Financial intermediaries often provide guarantees resembling out-of-the-money put options, exposing them to undiversifiable tail risk. We present a model in the context of the U.S. life insurance industry in which the regulatory framework incentivizes value-maximizing insurers to hedge variable annuity (VA) guarantees, though imperfectly, and shifts risks into high-risk and illiquid bonds. We calibrate the model to insurer-level data and identify the VA-induced changes in insurers’ risk exposures. In the event of major asset and guarantee shocks and absent regulatory intervention, these shared exposures exacerbate system-wide fire sales to maintain capital ratios, plausibly erasing over half of insurers’ equity capital.

中文翻译：

---

保险公司作为资产管理者和系统性风险

金融中介机构经常提供类似于价外看跌期权的担保，使它们面临无法分散的尾部风险。我们在美国人寿保险业的背景下提出了一个模型，其中监管框架激励价值最大化的保险公司对冲可变年金 (VA) 担保，尽管不完善，并将风险转移到高风险和非流动性债券。我们将模型校准到保险公司级别的数据，并确定 VA 引起的保险公司风险敞口的变化。在发生重大资产和担保冲击且没有监管干预的情况下，这些共同的风险敞口会加剧全系统的抛售以维持资本比率，可能会抹去一半以上的保险公司股本。