匯率避險策略對壽險業之影響-以利率變動型壽險商品為例

Abstract

金融監督管理委員會自從於2014年開放壽險業投資國際板債券不須計入保險業國外投資上限後，許多壽險業國外投資之資產比重迅速往上攀升，截至2018年第一季，壽險公司之國外投資已達65.94%，而其亦成為壽險業主要資產配置；惟如此一來，將使保險業面臨其資產面有絕大占比皆暴露於不可預知之匯率風險，故為此必須採取匯率避險策略以做好風險管理。本研究將以經濟資產負債模型進行資產及負債之模擬，並考慮納入不同種類之避險工具，以衡量壽險公司在未來的清償能力。\r\n\r\n資產部份將以CIR雙因子模型模擬國內外短期利率，匯率則是引用無拋補平價理論以建構其模型，再以Heston模型模擬資產之動態隨機過程；負債部份則假設利率變動型壽險作為壽險公司之所售商品，其中包含宣告利率之設定，以及死亡率與解約率之風險因子的考量；此外，本研究亦考慮匯率避險策略之採用，其中涵蓋自然避險、無本金交割遠期外匯、外匯價格變動準備金以及一籃子貨幣避險；而在參考現行壽險公司之資金運用表後決定本文的投資策略，於風險中立測度下進行10,000次之模擬過程，並以經濟資本或風險基礎資本總額之方式分析壽險業未來可能須面臨之清償風險。\r\n\r\n依照本研究之實證結果，可得出以下結論：\r\nI.自然避險為最佳之避險策略；其次為外匯價格變動準備金；而無本金交割遠期外匯以及一籃子貨幣避險仍需要再做進一步的考量。\r\nII.當匯率波動度上升時，壽險公司之經濟資本亦將增加；惟於國外投資比例上升時，經濟資本隨之下降。\r\nIII.自然避險之避險比例越高，經濟資本越低；但無本金交割遠期外匯、外匯價格變動準備金與一籃子貨幣避險之避險比例越高，經濟資本則反而隨之增加，與前述結果大相逕庭。

Since the Financial Supervisory Commission extend the overseas investment ceiling in 2014 that the International Bond was not included to be counted in overseas investment, the proportion of overseas investment for all life insurance companies has risen rapidly. As of the first quarter of 2018, it has reached 65.94% and become their main assets. However, the assets would be exposed to unpredictable currency risks, and it is necessary for every life insurance company to take currency hedging strategies into account. Thus, we would perform simulation of assets and liabilities, and different types of currency hedging strategies will be considered to measure the future solvency capacities of life insurance companies.\r\n\r\nConsider assets, we simulate the short-term interest rate based on two-factor CIR model, establish the exchange rate model by Uncovered Interest Rate Parity, and adopt Heston model to simulate stochastic process of assets. As for liabilities, we take interest sensitive life policies into account, including some risk factors, such as mortality and surrender rate. Moreover, we also use some currency hedging strategies, like Natural Hedge, Non-Delivery Forward, Foreign Exchange Valuation Reserve and Currency Basket Hedge. Then we determine our investment strategies on the basis of the current life insurance industry. Finally, we analyze the future solvency capacities of life insurance companies by using Economic Capital and Risk-Based Capital through 10,000 simulations under risk-neutral measurement. The results show that:\r\nI.Natural Hedge is the best currency hedging strategy, followed by Foreign Exchange Valuation Reserve, but for Non-Delivery Forward and Currency Basket Hedge, further considerations are necessary.\r\nII.When the volatility of exchange rate increases, the Economic Capital will also go up significantly, but the overseas investment ratio is just the opposite.\r\nIII.The higher the percentage of hedging for Natural Hedge, the lower the Economic Capital, while the Non-Delivery Forward, Foreign Exchange Valuation Reserve and Currency Basket Hedge are the opposite of the foregoing.