人壽保險業系統性風險與公司違約之研究

Abstract

人壽保險業之經營來自於對保戶之誠信與責任的承諾，故壽險公司當應以未來穩健為首要經營目標；藉由過去歷史資料觀察，臺灣壽險業淨值與股票市場連動性相當高，由於系統性風險無法透過資產組合而消除，且具有事件觸發(Event trigger)之特性，因此本文使用內部模型法(Internal Model Approach)，藉Kou (2002)所提出的雙指數跳躍擴散過程(Double Exponential Jump Diffusion Model)建構股票資產之動態過程，負債商品以利變型養老保險為例，憑藉資產與負債模型的建構以評估面對系統性風險之下對壽險公司負債適足性所造成的影響，並使用現金流量測試衡量破產之發生機率與其違約價值。\n 根據研究結果顯示: (1)由於跳躍擴散模型的「跳躍」使資產的變動加大，使股價變動不確定性增加，資產過程變動加大，雙指數跳躍擴散模型與B-S模型的資產配置相較之下，破產機率較高。(2)當壽險公司槓桿比例越高、股價平均參數上升或是負債風險溢酬上升時，破產機率上升。

The goal of the life insurance company is to stabilize the capital because the operation of the life insurance company depends on policyholder’s trust. By the historical data, the net value of the life insurance company has high correlation with the stock market, implying the systematic risk, which can’t be removed by the asset portfolio and has ‘Event trigger’ characteristic. This research is conducted by the internal model approach with the double exponential jump process to model the asset dynamic process. We use a sample retirement insurance to construct the liability side. With asset and liability models, we can find that the probability and the severity when the life insurance company facing the systematic risk.\n The research shows that: (1) Compared to the B-S model, the double exponential jump process shows higher default probability. (2) Higher leverage, the mean of the stock, risk premium of the liability, and the elasticity of the interest rate on the liability will cause higher default probability and default value.