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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/119719

    Title: Borrower capital, shadow insurance, and life insurer performance
    Authors: Jyh-Horng Lin;Fu-Wei Huang;Chuen-Ping Chang
    Keywords: Borrower capital;shadow insurance;capped call option;life insurer
    Date: 2021-03-16
    Issue Date: 2020-12-15 12:10:14 (UTC+8)
    Publisher: Applied Economics Letters
    Abstract: The paper develops a ‘capped’ call option model by calibrating Briys and de Varenne (1994) with integrating Dermine and Lajeri (2001) that the borrowing-firm credit risk is introduced to the lending function of the insurer. Results show that shadow banking entrusted loans enhance policyholder protection and help the insurer from the standpoint of survival at the cost of insurer profitability. We also suggest that shadow insurance and lending to high-quality borrowing firms captured by low leverage might increase policyholder protection and insurer survival, thereby contributing to insurance stability.
    Relation: Applied Economics Letters v.28 n.7, p.531-534
    DOI: 10.1080/13504851.2020.1761940
    Appears in Collections:[Graduate Institute & Department of International Business] Journal Article

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