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

DOI10.1080/10920277.2012.10597646zbMATH Open1291.91134OpenAlexW2247247395MaRDI QIDQ5168708FDOQ5168708

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

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

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (6)

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

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