营业风险与营业外风险下厂商生产决策与保险决策的互动关系.pdfVIP

風險管理學報 第二卷 第二期 2000 年 11 月 Journal of Risk Management Vol.2 No.2 Nov. 2000 pp.77-88 Interaction between a Production Decision and the Demand for Insurance under Revenue Uncertainty and Background Risk 營業風險與營業外風險下廠商生產決策 與保險決策的互動關係 * 曾郁仁 (Larry Y. Tzeng) 摘要 本論文使用 Gollier (1995)和 Eeckhoudt, Gollier, and Schlesinger (1996)的研究 成果 ，將 Machnes (1993)的研究延伸到同時包含生產決策與保險決策的狀況。本 論文發現公司營業風險或營業外風險的增加不必然一定使得一個趨避風險的廠 商減少生產或是增加保險，本論文進一步提供廠商減少生產或是增加保險的條 件，更重要的是本論文的結果可以推廣到包含兩個決策變數的其他問題。 關鍵詞：風險優勢、生產決策、保險需求、背景風險。 Abstract This paper extends the research about the impact of an increase in risk and background risk from cases with one decision variable to those with two decision variables. Using the results of Gollier (1995) and Eeckhoudt, Gollier, and Schlesinger (1996), we generalize Machnes’s study (1993) to analyze the interaction between a firm’s production decision and the demand for insurance. We find that an increase in revenue risk and background risk may not always lead a risk-averse firm to produce less or insure more. We further provide conditions for unambiguous comparative statics of increases in firm’s revenue risk and background risk. Keywords: Central Risk Dominance, Background Risk, Production Decision, Demand for Insurance. * Associate Professor, Department of Finance, National Taiwan University, Taipei, Taiwan, R.O.C. 78 Interaction between a Production Decision and the Demand for Insurance under Revenu