Capped borrower credit risk and insurer hedging during the COVID-19 outbreak

In this paper, we apply the risk-neutral valuation methodology to evaluate a life insurer's equity. We model the features capped by the explicit treatment of the borrowing firm's credit risk, the optimal guaranteed rate-setting, and the coronavirus disease (COVID-19) outbreak. The results...

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Detalles Bibliográficos
Autores principales: Chen, Shi, Yang, Yang, 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/PMC7462787/
https://www.ncbi.nlm.nih.gov/pubmed/32905078
http://dx.doi.org/10.1016/j.frl.2020.101744

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7462787/
https://www.ncbi.nlm.nih.gov/pubmed/32905078
http://dx.doi.org/10.1016/j.frl.2020.101744

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