Capped borrower credit risk and insurer hedging during the COVID-19 outbreak

淡江大學機構典藏 > 商管學院 > 國際企業學系暨研究所 > 期刊論文 > Item 987654321/119687

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题名:	Capped borrower credit risk and insurer hedging during the COVID-19 outbreak
作者:	Chen, Shi;Yang, Yang;Lin, Jyh-Horng
关键词:	COVID-19;capped barrier;hedging;policyholder protection;capital regulation
日期:	2020-10
上传时间:	2020-12-08 12:10:17 (UTC+8)
出版者:	Finance Research Letters
摘要:	In this paper, we apply the risk-neutral valuation methodology to evaluate a life insurer's equity. We model the features capped by the explicit treatment of the borrowing firm's credit risk, the optimal guaranteed rate-setting, and the coronavirus disease (COVID-19) outbreak. The results show that the severe effect of the COVID-19 epidemic on the borrowing firm harms its insurance business but that stringent capital regulation helps. The severe impact of COVID-19 on both the borrowing firm and the insurer hedging harm policyholder protection, thereby adversely affecting insurance stability.
關聯:	Finance Research Letters 36, 101744
DOI:	10.1016/j.frl.2020.101744
显示于类别:	[國際企業學系暨研究所] 期刊論文

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