教師資料查詢 | 類別: 期刊論文 | 教師: 林志鴻 Jyh-horng Lin (瀏覽個人網頁)

標題:Sunflower management and life insurance
學年107
學期2
出版(發表)日期2019/05/18
作品名稱Sunflower management and life insurance
作品名稱(其他語言)
著者Jyh-Horng Lin; Fu-Wei Huang; Shi Chen
單位
出版者
著錄名稱、卷期、頁數Review of Behavioral Finance
摘要Purpose - This paper develops a theoretical framework to answer the following question. What are the consequences of sunflower behavior as well as spread behavior for how asset-liability management is administrated in a life insurance company?

Design/methodology/approach - This paper takes into account the following: (i) the Chief Executive Officer (CEO) of a life insurance company confirms the board of directors’ belief – the preference of the like of higher return relative to the dislike of higher risk; we call such behavior sunflower management; (ii) the life insurance policyholder is entitled to a guaranteed interest rate and a participation percentage of the company’s investment surplus; and (iii) we examine the optimal insurer interest margin, i.e., the spread between the loan rate and the guaranteed rate.

Findings - Sunflower management translates into lower utility for the CEO, and makes the CEO more prudent to risk-taking at an increased insurer interest margin for the provision of life insurance contracts. The effect of the guaranteed rate on the margin is ambiguous and depends on the level of guarantee itself. An increase in the participation level decreases the CEO’s loan risk-taking at an increased margin. It is shown that a trend toward higher return like of the board’s belief produces a corresponding trend toward the CEO’s decreasing risk taking when the return like is revealed strongly. Our results indicate that sunflower management as such is an important determinant in ensuring a safe insurance system.

Originality/value - This is the first paper to construct a contingent claim model to evaluate the expected value of the CEO’s utility function defined in terms of the equity returns and the equity risks of a life insurance company. The model explicitly considers CEO sunflower behavior, CEO spread behavior, and the limited liability of shareholders.
關鍵字Guaranteed interest rate;Participating lif;insurance contract;Insurer interest margin;Sunflower management
語言英文
ISSN
期刊性質國外
收錄於ESCI;
產學合作
通訊作者Fu-Wei Huang
審稿制度
國別中華民國
公開徵稿
出版型式,電子版
相關連結
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