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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/74664

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Title:	The bankruptcy cost of the life insurance industry under regulatory forbearance: An embedded option approach
Authors:	Yang, S.-Y.;Hwang, Y.-W.;Chang, Shih-Chieh Bill 張士傑
Contributors:	風管系
Date:	2012
Issue Date:	2015-04-17 12:07:51 (UTC+8)
Abstract:	In this study the Taiwan Insurance Guaranty Fund (TIGF) is introduced to investigate the ex ante assessment insurance guaranty scheme. We study the bankruptcy cost when a financially troubled life insurer is taken over by TIGF. The pricing formula of the fair premium of TIGF incorporating the regulatory forbearance is derived. The embedded Parisian option due to regulatory forbearance on fair premiums is investigated. The numerical results show that leverage ratio, asset volatility, grace period, and intervention criterion influence the default costs. Asset volatility has a significant effect on the default option, while leverage ratio is shown to aggravate the negative influence from the volatility of risky asset. Furthermore, the numerical analysis concludes that the premium for the insurance guaranty fund is risk sensitive and that a risk-based premium scheme could be implemented, hence, to ease the moral hazard.
Relation:	North American Actuarial Journal, 16(4), 513-523
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1080/10920277.2012.10597646
DOI:	10.1080/10920277.2012.10597646
Appears in Collections:	[風險管理與保險學系] 期刊論文

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