Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/112163


Title: 人壽保險公司之風險及清償能力評估:檢視利率變動型年金
Risk and Solvency Assessment of the Life Insurer:An Examination of the Interest-Sensitive Annuity Policies
Authors: 郭俊良
Kuo, Chun Liang
Contributors: 張士傑
郭俊良
Kuo, Chun Liang
Keywords: 資產負債管理
利率風險
匯率風險
風險衡量指標
Date: 2017
Issue Date: 2017-08-28 11:28:38 (UTC+8)
Abstract: 保險公司之雙率風險發酵,除了高預定利率保單,使得保險公司承擔利率風險,造成保險公司高額的利差損外。自2007年修法,提升保險業國外投資限額不得超過保險業資金45%,當年度國外投資佔31.21%。2014年修改保險法第146條之4,增設「投資於國內市場之外幣計價股權或債券憑證之投資金額可以不計入國外投資限額」之規定,當年度國外投資部位增加至50.27%。至2016年底壽險業國外投資部位已達12.59兆元,占全體壽險業可運用資金62.71%。
然而,利差交易能帶來收益的前提是匯市波動必須平穩,因為利差交易得承擔匯率波動風險,如果匯率大幅波動,匯差損失可能侵蝕利差收益。2017年前四個月新台幣驟升約6.8%,影響壽險業淨匯兌損失837億元,外匯準備金水位從441億元降至231億元。匯率的變動使得壽險業面臨極大的匯損壓力,一再地顯示檢視匯率風險的重要性。
本研究建構隨機資產負債管理模型,提供公司內部模型之參考。以市場統計資訊及市場保險公司之經驗資料建構模型,嘗試複製市場實際狀況,藉此模擬未來時點之公允價值,最後以風險指標評估保險公司之清償能力,得到以下結論:
(1)財務槓桿比例愈高時,違約機率及幅度愈高,建議控制在約15倍左右。
(2)匯率風險增加時,違約機率及幅度增加,應建立適當避險策略。
(3)躉繳型利變型年金在沒有宣告利率保證下,違約風險較傳統型年金低。
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Description: 碩士
國立政治大學
風險管理與保險學系
104358013
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104358013
Data Type: thesis
Appears in Collections:[風險管理與保險學系 ] 學位論文

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