 Pricing models for small and micro loan portfolio insuranceBin Hu and Yan-Ping Hu International Review of Financial Analysis, 2024, vol. 96, issue PA Abstract: From the perspective of the insurance deductible, this article constructs pricing models suitable for small and micro loan portfolio insurance under realistic conditions, and summarizes relevant pricing laws through examples. It is found that the option attribute of loan portfolio insurance contracts endowed by absolute or relative deductible clause can be used to price small and micro loan portfolio insurance. Meanwhile, owing to the offset effect of the loan portfolio on the credit risk of different single loans, the premium rate of loan portfolio insurance should be controlled between that of corresponding single loan insurance. Moreover, properly adjusting the deductible ratio, insurance period, and composition of the insured loan portfolio can create more space for reducing the insurance price of the loan portfolio or expanding insurance profits. Our study improves the pricing model system of small and micro loan insurance, which has important theoretical value and practical significance for the scientific pricing of loan portfolio insurance. Keywords: Loan portfolio insurance; Premium rate; Loan loss ratio; Absolute deductible; Relative deductible (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924004848 DOI: 10.1016/j.irfa.2024.103552 Access Statistics for this article International Review of Financial Analysis is currently edited by B.M. Lucey More articles in International Review of Financial Analysis from Elsevier |
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