公司必须仅使用经过认证的风险模型。这导致了只有少数公司提供风险模型的情况，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未付款和违约的风险，同时降低整个行业的利润。再保险业的存在改善了这个问题，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建立保险业模拟模型迈出了第一步，该模型可用于测试资本管理的政策和策略。我们证明，使用太少的模型会增加未付款和违约的风险，同时降低整个行业的利润。再保险业的存在改善了这个问题，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建立保险业模拟模型迈出了第一步，该模型可用于测试资本管理的政策和策略。我们证明，使用太少的模型会增加未付款和违约的风险，同时降低整个行业的利润。再保险业的存在改善了这个问题，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建立保险业模拟模型迈出了第一步，该模型可用于测试资本管理的政策和策略。