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題名 遞延年金與終身壽險之利率風險分析
Interest rate risk analysis of deferred annuity and whole life insurance
作者 蔣庭依
Chiang, Ting Yi
貢獻者 蔡政憲
蔣庭依
Chiang, Ting Yi
關鍵詞 準備金
Orthogonal-GARCH
蒙地卡羅模擬
VaR
利率風險
Reserve
Orthogonal-GARCH
Monte Carlo simulation
VaR
Interest rate risk
日期 2017
上傳時間 24-Jul-2017 12:05:46 (UTC+8)
摘要 隨著利率頻頻走低，壽險業過去發行的保單皆面臨利差損問題，因應未來可能的龐大給付責任，勢必須關注準備金對利率變化的敏感度。本研究以不同保單年度與不同預定利率條件下，以遞延年金與終身壽險商品為例，分析利率波動對保險公司負債面影響，推估準備金分佈及衡量準備金價值變動之風險。
本文以Orthogonal-GARCH模型估計利率動態，取代表性因子配適時間序列模型，再利用蒙地卡羅模擬利率隨機情境，長期利率採Smith-Wilson法配適，得到完整的利率期限結構。以VaR(Value at Risk)量化未來責任之風險，結果顯示預定利率高的情況下，需承擔較多的風險，而隨時間經過，準備金風險對整體負債影響性會降低。此外，在保單年度中期時，利率波動對準備金影響效果較明顯，視為保險商品生命週期的關鍵時期，此時對於利率風險的管理更為重要。
With interest rates falling frequently, the life insurance company previously issued the policy is facing the problem of interest loss. In response to the possibility of future large payment of responsibility, it is important to pay attention to the sensitivity of the reserve to interest rate changes. With deferred annuity and whole life insurance products as an example, we analyze the impact of interest rate fluctuations on the liability of insurance companies, estimates the distribution of reserves and the risk of changes in reserve value based on different policy year and different actuarial assumption interest rate.
In this paper, the Orthogonal-GARCH model is used to estimate the interest rate dynamics by selecting the representative factor to fit the time series model. The Monte Carlo method is used to simulate the interest rate stochastic situation, and the long-term interest rate is adopted by Smith-Wilson method to obtain the complete interest rate term structure. To quantify the risk of future liability by VaR, the results show that the high actuarial assumption interest rate policy to bear more risk, and over time the impact of reserve risk on overall liability will be reduced. In addition, in the middle of the policy year, the impact of interest rate fluctuations on the reserve effect is obvious, as a critical period of insurance product life cycle, so this period is more important for the management of interest rate risk.
參考文獻 1.Alexander, C.O. and Chibumba, A. 1996. Multivariate orthogonal factor GARCH. Discussion papers in Mathematics, University of Sussex.
2.Alexander, C.O. 2000. Orthogonal methods for generating large positive semi‐definite covariance matrices. Discussion Papers in Finance 2000‐06, ISMA Centre.
3.Alexander, C.O. 2001b. Orthogonal GARCH in C.O. Alexander (ed.), Mastering Risk, 2, 21-38. Financial Times-Prentice Hall.
4.Beekman, J. A. and Fuelling, C. P. 1990. Interest and mortality randomness in some annuities. Insurance Mathematics and Economics, 9(2), 185-196.
5.Beekman, J. A. and Fuelling, C. P. 1992. Extra randomness in certain annuity models. Insurance Mathematics and Economics, 10(4), 275-287.
6.Beekman, J.A. and Fuelling, C.P. 1993. One approach to dual randomness in life insurance. Scandinavian Actuarial Journal, 1993(2), 173-182.
7.Bollerslev, T. 1986. Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31(3), 307-327.
8.Dickey, D. A., and Fuller, W. A. 1981. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072.
9.Engle, R. F. 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007.
10.Hsieh, M., Hwang, Y., Kuo, W. and Tsai, C. 2014. On the way to estimate the risk of life insurance reserves. Academia Economic Papers, 42(3), 403–434.
11.Lai, S. W., and Frees, E. W. 1995. Examining changes in reserves using stochastic interest models. Journal of Risk and Insurance, 62(3), 535-574.
12.Panjer, H. H. and Bellhouse, D. R. 1980. Stochastic modelling of interest rates with applications to life contingencies. Journal of Risk and Insurance, 47, 91-110.
13.Panjer, H. H. and Bellhouse, D. R. 1981. Stochastic modelling of interest rates with applications to life contingencies - part II. Journal of Risk and Insurance, 48, 628-637.
14.Parker, G. 1994. Limiting distribution of the present value of a Portfolio. Astin bulletin, 24(01), 47-60.
15.Parker, G. 1996. A portfolio of endowment policies and its limiting distribution. Astin bulletin, 26(01), 25-33.
16.Parker, G. 1997. Stochastic analysis of the interaction between investment and insurance risks. North American Actuarial Journal, 1(2), 55-71.
17.Pearson, K. 1901. On lines and planes of closest fit to systems of points in space. Philosophical Magazine, 2(11), 559-572.
18.Phillips, P. C. B. 1988. Testing for a Unit Root in Time Series Regression. Biometrika, 75(2), 335-346.
19.Smith A. and Wilson, T. 2001. Fitting yield curves with long term constraints. Research Notes, Bacon and Woodrow.
