We study capital management and investment decisions of a value-maximizing insurance firm with a broad ownership base in a discrete-time setting. We highlight that the valuation measure used to determine the value of the cash flows to shareholders should reflect two economically sound requirements: market-consistency and indifference to idiosyncratic risk. We provide a rigorous construction of this economic valuation measure and use it to derive the optimal capital-management and investment strategies that realize the economic value of the firm. Our objective is to shed light on the controversial question of whether insurers should invest in liquidly-traded risky assets. Decomposing firm value into net tangible value, default option value, and franchise value, we find that whether to take investment risk is optimal or not essentially depends on the tradeoff between the impact of investment risk on the owner’s option to default and on the firm’s franchise value. A variety of numerical examples illustrate how changes in the regulatory and financial environment can result in materially different optimal investment strategies.

我们研究离散时间范围内拥有广泛所有权基础的价值最大化保险公司的资本管理和投资决策。我们强调指出，用于确定流向股东的现金流量价值的估值方法应反映两个在经济上合理的要求：市场一致性和对特质风险的冷漠。我们对此经济评估方法进行了严格的构建并用它得出实现公司经济价值的最佳资本管理和投资策略。我们的目标是阐明保险公司是否应投资于流动性交易的风险资产这一有争议的问题。将公司价值分解为有形净值，违约期权价值和特许权价值后，我们发现是否承担投资风险是最优的，基本上取决于投资风险对所有者的违约选择权和企业特许权的影响之间的权衡。价值。各种数值示例说明了监管和金融环境的变化如何导致实质上不同的最佳投资策略。