Borrower capital, shadow insurance, and life insurer performance

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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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