Before revision:  This result is contrary to the situation where the insurer maximizes the utility of the total wealth of the company (without distinguishing between equity and policy holders ), in which case a VaR constraint may induce the insurer to take excessive risk leading to higher losses than in the case of no regulation, see Basak and Shapiro (2001).
After revision:  This result is contrary to the situation where the insurer maximizes the utility of the total wealth of the company (without distinguishing between contributions of equity holders and policyholders ), in which case a VaR constraint may induce the insurer to take excessive risk leading to higher losses than in the case of no regulation, see Basak and Shapiro (2001).