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題名 Currency Uncertainty, Interest Guarantee, and Risk-Based Premiums in Life Insurance Guaranty Schemes
作者 張士傑
Chang , Shih-Chieh Bill
Lee,  Yen-Kuan
貢獻者 風管系
關鍵詞  exchange rate risk ;  insurance guaranty fund ;  early closure ;  capital forbearance ;  grace period
日期 2020-06
上傳時間 25-六月-2021 09:45:13 (UTC+8)
摘要 This paper investigates risk-based premiums in ex-ante insurance guaranty schemes. Exchange rate risk is incorporated into the asset portfolio to reflect the growing practice of life insurers taking offshore risks for yield enhancement. The closed-form solutions of the risk-based premium charged by the insurance guaranty fund are derived. Our premium rating includes currency mismatches between assets and liabilities, and the effects of early closure, capital forbearance, and grace periods are fully explored. First, we discover that the insurance guaranty fund premium is underestimated if currency fluctuation uncertainty is overlooked. Second, the premium is higher under regulatory forbearance than it is under the Merton stock put option, which implies that the cost is substantial. Finally, we note that the premium increases with higher financial leverage and greater foreign exposure in the asset portfolio. The results of our analysis provide further insight for regulators to implement regulatory policies and insurance guaranty schemes.
關聯 Asia-Pacific Journal of Risk and Insurance, Vol.14, No.2, pp.1-30
資料類型 article
DOI https://doi.org/10.1515/apjri-2019-0035
dc.contributor 風管系
dc.creator (作者) 張士傑
dc.creator (作者) Chang , Shih-Chieh Bill
dc.creator (作者) Lee,  Yen-Kuan
dc.date (日期) 2020-06
dc.date.accessioned 25-六月-2021 09:45:13 (UTC+8)-
dc.date.available 25-六月-2021 09:45:13 (UTC+8)-
dc.date.issued (上傳時間) 25-六月-2021 09:45:13 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/135859-
dc.description.abstract (摘要) This paper investigates risk-based premiums in ex-ante insurance guaranty schemes. Exchange rate risk is incorporated into the asset portfolio to reflect the growing practice of life insurers taking offshore risks for yield enhancement. The closed-form solutions of the risk-based premium charged by the insurance guaranty fund are derived. Our premium rating includes currency mismatches between assets and liabilities, and the effects of early closure, capital forbearance, and grace periods are fully explored. First, we discover that the insurance guaranty fund premium is underestimated if currency fluctuation uncertainty is overlooked. Second, the premium is higher under regulatory forbearance than it is under the Merton stock put option, which implies that the cost is substantial. Finally, we note that the premium increases with higher financial leverage and greater foreign exposure in the asset portfolio. The results of our analysis provide further insight for regulators to implement regulatory policies and insurance guaranty schemes.
dc.format.extent 1008346 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Asia-Pacific Journal of Risk and Insurance, Vol.14, No.2, pp.1-30
dc.subject (關鍵詞)  exchange rate risk ;  insurance guaranty fund ;  early closure ;  capital forbearance ;  grace period
dc.title (題名) Currency Uncertainty, Interest Guarantee, and Risk-Based Premiums in Life Insurance Guaranty Schemes
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1515/apjri-2019-0035
dc.doi.uri (DOI) https://doi.org/10.1515/apjri-2019-0035