| Capped borrower credit risk and insurer hedging during the COVID-19 outbreak | |
|---|---|
| 學年 | 109 |
| 學期 | 1 |
| 出版（發表）日期 | 2020-10-01 |
| 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 | Finance Research Letters 36, 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 | en |
| ISSN | 1544-6131 |
| 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 | 是 |
| 國別 | NLD |
| 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/987654321/119687 ) |
| 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 |
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