Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/112164


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。
Reference: 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
Bacinello, A.R., 2001, “Fair pricing of life insurance participating contracts with a minimum interest rate guaranteed,” ASTIN Bulletin 31, 257-297.
Bacinello, A.R., 2003, “Pricing guaranteed life insurance participating policies with annual premiums and surrender option,” North American Actuarial Journal 7, 1-17.
Bacinello, A.R., 2003, “Fair valuation of a guaranteed life insurance participating contract embedding a surrender option,” Journal of Risk and Insurance 70, 461-487.
Ballotta, 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.
Briys, E., de Varenne, F., 1997, “On the risk of insurance liabilities: debunking some common pitfalls,” Journal of Risk and Insurance 64, 673-694.
Cox, J., Ingersoll, J. and Ross, A., 1985, “A theory of the term structure of interest rates.” Econometrica 53, 385-407.
Cassel, Gustav, 1918, “Abnormal Deviations in International Exchanges.” The Economic Journal 28, No. 112, 413–415.
Gerstner, 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.
Grosen, 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.
Grosen, 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.
Heston, 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.
Kim, C., 2005, “Modeling surrender and lapse rates with economic variables,” North American Actuarial Journal 9, 56-70.
Kladıvko, K. 2007. “Maximum likelihood estimation of the Cox-Ingersoll-Ross process: the Matlab implementation.” Technical Computing Prague.
Kling, 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.
Miltersen, K.R., Svein-arne Persson, 2003, “Guaranteed Investment Contracts: Distributed and Undistributed Excess Return.” Scandinavian Actuarial Journal 4, 257-279
Moodley, N. 2005. “The Heston Model: A Practical Approach with Matlab Code.” In Technical Computing Prague. Working paper.
Richard 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
MR Asay, PJ Bouyoucos, AM Marciano. 1993. “An Economic Approach to Valuation of Single Premium Deferred Annuities.” Financial Optimization, 101–35.
SH Cox, PD Laporte, SR Linney, L Lombardi 1993 “Single-premium deferred annuity persistency study.” Transactions of Society of Actuaries
Tanskanen, A.J., and Lukkarinen, J., 2003, “Fair valuation of path-dependent participating life insurance contracts.” Insurance: Mathematics and Economics 33, 595-609.
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

Files in This Item:

File SizeFormat
803101.pdf1229KbAdobe PDF0View/Open


All items in 學術集成 are protected by copyright, with all rights reserved.


社群 sharing