TABLE 4
FROM:
Insurers are not Banks: Assessing Liquidity, Efficiency and Solvency Risk Under Alternative Approaches to Capital Adequacy
Paul Kupiec and David Nickerson
BACK TO ARTICLETable 4. The model economy
| State | Probability | Type A project production | Type B project production | Aggregate asset values |
|---|---|---|---|---|
| 1 | 0.05 | 1.5 | 4.5 | 300 |
| 2 | 0.10 | 4 | 9 | 650 |
| 3 | 0.20 | 5 | 12 | 850 |
| 4 | 0.30 | 10 | 10 | 1,000 |
| 5 | 0.20 | 12 | 5 | 850 |
| 6 | 0.10 | 9 | 4 | 650 |
| 7 | 0.05 | 4.5 | 1.5 | 300 |
| Aggregate market value | 800 | |||
| Individual project value | 8.00 | 8.00 | ||
Risk-neutral distribution of period one states of nature and state-contingent production by both project type and aggregated across all firms, with corresponding period zero market values for individual project types and for aggregate production.
