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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
Keywords: 資產負債模型
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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Data Type: thesis
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