id	author	title	date	pages	extension	mime	words	sentences	flesch	summary	cache	txt
cord-304603-u7cph27q	Chen, Shi	Capped borrower credit risk and insurer hedging during the COVID-19 outbreak	2020-09-02		.txt	text/plain	1712	121	60	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 features of the model include the capped credit risk from the borrowing firm, the premature risk structure captured by the barrier call, the imperfect competition reflected by the optimal guaranteed rate determination, and the COVID-19 outbreak expressed by the structural break in volatility. We complement the literature of the asset-liability matching management by taking into account the explicit treatment of the borrowing firm's capped credit risk to evaluate the equity of the insurer. We suggest that the capped down-and-out call option model is intimately relevant to the optimal guaranteed rate-setting strategy, policyholder protection, insurer hedging, and the COVID-19 outbreak. In this paper, the down-and-out call option approach (Grosen and Jørgensen, 2002 ) is applied to a life insurer-borrowing firm situation because the recent respectively; however, the policy market is imperfectly competitive, where the insurer is the guaranteed rate-setter (see Polborn, 1998) .	./cache/cord-304603-u7cph27q.txt	./txt/cord-304603-u7cph27q.txt