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This paper develops a life insurance liability valuation model that integrates the balance-sheet insurer loans with the shadow banking entrusted loans in a premature default risk environment. It is shown that the life insurance policyholder significantly benefits from the entrusted loan activities in a less likely premature default risk environment. The policyholder protection is increased in accord with a high guaranteed interest rate, particularly when the life insurance company has ample access to entrusted loans. The policyholder protection is also significantly increased by a high participation level when the life insurance company 'shrinks away' from accessing entrusted loans. Overall, the authors concluded that shadow banking entrusted loans help policyholder protection.(original abstract)
Twórcy
autor
- Department of Public Finance and Taxation, National Kaohsiung University of Science and Technology, Kaohsiung, Taiwan
autor
- School of Economics, Southwestern University of Finance and Economics, Chengdu, China
autor
- Department of Statistics, Tamkang University, New Taipei City, Taiwan
Bibliografia
- Adrian, T., H. S., Shin, Liquidity and Leverage, Journal of Financial Intermediation, 19(3), 418-437, 2010.
- Brennan, M., R. A., Clark, M. J., Vine, What May Cause Insurance Companies to Fail--And How This Influences Our Criteria, RatingsDirect, June 13, 2013. https://www.standardandpoors.com/ ratingsdirect
- Briys, E., F., de Varenne, Life Insurance in A Contingent Claim Framework: Pricing and Regulatory Implications, Geneva Papers on Risk and Insurance Theory, 19(1), 53-72, 1994.
- Brockman, P., H. J., Turtle, A Barrier Option Framework for Corporate Security Valuation, Journal of Financial Economics, 67(3), 511-529, 2003.
- Chen, A., M., Suchanecki, Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities, Insurance: Mathematics and Economics, 40(2), 231-255, 2007.
- Collier, A., J., Zhou, L. C., Pang, China's Insurance Shadow Banks, Orient Capital Research, March 31, 1-13, 2015.
- Eling, M., S., Holder, The Value of Interest Rate Guarantees in Participating Life Insurance Contracts: Status Quo and Alternative Product Design, Insurance: Mathematics and Economics, 53(3), 491- 503, 2013.
- Elliott, D. J., A. R., Kroeber, Q., Yu, Shadow Banking in China: A Primer, Economic Studies at Brookings, March, The Brookings Institution, 2015. http://www.brookings.edu/research/papers/ 2015/04/01-shadow banking-china-primer-elliott-kroeber-yu
- Grosen, A., P. L., Jørgensen, Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options and Bonus Policies, Insurance: Mathematics and Economics, 26(1), 37-57, 2000.
- Grosen, A., P. L., Jørgensen, Life Insurance Liabilities at Market Values: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in A Barrier Option Framework, Journal of Risk and Insurance, 69(1), 63-91, 2002.
- M Financial Group, Life Insurance Regulation Focus: Protecting Policyholders and Maintaining Insurance Company Solvency, Capital Strategies Group, Inc., May 2015. http://www.capital strategies.net
- Merton, R. C., Theory of Rational Option Pricing, Bell Journal of Economics and Management Science, 4(1), 141-183, 1973.
- Merton, R. C., On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance, 29(2), 449-470, 1974.
- National Organization of Life & Health Insurance Guaranty Associations, Facts & Figures: Impairments & insolvencies, National Organization of Life & Health Insurance Guaranty Associations, 2015. https://www.nolhga.com/factsandfigures/main.cfm/location/insolvencies
- Pozsar, Z., T., Adrian, A. B., Ashcraft, H., Boesky, Shadow Banking, Federal Reserve Bank of New York Economic Policy Review, 19(2), 1-16, 2013.
Typ dokumentu
Bibliografia
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Identyfikator YADDA
bwmeta1.element.ekon-element-000171658146
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