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    題名: Borrower capital, shadow insurance, and life insurer performance
    作者: Lin, Jyh-Horng;Huang, Fu-Wei;Chang, Chuen-Ping
    關鍵詞: Borrower capital;shadow insurance;capped call option;life insurer
    日期: 2020-05-13
    上傳時間: 2020-12-15 12:10:14 (UTC+8)
    出版者: Applied Economics Letters
    摘要: 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.
    關聯: Applied Economics Letters
    DOI: 10.1080/13504851.2020.1761940
    顯示於類別:[國際企業學系暨研究所] 期刊論文

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