Risk-averse insurer capped-risk sensitive lending during the COVID-19 pandemic
學年 111
學期 2
出版（發表）日期 2023-06-30
作品名稱 Risk-averse insurer capped-risk sensitive lending during the COVID-19 pandemic
作品名稱（其他語言）
著者 Jyh-Horng Lin; Chun-Hui Chang; Shi Chen
單位
出版者
著錄名稱、卷期、頁數 Emerging Markets Finance and Trade
摘要 This paper develops a contingent claim model of a risk-averse life insurer’s equity with various borrowing-firm credit risk features. The insurer’s lending function with various financial technology involvements creates the need to model equity as a capped/naked call option in insurer-borrowing firms. As a result, the insurer benefits from the capped-risk lending strategy yielding a higher interest margin. However, either the severe novel coronavirus (COVID-19) pandemic or the substantial risk aversion deteriorates policyholder protection. In addition, stringent insurer capital regulation reduces the insurer’s interest margin, thus increasing policyholder protection and contributing to insurance stability but discouraging insurer financial technology involvements.
關鍵字 Capped call option; risk aversion; Covid-19; financial technology; capital regulation
語言 en
ISSN
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者 Chen Shi
審稿制度 是
國別 GBR
公開徵稿
出版型式 ,電子版
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/121279 )

SDGS 消除貧窮,消除飢餓,良好健康和福祉,尊嚴就業與經濟發展,負責任的消費與生產