匯率避險與保險安定基金公平費率

Abstract

台灣長期低利率環境下，壽險業為滿足過去高報酬率之保單承諾，增加外幣資產的投資，伴隨而來是匯率風險的增加。因應台美利差變化，壽險業避險成本的波動上升，金融監督管理委員會公布，2018年台灣壽險業匯兌損失已達2,309億元，約為該年稅前損益842億元之2.5倍，足顯示匯率風險成為台灣壽險業必須面對的課題。\n\n本文研究安定基金之公平費率，以隨機模型之方式評價保費，並加入國外債券投資及外匯交換避險影響，其主要貢獻為：(1)著重於國外投資與避險程度間的交互影響；(2)加入國外投資與避險策略，量化壽險業之匯率風險；(3)於各種情境下，分析保單持有人權益與股東價值之關係。\n\n研究結果發現：(1)避險比例提高時，安定基金保費會隨之下降；(2)當匯率波動幅度增加時，保費會隨之提升；(3)避險程度低時，匯率風險影響大於利率風險，反之亦然；(4)若以保費最低為控制外匯風險之目標，最適國外投資比例並非為0，且會隨避險比例上升而增加；(5)在上述情況下，股東價值皆與安定基金風險保費有同向關係，亦即股東價值最大化與保戶權益最大化有衝突之關係。

Due to the low interest rate environment, Taiwan life insurance companies have to increase investments in offshore assets to meet the claim obligations from the past which commit policyholders to higher rates. As a result, insurance companies are facing huge foreign exchange risks. The recent currency hedge costs have\ndramatically increased due to the fluctuation of interest rate spreads between the U.S. and Taiwan. According to Financial Supervisory Commission, exchange loss for life\ninsurance in 2018 is 230.9 billion, about 2.5 times of that year’s EBIT(84.2 billion), which shows foreign exchange risks have become a major issue for insurance firms in Taiwan.\n\nThis paper studies the fair premiums in life insurance guaranty schemes. We value such premiums by stochastic processes methods and consider foreign bond investments and foreign exchange swaps in our model. Our research provides：(1) Focus on the influences from foreign investments and hedge strategies. (2) Calculate the foreign exchange risks in life insurance. (3) Analyze interests of both policyholders and shareholders in various scenarios.\n\nWe find that： (1) As the hedge ratio goes up, the fair premiums will drop. (2) As the volatility of the exchange rate increases, the premiums will also increase. (3) The\nforeign exchange risks affect premiums more than the interest rate risks do if the hedge ratio is low, and vice versa. (4) If we aim to minimize the premiums, the\noptimizing foreign investments ratio won’t be 0 and will increase with the hedge ratio. (5) Under above scenarios, the shareholder options and insurance guaranty premiums\nshare the same direction movements, which indicates the conflict between shareholders and policyholders.