A contingent claim model of life insurer-bank swap default pricing: strategic substitutes and complements | |
---|---|
學年 | 109 |
學期 | 2 |
出版(發表)日期 | 2021-07-10 |
作品名稱 | A contingent claim model of life insurer-bank swap default pricing: strategic substitutes and complements |
作品名稱(其他語言) | |
著者 | Jyh-Horng Lin; Shi Chen; Fu-Wei Huang |
單位 | |
出版者 | |
著錄名稱、卷期、頁數 | Applied Economics 53(36), p.4166-4177 |
摘要 | This paper develops a contingent claim framework to examine swap transactions between a life insurer and a bank that bilaterally price default risks. We show that the insurer (the protection buyer in the swap transaction market) regards the optimal bank loan rate as a strategic complement. In contrast, the bank (the protection seller) considers the optimal insurer guaranteed rate as a strategic substitute. Hedging conducted by the insurer enhances profits but hurts policyholder protection. Bank capital regulation harms policyholder protection. Insurer capital regulation leads to bank risk-taking. Capital regulations, as such, would jeopardize insurer-bank performance from a financial stability standpoint. |
關鍵字 | Swap transactions;strategic complement;strategic substitute;capital regulation |
語言 | en |
ISSN | 1466-4283; 0003-6846 |
期刊性質 | 國外 |
收錄於 | SSCI |
產學合作 | |
通訊作者 | Shi Chen |
審稿制度 | 否 |
國別 | GBR |
公開徵稿 | |
出版型式 | ,電子版,紙本 |
相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/120145 ) |
SDGS | 尊嚴就業與經濟發展,消除貧窮,減少不平等,負責任的消費與生產,消除飢餓 |