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政大典藏 > College of Commerce > Department of Risk Management and Insurance > Periodical Articles > Item 140.119/139820

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/139820

Title:	Explaining the risk premiums of life settlements
Authors:	謝明華 Hsieh, Ming-Hua Kung, Ko-Lun Peng, Jin-Lung Tsai, Chenghsien Jason Wang, Jennifer L.
Contributors:	風管系
Keywords:	Life settlement;Risk premium;Rate spread
Date:	2021-09
Issue Date:	2022-04-11 15:10:56 (UTC+8)
Abstract:	Life settlements may facilitate a more efficient insurance market, generate diversification benefits to investors, and even provide hedging benefits to Asia life insurers. The literature does not investigate what determines the risk premiums of life settlements, and we intend to fill this gap. We find that in spite of the premium for non-systematic mortality risk being substantial, the systematic premium is insignificant. On the other hand, the impact of tax on the life settlements` spreads is material. We further find that life settlements have negative betas and are quality assets when investors face market turmoil. The proprietary information provided by medical underwriters and the surrender behavior of the underlying policyholders are also significant determinants of the rate spreads for life settlements.
Relation:	Pacific-Basin Finance Journal, Vol.68, pp.101575
Data Type:	article
DOI link:	https://doi.org/10.1016/j.pacfin.2021.101574
DOI:	10.1016/j.pacfin.2021.101574
Appears in Collections:	[Department of Risk Management and Insurance] Periodical Articles

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