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https://ah.lib.nccu.edu.tw/handle/140.119/112164| 題名: | 人壽保險公司之違約風險評估：檢視利率變動型人壽保險 Default risk assessment of life insurance company：an examination of the interest-sensitive life policies |
作者: | 鄭有輝 | 貢獻者: | 張士傑 鄭有輝 |
關鍵詞: | 資產負債模型 信用評等 匯率風險 資產配置 |
日期: | 2017 | 上傳時間: | 28-Aug-2017 | 摘要: | 保險公司所持有之利率變動型商品的資產價值，在資本市場之系統性風險急劇增加時，將會產生大幅的波動，降低保險公司之獲利表現，並使保險公司之清償能力受到影響。近年來，壽險公司主要遭受利率與匯率兩資本市場之系統性風險影響，長期的低利率環境令保險公司獲利表現不佳，迫使保險公司投資具有更高回報的外幣資產，這使匯率風險之影響增加。因此本研究將透過建立資產負債之隨機模型，檢視匯率風險下人壽保險業違約風險之變化。\n本研究資產面引用Cox et al. (1985) 模型模擬利率的動態，進而推導出含有匯率波動的債券價格，並透過Heston (1993) 模型描述標的股票的隨機波動過程，並以相關係數矩陣整合各資產組合的資產配置。負債面則是以利率變動型壽險為例，藉由資產與負債的變化衡量保險公司違約風險。研究指出： \n1. 壽險公司之信評等級為Ba1並與同評級的全球公司累積違約機率相比，壽險公司之違約機率上升幅度明顯較低，壽險公司之違約機率對時間因數並不敏感。\n2. 宣告利率對壽險公司違約風險之影響顯著，違約風險的增長與宣告利率的變動呈現指數成長的趨勢。\n3. 壽險公司違約風險對匯率因數最為敏感，匯率波動提高時，違約機率亦大幅提高。\n4. 利率變動型壽險因最低保證報酬率，其違約風險高於傳統型壽險。 | 參考文獻: | A.Christian Silva，Victor M. Yakovenko，2003， “Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes.” Physica A: Statistical Mechanics and its Applications 324, Pages 303-310\nBacinello, A.R., 2001, “Fair pricing of life insurance participating contracts with a minimum interest rate guaranteed,” ASTIN Bulletin 31, 257-297. \nBacinello, A.R., 2003, “Pricing guaranteed life insurance participating policies with annual premiums and surrender option,” North American Actuarial Journal 7, 1-17. \nBacinello, A.R., 2003, “Fair valuation of a guaranteed life insurance participating contract embedding a surrender option,” Journal of Risk and Insurance 70, 461-487.\nBallotta, L., Haberman, S., and Wang, N., “2006, Guarantees in with-profit and unitized with-profit life insurance contracts: Fair valuation problem in presence of the default option,” Journal of Risk and Insurance 73, 97-121.\nBriys, E., de Varenne, F., 1997, “On the risk of insurance liabilities: debunking some common pitfalls,” Journal of Risk and Insurance 64, 673-694. \nCox, J., Ingersoll, J. and Ross, A., 1985, “A theory of the term structure of interest rates.” Econometrica 53, 385-407.\nCassel, Gustav, 1918, “Abnormal Deviations in International Exchanges.” The Economic Journal 28, No. 112, 413–415.\nGerstner, T., Griebel, M., Holtz, M., Goschnick, R., and Haep, M., 2008, “A general asset-liability management model for the efficient simulation of portfolios of life insurance policies,” Insurance: Mathematics and Economics 42, 704-716.\nGrosen, A. and Jorgensen, P.L., 2000, “Fair valuation of life insurance liabilities: the impact of interest rate guarantees, surrender options, and bonus policies.” Insurance: Mathematics and Economics 26, 37-57.\nGrosen, A. and Jorgensen, P.L., 2002, “Life insurance liabilities at market value: an analysis of insolvency risk, bonus policy, and regulatory intervention rules in a barrier option framework.” Journal of Risk and Insurance 69, 63-91.\nHeston, S., 1993, “A closed-form solution for options with stochastic volatility with applications to bond and currency options,” Review of Financial Studies 6, 327-343.\nKim, C., 2005, “Modeling surrender and lapse rates with economic variables,” North American Actuarial Journal 9, 56-70.\nKladıvko, K. 2007. “Maximum likelihood estimation of the Cox-Ingersoll-Ross process: the Matlab implementation.” Technical Computing Prague. \nKling, A., Richter, A., and Ruβ, J., 2007, “The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies.” Insurance: Mathematics and Economics 40, 164-178. \nMiltersen, K.R., Svein-arne Persson, 2003, “Guaranteed Investment Contracts: Distributed and Undistributed Excess Return.” Scandinavian Actuarial Journal 4, 257-279\nMoodley, N. 2005. “The Heston Model： A Practical Approach with Matlab Code.” In Technical Computing Prague. Working paper.\nRichard A. Meese, Kenneth Rogoff, 1983, “Empirical exchange rate models of the seventies: Do they fit out of sample?” Journal of International Economics 14, 3-24\nMR Asay, PJ Bouyoucos, AM Marciano. 1993. “An Economic Approach to Valuation of Single Premium Deferred Annuities.” Financial Optimization, 101–35. \nSH Cox, PD Laporte, SR Linney, L Lombardi 1993 “Single-premium deferred annuity persistency study.” Transactions of Society of Actuaries\nTanskanen, A.J., and Lukkarinen, J., 2003, “Fair valuation of path-dependent participating life insurance contracts.” Insurance: Mathematics and Economics 33, 595-609. | 描述: | 碩士 國立政治大學 風險管理與保險學系 104358031 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0104358031 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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| 803101.pdf | 1.23 MB | Adobe PDF2 | View/Open |
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