期刊論文
學年 | 109 |
---|---|
學期 | 2 |
出版(發表)日期 | 2021-04-20 |
作品名稱 | Soft information in insurer lending and reinsurance under capital regulation |
作品名稱(其他語言) | |
著者 | Xuelian Li; Zehe Song; Jyh-Horng Lin |
單位 | |
出版者 | |
著錄名稱、卷期、頁數 | Applied Economics 53(21), p.2457-2466 |
摘要 | The paper develops a capped call option framework, explicitly integrating the borrowing-firm credit risk. Moreover, modelling the structural breaks in assets and volatility captures soft information about the insurer’s borrowing firm. We show that favourable soft information increases the optimal guaranteed rate and thus enhances policyholder protection. The negative effect of the reinsurance on the optimal guaranteed rate is more significant when obtaining negative soft information than when getting favourable soft information. The positive impact of stringent capital regulation on the optimal guaranteed rate in the negative soft information is less significant than that in the favourable soft information. Stringent capital regulation increases policyholder protection and the market-to-book equity value when the strict capital regulation is high, thereby contributing to insurance stability. |
關鍵字 | Soft information;reinsurance;capital regulation;optimal guaranteed rate |
語言 | en |
ISSN | 1466-4283; 0003-6846 |
期刊性質 | 國外 |
收錄於 | SSCI Scopus |
產學合作 | |
通訊作者 | Jyh-Horng Lin |
審稿制度 | 是 |
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/987654321/125257 ) |