ABSTRACT

This paper develops a contingent claim model of a risk-averse life insurer’s equity with various borrowing-firm credit risk features. The insurer’s lending function with various financial technology involvements creates the need to model equity as a capped/naked call option in insurer-borrowing firms. As a result, the insurer benefits from the capped-risk lending strategy yielding a higher interest margin. However, either the severe novel coronavirus (COVID-19) pandemic or the substantial risk aversion deteriorates policyholder protection. In addition, stringent insurer capital regulation reduces the insurer’s interest margin, thus increasing policyholder protection and contributing to insurance stability but discouraging insurer financial technology involvements.

摘要

本文开发了一个具有各种借款公司信用风险特征的规避风险的人寿保险公司股权的或有债权模型。保险公司的贷款功能涉及各种金融技术，因此需要将股权建模为保险公司借款公司的上限/裸看涨期权。因此，保险公司受益于上限风险贷款策略，产生更高的利差。然而，严重的新型冠状病毒（COVID-19）大流行或大幅避险情绪都会恶化保单持有人的保护。此外，严格的保险公司资本监管降低了保险公司的利差，从而增强了保单持有人的保护并有助于保险稳定，但阻碍了保险公司金融科技的参与。