The bankruptcy cost of the life insurance industry under regulatory forbearance: an embedded option approach

DOI10.1080/10920277.2012.10597646MaRDI QIDQ5168708zbMATH OpenOpenAlexFDO

Authors Shang-Yin Yang, Yawen Hwang, Shih-Chieh Bill Chang

Publication date 19 July 2014

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2012.10597646

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty
• Default risk, bankruptcy procedures and the market value of life insurance liabilities
• Pricing fair deposit insurance: structural model approach
• Insurance guaranty premiums and exchange options
• The pricing of deposit insurance considering regulatory capital and bankruptcy costs

Cites work

• A combinatorial approach for pricing Parisian options.
• Brownian Excursions and Parisian Barrier Options
• Default risk, bankruptcy procedures and the market value of life insurance liabilities
• Market value of life insurance contracts under stochastic interest rates and default risk
• PRICING PARISIAN-STYLE OPTIONS WITH A LATTICE METHOD

Cited in

(6)

• Liquidation risk in insurance under contemporary regulatory frameworks
• Insurance guaranty premiums and exchange options
• Default risk, bankruptcy procedures and the market value of life insurance liabilities
• Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty
• Regulatory measures for distressed insurance undertakings: a comparative study
• Pricing fair deposit insurance: structural model approach

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