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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 140.119/79627

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/79627

Title:	Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty
Authors:	Hwang, Ya-Wen;Chang, Shih-Chieh;Wu, Yang-Che 張士傑
Contributors:	風險管理與保險學系
Date:	2015
Issue Date:	2015-12-10 16:16:14 (UTC+8)
Abstract:	Insurance guaranty funds have been adopted in many countries to compensate policyholders for losses resulting from insurers’ insolvencies. In this article we focus on the risk-based premiums in ex ante insurance guaranty schemes since a preassessment mechanism could reduce the shareholders’ incentive to engage in risk-taking behavior. We derive the closed-form solutions of the risk-based premium charged by the insurance guaranty fund in a setting that incorporates financial leverage, asset allocation, early closure, and capital forbearance during the grace period. Most importantly, we assume that the interest rate is stochastic, and we find that the premium is underpriced if the uncertainty of the interest rate is neglected by the insurance guaranty fund. Moreover, the influence of stochastic interest rate for the premium is more significant when we consider the capital forbearance mechanism. The impacts of the key factors in our model that decide the fair premium of the guaranty fund are examined numerically. The results of our analysis could provide valuable insights for regulators in terms of revising regulatory policies and insurance guaranty schemes.
Relation:	North American Actuarial Journal, Volume 19, Issue 2, pages 94-115
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1080/10920277.2014.1001911
DOI:	10.1080/10920277.2014.1001911
Appears in Collections:	[風險管理與保險學系] 期刊論文

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