A contingent claim model of life insurer-bank swap default pricing: strategic substitutes and complements
學年 109
學期 2
出版（發表）日期 2021-07-10
作品名稱 A contingent claim model of life insurer-bank swap default pricing: strategic substitutes and complements
作品名稱（其他語言）
著者 Jyh-Horng Lin; Shi Chen; Fu-Wei Huang
單位
出版者
著錄名稱、卷期、頁數 Applied Economics 53(36), p.4166-4177
摘要 This paper develops a contingent claim framework to examine swap transactions between a life insurer and a bank that bilaterally price default risks. We show that the insurer (the protection buyer in the swap transaction market) regards the optimal bank loan rate as a strategic complement. In contrast, the bank (the protection seller) considers the optimal insurer guaranteed rate as a strategic substitute. Hedging conducted by the insurer enhances profits but hurts policyholder protection. Bank capital regulation harms policyholder protection. Insurer capital regulation leads to bank risk-taking. Capital regulations, as such, would jeopardize insurer-bank performance from a financial stability standpoint.
關鍵字 Swap transactions;strategic complement;strategic substitute;capital regulation
語言 en
ISSN 1466-4283; 0003-6846
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者 Shi Chen
審稿制度 否
國別 GBR
公開徵稿
出版型式 ,電子版,紙本
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