關鍵字查詢 | 類別:期刊論文 | | 關鍵字:Soft information in insurer lending and reinsurance under capital regulation

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序號 學年期 教師動態
1 109/2 國企系 林志鴻 教授 期刊論文 發佈 Soft information in insurer lending and reinsurance under capital regulation , [109-2] :Soft information in insurer lending and reinsurance under capital regulation期刊論文Soft information in insurer lending and reinsurance under capital regulationXuelian Li; Zehe Song; Jyh-Horng LinSoft informationreinsurancecapital regulationoptimal guaranteed rateApplied Economics Letters 53 (21), p.2457-2466The 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 favour
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