淡江大學機構典藏:Item 987654321/115226
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    題名: Insurer interest margin management, default risk, and life insurance policyholder protection
    作者: Jyh-Horng Lin;Xuelian Li;Fu-Wei Huang
    關鍵詞: Finance;Banking
    日期: 2018-07-03
    上傳時間: 2018-10-18 12:11:03 (UTC+8)
    出版者: Emerald Publishing Limited
    摘要: Purpose – This paper aims to theoretically examine the effects of regulatory policyholder protection on
    spread behavior and default probability of a life insurance company.
    Design/methodology/approach – The authors construct a contingent claim model for the valuation of
    the equity of a life insurance company. Then, they extend it to model default risk measures associated with a
    more appropriate behavioral mode of strategic invested asset rate-setting under regulation.
    Findings – The findings established that the optimal insurer interest margin is explicitly modeled by a
    spread between the loan rate and the required guaranteed rate of the company. The effect of the guaranteed
    rate on the insurer interest margin is positive when the barrier is low, whereas it is negative when the barrier
    is high. As the barrier increases, the positive effect of the guaranteed rate on the default risk is increased, the
    negative effect of the participation on the insurer interest margin is decreased and the positive effect of the
    participation on the default risk is decreased.
    Practical implications – Several results derived that should be of interest to investors, analysts,
    supervising agencies and policymakers. For example, policyholders protected by increasing the guaranteed
    rate may create a higher risk for the life insurance company to meet its obligations.
    Originality/value – The authors’ approach is a significant departure from the existing literature; they
    differentiate among path-dependent, barrier options and suggest that the life insurance company’s defaults
    are more commonly triggered by regulatory responses than debt default.
    關聯: Journal of Modelling in Management 13(3), p.718-735
    DOI: 10.1108/JM2-12-2017-0140
    顯示於類別:[國際企業學系暨研究所] 期刊論文

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