Soft information in insurer lending and reinsurance under capital regulation

淡江大學機構典藏 > 商管學院 > 國際企業學系暨研究所 > 期刊論文 > Item 987654321/125257

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题名:	Soft information in insurer lending and reinsurance under capital regulation
作者:	Li, Xuelian;Song, Zehe;Lin, Jyh-Horng
关键词:	Soft information;reinsurance;capital regulation;optimal guaranteed rate
日期:	2020-12-28
上传时间:	2024-03-12 12:05:32 (UTC+8)
出版者:	Routledge
摘要:	The paper develops a capped call option framework, explicitly integrating the borrowing-firm credit risk. Moreover, modelling the structural breaks in assets and volatility captures soft information about the insurer’s borrowing firm. We show that favourable soft information increases the optimal guaranteed rate and thus enhances policyholder protection. The negative effect of the reinsurance on the optimal guaranteed rate is more significant when obtaining negative soft information than when getting favourable soft information. The positive impact of stringent capital regulation on the optimal guaranteed rate in the negative soft information is less significant than that in the favourable soft information. Stringent capital regulation increases policyholder protection and the market-to-book equity value when the strict capital regulation is high, thereby contributing to insurance stability.
關聯:	Applied Economics 53(21), p.2457-2466
DOI:	10.1080/00036846.2020.1861210
显示于类别:	[國際企業學系暨研究所] 期刊論文

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