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| Title: | 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 |
| Authors: | 鄭有輝 |
| Contributors: | 張士傑 鄭有輝 |
| Keywords: | 資產負債模型 信用評等 匯率風險 資產配置 |
| Date: | 2017 |
| Issue Date: | 2017-08-28 11:28:54 (UTC+8) |
| Abstract: | 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。 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： 1. 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。 2. 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。 3. 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。 4. 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。 |
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| Description: | 碩士 國立政治大學 風險管理與保險學系 104358031 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0104358031 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文 |
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