COVID-19, insurer board utility, and capital regulation

This paper develops a down-and-out call option model by introducing a structural break in volatility to capture the coronavirus (COVID-19) outbreak. The life insurer's equity and its board's utility are evaluated at the optimal guaranteed rate in the equity maximization. Results suggest th...

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Detalles Bibliográficos
Autores principales: Li, Xuelian, Lin, Panpan, Lin, Jyh-Horng
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7299873/
https://www.ncbi.nlm.nih.gov/pubmed/32837371
http://dx.doi.org/10.1016/j.frl.2020.101659
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author Li, Xuelian
Lin, Panpan
Lin, Jyh-Horng
author_facet Li, Xuelian
Lin, Panpan
Lin, Jyh-Horng
author_sort Li, Xuelian
collection PubMed
description This paper develops a down-and-out call option model by introducing a structural break in volatility to capture the coronavirus (COVID-19) outbreak. The life insurer's equity and its board's utility are evaluated at the optimal guaranteed rate in the equity maximization. Results suggest that the seriousness degree of the COVID-19 outbreak and capital regulation enhance the optimal guaranteed rate and the board's utility. Increased the board's utility by increasing liabilities costs insurer profitability. Conflicts of incentives can arise during the COVID-19 outbreak.
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spelling pubmed-72998732020-06-18 COVID-19, insurer board utility, and capital regulation Li, Xuelian Lin, Panpan Lin, Jyh-Horng Financ Res Lett Article This paper develops a down-and-out call option model by introducing a structural break in volatility to capture the coronavirus (COVID-19) outbreak. The life insurer's equity and its board's utility are evaluated at the optimal guaranteed rate in the equity maximization. Results suggest that the seriousness degree of the COVID-19 outbreak and capital regulation enhance the optimal guaranteed rate and the board's utility. Increased the board's utility by increasing liabilities costs insurer profitability. Conflicts of incentives can arise during the COVID-19 outbreak. Elsevier Inc. 2020-10 2020-06-18 /pmc/articles/PMC7299873/ /pubmed/32837371 http://dx.doi.org/10.1016/j.frl.2020.101659 Text en © 2020 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Li, Xuelian
Lin, Panpan
Lin, Jyh-Horng
COVID-19, insurer board utility, and capital regulation
title COVID-19, insurer board utility, and capital regulation
title_full COVID-19, insurer board utility, and capital regulation
title_fullStr COVID-19, insurer board utility, and capital regulation
title_full_unstemmed COVID-19, insurer board utility, and capital regulation
title_short COVID-19, insurer board utility, and capital regulation
title_sort covid-19, insurer board utility, and capital regulation
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7299873/
https://www.ncbi.nlm.nih.gov/pubmed/32837371
http://dx.doi.org/10.1016/j.frl.2020.101659
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