Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/53907


Title: 人壽保險公司之資產配置與破產成本分析
Other Titles: The Analysis of Asset Allocation and Bankruptcy Cost for Life Insurance Company
Authors: 張士傑
Contributors: 國立政治大學風險管理與保險學系
行政院國家科學委員會
Keywords: 監理寬容;市場狀態改變;Laplace轉換;數值反轉換;跳躍過程
Date: 2011
Issue Date: 2012-10-22 15:44:59 (UTC+8)
Abstract: 人壽保險公司之資產配置與破產成本分析 基於保險契約隱含不同存續期間之結構選擇權,成為近期財務評價上的重要議題,本研究因此探討人壽保險公司之資產配置與破產成本,如何有效進行資產配置及制定監管機制以達到保險市場財務穩健之目的。就保險人而言,不僅涉及現有營業之保險人,同時對於即將進入保險市場之潛在競爭者而言,都是相當重要之議題。主管機關於保險公司面臨財務清償問題時,循序採取行政輔導、監管與接管機制,監督保險人對於被保險人保證給付義務之履行,已成為現階段最重要之保險監理議題。 受到2008年全球性金融海嘯影響,臺灣人壽保險業因資本、資產及信用市場之系統性風險,導致帳列資產價值大幅減損,在金融不穩定下採取暫行措施相信可穩定保險市場,學理上對於政府降低金融監理標準作法稱為監理寬容(Regulatory Forbearance),監理寬容措施卻容易造成保險業之道德風險(Moral Hazard)。審慎監理架構下,監理機關必將面對財務弱化壽險公司之增資及退場機制之啟動,現行壽險業乃依臺灣保險法149條以監管、接管、清理等方式進行退場機制,而處理個別保險公司前,重建機構必須先決定如何執行財務重整及營運重整。為維持保險市場穩定及保護消費者權益之雙重目標下,監理政策執行與限期增資措施成為必要手段。 本研究以Grosen與Jøgensen(2002)及Chen與Suchanecki(2007)之架構,研究因破產保險公司財務重整所產生之隱含破產成本,破產成本將考慮資產配置因素於監理寬容之寬限期效果,監理寬限期效果並未納入Cummins (1988) and Duan and Yu (2005)考慮,本研究詳細計算不同寬限期下之隱含違約巴黎式選擇權價值,並運用Laplace轉換與數值倒置估計結果,分析金融市場涉及市場狀態改變及廣義跳躍過程下資產配置與監理介入標準與破產成本之關係。同時討論現行臺灣保險安定基金所徵收之保費(非壽險公司為營業保費之20基準點,壽險公司為10基準點)是否反映公司實際違約風險,並仔細檢視破產公司之資產配置與財務重整計畫之合適性以降低道德風險。
The analysis of asset allocation and bankruptcy cost for life insurance company Abstract This study investigates the bankruptcy cost when a financially distressed life insurer is taken over by the supervision authority. Specifically, this study adopts the framework proposed in Grosen and Jögensen (2002) and Chen and Suchanecki (2007) to measure the implied default cost of the Taiwan insurance guaranty fund (TIGF) during the financial restructuring. The compensation of the guaranty fund is calculated incorporating the grace periods caused by the regulatory forbearance, which is similar to Chapter 11 bankruptcy procedures in the US Code. This study adds to the previous works of Cummins (1988) and Duan and Yu (2005) by explicitly defining the embedded default options and incorporating the grace period induced by the regulatory forbearance. Our study should like to further investigate how the asset allocation and intervention criterion influence the default cost, which the financial market is modeled through the regime switching and the generalized jump processes. The numerical analysis employs Laplace transform and numerical inversion to quantify their effects. We also like to study the fairness of the premium rates (i.e., 20 basis points for non-life insurers and 10 basis points for life insurers) for TIGF and their relationship regarding to the asset allocation of the life insurers during the financial restructuring process.
Relation: 應用研究
學術補助
研究期間:10008~ 10107
研究經費:436仟元
Data Type: report
Appears in Collections:[風險管理與保險學系] 國科會研究計畫

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