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:Soft information in insurer lending and reinsurance under capital regulation
學年
學期
出版(發表)日期2021/04/02
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 Letters 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 informationreinsurancecapital regulationoptimal guaranteed rate
語言英文
ISSN
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
國別英國
公開徵稿
出版型式,電子版
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