Soft information in insurer lending and reinsurance under capital regulation
學年 109
學期 2
出版（發表）日期 2021-04-20
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 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 information;reinsurance;capital regulation;optimal guaranteed rate
語言 en
ISSN 1466-4283; 0003-6846
期刊性質 國外
收錄於 SSCI Scopus
產學合作
通訊作者 Jyh-Horng Lin
審稿制度 是
國別 GBR
公開徵稿
出版型式 ,電子版,紙本
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