A simple model of financial grey rhino under insurer capital regulation: an extension

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题名:	A simple model of financial grey rhino under insurer capital regulation: an extension
作者:	Lin, Jyh-Horng;Chang, Chuen-Ping;Chen, Shi
关键词:	financial grey rhino;absolute risk aversion;optimal guaranteed rate;insurer capital regulation
日期:	2020-11-15
上传时间:	2020-12-08 12:10:19 (UTC+8)
出版者:	Applied Economics
摘要:	In a recent paper, Huang (2020) proposes a contingent claim model of financial grey rhino under capital regulation. A preliminary result is that stringent capital regulation enhances the insurer's survival, thereby contributing to insurance stability. In this note, we critically evaluate her objective setting and refine the comparative statics by developing a contingent claim utility model. We show that stringent capital regulation helps policyholder protections, but at the expense of the insurer's equity return, thus adversely affecting insurer survival.
關聯:	Applied Economics 28(21)，p.1872-1876
显示于类别:	[國際企業學系暨研究所] 期刊論文

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