Corporate insurance with optimal financial contracting

被引:22
作者
Caillaud, B
Dionne, G
Jullien, B
机构
[1] Univ Toulouse 1, CNRS, UMR 5604, IDEI, F-31042 Toulouse, France
[2] Univ Toulouse 1, CNRS, UMR 5604, GREMAQ, F-31042 Toulouse, France
[3] ENPC, CERAS, CNRS, URA 2036, Montreal, PQ H3T 3A7, Canada
[4] HEC Montreal, Risk Management Chair, Montreal, PQ H3T 3A7, Canada
[5] CRT, Paris, France
[6] Univ Paris 10, Paris, France
关键词
corporate insurance; credit; contract; audit;
D O I
10.1007/s001990050328
中图分类号
F [经济];
学科分类号
02 ;
摘要
This paper attemps to rationalize the use of insurance covenants in financial contracts, and shows how external financing generates a demand for insurance by risk-neutral entrepreneurs. In our model, the entrepreneur needs external financing for a risky project that can be affected by an accident during its realization. Accident losses and final returns are private information to the firm, but they can be evaluated by two costly auditing technologies. We derive the optimal financial contract: it is a bundle of a standard debt contract and an insurance contract with franchise, trading off bankruptcy costs vs auditing costs. We then analyze how this optimal contract can be achieved by decentralized trading on competitive markets when insurance and credit activities are exogenously separated. With additive risks, the insurance contract involves full coverage above a straight deductible. We interpret this result by showing how our results imply induced risk aversion for risk-neutral firms.
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页码:77 / 105
页数:29
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