Risk-averse insurer capped-risk sensitive lending during the COVID-19 pandemic

機構典藏 > College of Business and Management > Graduate Institute & Department of International Business > Journal Article > Item 987654321/121279

Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/121279

Title:	Risk-averse insurer capped-risk sensitive lending during the COVID-19 pandemic
Authors:	Jyh-Horng Lin;Chun-Hui Chang;Shi Chen
Keywords:	Capped call option;risk aversion;Covid-19;financial technology;capital regulation
Date:	2021-08-26
Issue Date:	2021-09-06 12:10:20 (UTC+8)
Publisher:	Emerging Markets Finance and Trade
Abstract:	This paper develops a contingent claim model of a risk-averse life insurer’s equity with various borrowing-firm credit risk features. The insurer’s lending function with various financial technology involvements creates the need to model equity as a capped/naked call option in insurer-borrowing firms. As a result, the insurer benefits from the capped-risk lending strategy yielding a higher interest margin. However, either the severe novel coronavirus (COVID-19) pandemic or the substantial risk aversion deteriorates policyholder protection. In addition, stringent insurer capital regulation reduces the insurer’s interest margin, thus increasing policyholder protection and contributing to insurance stability but discouraging insurer financial technology involvements.
Relation:	Emerging Markets Finance and Trade
DOI:	10.1080/1540496X.2021.1974392
Appears in Collections:	[Graduate Institute & Department of International Business] Journal Article

Files in This Item:

File	Size	Format
index.html	0Kb	HTML	36	View/Open