Insurer interest margin management, default risk, and life insurance policyholder protection | |
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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 | 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/987654321/115226 ) |