教師資料查詢 | 類別: 期刊論文 | 教師: 林志鴻 Jyh-horng Lin (瀏覽個人網頁)

標題:Capped borrower credit risk and insurer hedging during the COVID-19 outbreak
學年
學期
出版(發表)日期2020/09/02
作品名稱Capped borrower credit risk and insurer hedging during the COVID-19 outbreak
作品名稱(其他語言)
著者Shi Chen; Yang Yang; Jyh-Horng Lin
單位
出版者
著錄名稱、卷期、頁數Volume 36, October 2020, 101744
摘要In this paper, we apply the risk-neutral valuation methodology to evaluate a life insurer's equity. We model the features capped by the explicit treatment of the borrowing firm's credit risk, the optimal guaranteed rate-setting, and the coronavirus disease (COVID-19) outbreak. The results show that the severe effect of the COVID-19 epidemic on the borrowing firm harms its insurance business but that stringent capital regulation helps. The severe impact of COVID-19 on both the borrowing firm and the insurer hedging harm policyholder protection, thereby adversely affecting insurance stability.
關鍵字COVID-19;capped barrier;hedging;policyholder protection;capital regulation
語言英文
ISSN1544-6131
期刊性質國外
收錄於SSCI;
產學合作
通訊作者Jyh-Horng Lin
審稿制度
國別荷蘭
公開徵稿
出版型式,電子版
相關連結
SDGs
  • 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
Google+ 推薦功能,讓全世界都能看到您的推薦!