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摘要
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This paper develops a capped barrier option model to examine how a cap-and-trade mechanism
affects an insurer’s guaranteed rate-setting behavior and policyholder protection in a financial
gray rhino environment. Toward sustainability, the insurer explicitly captures the credit risk
from the borrowing firms, participating in the cap-and-trade scheme to reduce carbon emissions, an
essential issue of carbon emission and environmental protection when facing gray rhino threats. In
addition, the energy economics and policy analysis are from the fund-providing insurer’s perspective.
Green lending policies and life insurance policy loans (i.e., disintermediation related to insurance
stability) are crucial to managers and regulators, particularly bridging the borrowing-firm carbon
transactions for carbon emission reductions toward sustainability. We show that the shrinking
regulatory cap of the cap-and-trade scheme harms policyholder protection, adversely affecting insurance
stability. The harm becomes more serious when the gray rhino threat on borrowing firms
becomes significant. An increase in policy loans decreases the insurer’s interest margin and policyholder
protection. However, increasing the gray rhino threat decreases life insurance policies at a
reduced guaranteed rate but increases policyholder protection, contributing to insurance stability.
Therefore, the government can use the cap-and-trade scheme to control carbon emissions and improve
the environment, but it harms policyholder protection. We suggest that, for example, the
government should subsidize the insurer for green lending, affecting insurance stability. |
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