Insurer interest margin management, default risk, and life insurance policyholder protection
學年 106
學期 2
出版(發表)日期 2018-07-03
作品名稱 Insurer interest margin management, default risk, and life insurance policyholder protection
作品名稱(其他語言)
著者 Jyh-Horng Lin; Xuelian Li; Fu-Wei Huang
單位
出版者
著錄名稱、卷期、頁數 Journal of Modelling in Management 13(3), p.718-735
摘要 Purpose – This paper aims to theoretically examine the effects of regulatory policyholder protection on spread behavior and default probability of a life insurance company. Design/methodology/approach – The authors construct a contingent claim model for the valuation of the equity of a life insurance company. Then, they extend it to model default risk measures associated with a more appropriate behavioral mode of strategic invested asset rate-setting under regulation. Findings – The findings established that the optimal insurer interest margin is explicitly modeled by a spread between the loan rate and the required guaranteed rate of the company. The effect of the guaranteed rate on the insurer interest margin is positive when the barrier is low, whereas it is negative when the barrier is high. As the barrier increases, the positive effect of the guaranteed rate on the default risk is increased, the negative effect of the participation on the insurer interest margin is decreased and the positive effect of the participation on the default risk is decreased. Practical implications – Several results derived that should be of interest to investors, analysts, supervising agencies and policymakers. For example, policyholders protected by increasing the guaranteed rate may create a higher risk for the life insurance company to meet its obligations. Originality/value – The authors’ approach is a significant departure from the existing literature; they differentiate among path-dependent, barrier options and suggest that the life insurance company’s defaults are more commonly triggered by regulatory responses than debt default.
關鍵字 Finance;Banking
語言 en
ISSN 1746-5664
期刊性質 國外
收錄於 ESCI
產學合作
通訊作者 Xuelian Li
審稿制度
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/987654321/115226 )