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:A simple model of financial grey rhino under insurer capital regulation: an extension
學年109
學期1
出版(發表)日期2020/12/08
作品名稱A simple model of financial grey rhino under insurer capital regulation: an extension
作品名稱(其他語言)
著者Jyh-Horng Lin; Chang, Chuen-Ping; Shi Chen
單位
出版者
著錄名稱、卷期、頁數AE-2020-1854655
摘要In a recent paper, Huang (2020) proposes a contingent claim model of financial grey rhino under capital regulation. A preliminary result is that stringent capital regulation enhances the insurer's survival, thereby contributing to insurance stability. In this note, we critically evaluate her objective setting and refine the comparative statics by developing a contingent claim utility model. We show that stringent capital regulation helps policyholder protections, but at the expense of the insurer's equity return, thus adversely affecting insurer survival.
關鍵字financial grey rhino;absolute risk aversion;optimal guaranteed rate;insurer capital regulation
語言英文
ISSN
期刊性質國外
收錄於SSCI;
產學合作
通訊作者Shi Chen
審稿制度
國別英國
公開徵稿
出版型式,電子版
相關連結
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