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題名 隨機波動下利率變動型年金保險之違約風險分析
Default risk of interest sensitive life annuity under stochastic volatility
作者 江旻樺
Chiang, Min Hua
貢獻者 張士傑
Chang, Shih Chieh
江旻樺
Chiang, Min Hua
關鍵詞 區隔資產負債表
現金流量
解約
資產配置
Heston模型
segment balance sheet
cash flow
日期 2016
上傳時間 11-Jul-2016 17:05:21 (UTC+8)
摘要 資本市場之系統性風險加劇時，對於利率變動型年金保險所持有之區隔資產將出現大幅波動，影響保險公司之清償能力，本研究透過建立區隔資產負債表之隨機模型，檢視系統性風險下對於人壽保險業違約風險之變化。
本研究在資產部分是以Cox et al. (1985) 模型模擬利率的動態，並以Heston (1993) 模型描述標的資產的隨機波動過程。而負債面則是以利率變動型年金為例，除了宣告利率外，還加入解約率的因子作討論，藉由資產與負債的變化衡量保險公司違約風險。
此外，本研究以蒙地卡羅法模擬50,000 次，來分析影響違約風險之各項因子，包含解約、利率與資產配置策略之關聯性，並以違約機率、風險值以及條件尾端期望值作為保險公司清償能力之衡量指標。根據研究結果顯示：
　1. 提高預定利率時，亦影響宣告利率下限，其破產機率越高。
　2. 當期初資產負債之槓桿比例越高時，其破產機率明顯提升。
　3. 提高投資股票之權重時，受股票波動影響，破產機率提高。
　4. 延長評價時點，受到解約費用影響也越大，破產機率增加。
參考文獻 M. R. Asay, P.J. Bouyoucos, and A.M. Marciano. An Economic Approach to Valuation of Single Premium Deferred Annuities. Cambridge University Press, Zenios, 1993.
G. Bakshi, C. Cao, and Z. Chen. Empirical performance of alternative option pricing models. Journal of Finance, 52:2033–2049, 1997.
F. Black and M. Scholes. The pricing of options and corporate liabilities. Journal of Political Economy, 81:637–654, 1973.
D. Brigo and F. Mercurio. Interest Rate Models – Theory and Practice: With Smile, Inflation and Credit. Springer-Verlag, Berlin, second edition, 2006.
J. Cox, J. Ingersoll, and S. Ross. A theory of the term structure of interest rates. Econometrica, 53:385–407, 1985.
B. Dumas, J. Fleming, and B. Whaley. Implied volatility functions:Empirical tests. Journal of Finance, 53:2059–2106, 1998.
V. Gesser and P. Poncert. Volatility patterns : theory and some evidence from the dollar-mark option market. The Journal Derivatives, pages 46–61, 1997.
A. Grosen and P. L. Jørgensen. Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. Insurance: Mathematics and Economics, 26:37–57, 2000.
S. Heston. A closed-form solutions for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6:327–343, 1993.
W. Hsuan and S.C. Chang. Fair insurance guarantee premium: A study of life insurers in taiwan. In Proceedings at the World Risk and Insurance Economics Congress, Munich, Germany, August 2015.
C. Kim. Modeling surrender and lapse rates with economic variables. North American Actuarial Journal, 9:56–70, 2005.
M. Rubinstein. Nonparametric tests of alternative options pricing models. Journal of Finance, pages 455–480, 1985.
C. Tsai, W. Kuo, and W. Chen. An empirical study on the lapse rate: the cointegration approach. Journal of Risk and Insurance, 70:489–508, 2003.
