Cargando…
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...
| Autores principales: | , , |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Inc.
2020
|
| Materias: | |
| 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 |