描述 碩士
國立政治大學
風險管理與保險研究所
103358024
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103358024
資料類型 thesis
dc.contributor.advisor 張士傑zh_TW
dc.contributor.advisor Chang, Shih Chiehen_US
dc.contributor.author (Authors) 江旻樺zh_TW
dc.contributor.author (Authors) Chiang, Min Huaen_US
dc.creator (作者) 江旻樺zh_TW
dc.creator (作者) Chiang, Min Huaen_US
dc.date (日期) 2016en_US
dc.date.accessioned 11-Jul-2016 17:05:21 (UTC+8)-
dc.date.available 11-Jul-2016 17:05:21 (UTC+8)-
dc.date.issued (上傳時間) 11-Jul-2016 17:05:21 (UTC+8)-
dc.identifier (Other Identifiers) G0103358024en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/98860-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 風險管理與保險研究所zh_TW
dc.description (描述) 103358024zh_TW
dc.description.abstract (摘要) 資本市場之系統性風險加劇時，對於利率變動型年金保險所持有之區隔資產將出現大幅波動，影響保險公司之清償能力，本研究透過建立區隔資產負債表之隨機模型，檢視系統性風險下對於人壽保險業違約風險之變化。
本研究在資產部分是以Cox et al. (1985) 模型模擬利率的動態，並以Heston (1993) 模型描述標的資產的隨機波動過程。而負債面則是以利率變動型年金為例，除了宣告利率外，還加入解約率的因子作討論，藉由資產與負債的變化衡量保險公司違約風險。
此外，本研究以蒙地卡羅法模擬50,000 次，來分析影響違約風險之各項因子，包含解約、利率與資產配置策略之關聯性，並以違約機率、風險值以及條件尾端期望值作為保險公司清償能力之衡量指標。根據研究結果顯示：
　1. 提高預定利率時，亦影響宣告利率下限，其破產機率越高。
　2. 當期初資產負債之槓桿比例越高時，其破產機率明顯提升。
　3. 提高投資股票之權重時，受股票波動影響，破產機率提高。
　4. 延長評價時點，受到解約費用影響也越大，破產機率增加。		zh_TW
dc.description.tableofcontents 第一章 緒論 7
第一節 研究動機與目的 7
第二節 文獻回顧 9
第二章 模型架構 12
第一節 資產模型 13
第二節 負債模型 16
第三節 經濟資產負債模型 20
第四節 清償能力評估 22
第三章 數值分析 23
第一節 參數估計 23
第二節 模擬方法 25
第三節 實證結果 28
第四章 結論 32
參考文獻 33		zh_TW
dc.format.extent 1185057 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103358024en_US
dc.subject (關鍵詞) 區隔資產負債表zh_TW
dc.subject (關鍵詞) 現金流量zh_TW
dc.subject (關鍵詞) 解約zh_TW
dc.subject (關鍵詞) 資產配置zh_TW
dc.subject (關鍵詞) Heston模型zh_TW
dc.subject (關鍵詞) segment balance sheeten_US
dc.subject (關鍵詞) cash flowen_US
dc.title (題名) 隨機波動下利率變動型年金保險之違約風險分析zh_TW
dc.title (題名) Default risk of interest sensitive life annuity under stochastic volatilityen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) M. R. Asay, P.J. Bouyoucos, and A.M. Marciano. An Economic Approach to Valuation of Single Premium Deferred Annuities. Cambridge University Press, Zenios, 1993.
G. Bakshi, C. Cao, and Z. Chen. Empirical performance of alternative option pricing models. Journal of Finance, 52:2033–2049, 1997.
F. Black and M. Scholes. The pricing of options and corporate liabilities. Journal of Political Economy, 81:637–654, 1973.
D. Brigo and F. Mercurio. Interest Rate Models – Theory and Practice: With Smile, Inflation and Credit. Springer-Verlag, Berlin, second edition, 2006.
J. Cox, J. Ingersoll, and S. Ross. A theory of the term structure of interest rates. Econometrica, 53:385–407, 1985.
B. Dumas, J. Fleming, and B. Whaley. Implied volatility functions:Empirical tests. Journal of Finance, 53:2059–2106, 1998.
V. Gesser and P. Poncert. Volatility patterns : theory and some evidence from the dollar-mark option market. The Journal Derivatives, pages 46–61, 1997.
A. Grosen and P. L. Jørgensen. Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. Insurance: Mathematics and Economics, 26:37–57, 2000.
S. Heston. A closed-form solutions for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6:327–343, 1993.
W. Hsuan and S.C. Chang. Fair insurance guarantee premium: A study of life insurers in taiwan. In Proceedings at the World Risk and Insurance Economics Congress, Munich, Germany, August 2015.
C. Kim. Modeling surrender and lapse rates with economic variables. North American Actuarial Journal, 9:56–70, 2005.
M. Rubinstein. Nonparametric tests of alternative options pricing models. Journal of Finance, pages 455–480, 1985.
C. Tsai, W. Kuo, and W. Chen. An empirical study on the lapse rate: the cointegration approach. Journal of Risk and Insurance, 70:489–508, 2003.		zh_TW