20.中華民國精算學會，2014，人身保險業–保險合約負債公允價值評價精算實務處理準則。
21.蔡政憲、郭維裕與謝明華，2006，《台灣保險監理之利率模型系統》，台北：行政院金融監督管理委員會九十四年度委託研究計畫。
22.蔡政憲、郭維裕與謝明華，2011，《壽險業準備金評估方法之國際發展趨勢研究》，台北：行政院金融監督管理委員會九十九年度委託研究計畫。
描述 碩士
國立政治大學
風險管理與保險學系
104358026
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104358026
資料類型 thesis
dc.contributor.advisor 蔡政憲zh_TW
dc.contributor.author (Authors) 蔣庭依zh_TW
dc.contributor.author (Authors) Chiang, Ting Yien_US
dc.creator (作者) 蔣庭依zh_TW
dc.creator (作者) Chiang, Ting Yien_US
dc.date (日期) 2017en_US
dc.date.accessioned 24-Jul-2017 12:05:46 (UTC+8)-
dc.date.available 24-Jul-2017 12:05:46 (UTC+8)-
dc.date.issued (上傳時間) 24-Jul-2017 12:05:46 (UTC+8)-
dc.identifier (Other Identifiers) G0104358026en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111331-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 風險管理與保險學系zh_TW
dc.description (描述) 104358026zh_TW
dc.description.abstract (摘要) 隨著利率頻頻走低，壽險業過去發行的保單皆面臨利差損問題，因應未來可能的龐大給付責任，勢必須關注準備金對利率變化的敏感度。本研究以不同保單年度與不同預定利率條件下，以遞延年金與終身壽險商品為例，分析利率波動對保險公司負債面影響，推估準備金分佈及衡量準備金價值變動之風險。
本文以Orthogonal-GARCH模型估計利率動態，取代表性因子配適時間序列模型，再利用蒙地卡羅模擬利率隨機情境，長期利率採Smith-Wilson法配適，得到完整的利率期限結構。以VaR(Value at Risk)量化未來責任之風險，結果顯示預定利率高的情況下，需承擔較多的風險，而隨時間經過，準備金風險對整體負債影響性會降低。此外，在保單年度中期時，利率波動對準備金影響效果較明顯，視為保險商品生命週期的關鍵時期，此時對於利率風險的管理更為重要。		zh_TW
dc.description.abstract (摘要) With interest rates falling frequently, the life insurance company previously issued the policy is facing the problem of interest loss. In response to the possibility of future large payment of responsibility, it is important to pay attention to the sensitivity of the reserve to interest rate changes. With deferred annuity and whole life insurance products as an example, we analyze the impact of interest rate fluctuations on the liability of insurance companies, estimates the distribution of reserves and the risk of changes in reserve value based on different policy year and different actuarial assumption interest rate.
In this paper, the Orthogonal-GARCH model is used to estimate the interest rate dynamics by selecting the representative factor to fit the time series model. The Monte Carlo method is used to simulate the interest rate stochastic situation, and the long-term interest rate is adopted by Smith-Wilson method to obtain the complete interest rate term structure. To quantify the risk of future liability by VaR, the results show that the high actuarial assumption interest rate policy to bear more risk, and over time the impact of reserve risk on overall liability will be reduced. In addition, in the middle of the policy year, the impact of interest rate fluctuations on the reserve effect is obvious, as a critical period of insurance product life cycle, so this period is more important for the management of interest rate risk.		en_US
dc.description.tableofcontents 第一章　緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究架構 3
第二章　文獻回顧 4
第三章　研究方法 6
第一節 保單價值評估 6
第二節 研究模型 9
第三節 隨機情境模擬 15
第四章　實證結果與分析 17
第一節 資料說明 17
第二節 經濟模擬 22
第三節 準備金公平價值 23
第四節 負債現值風險衡量 28
第五章　結論與建議 31
第一節 結論 31
第二節 建議 34
參考文獻 35
附錄 37
【附錄A】主成份因子特徵向量 37
【附錄B】主成份因子特徵值 38		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104358026en_US
dc.subject (關鍵詞) 準備金zh_TW
dc.subject (關鍵詞) Orthogonal-GARCHzh_TW
dc.subject (關鍵詞) 蒙地卡羅模擬zh_TW
dc.subject (關鍵詞) VaRzh_TW
dc.subject (關鍵詞) 利率風險zh_TW
dc.subject (關鍵詞) Reserveen_US
dc.subject (關鍵詞) Orthogonal-GARCHen_US
dc.subject (關鍵詞) Monte Carlo simulationen_US
dc.subject (關鍵詞) VaRen_US
dc.subject (關鍵詞) Interest rate risken_US
dc.title (題名) 遞延年金與終身壽險之利率風險分析zh_TW
dc.title (題名) Interest rate risk analysis of deferred annuity and whole life insuranceen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1.Alexander, C.O. and Chibumba, A. 1996. Multivariate orthogonal factor GARCH. Discussion papers in Mathematics, University of Sussex.
2.Alexander, C.O. 2000. Orthogonal methods for generating large positive semi‐definite covariance matrices. Discussion Papers in Finance 2000‐06, ISMA Centre.
3.Alexander, C.O. 2001b. Orthogonal GARCH in C.O. Alexander (ed.), Mastering Risk, 2, 21-38. Financial Times-Prentice Hall.
4.Beekman, J. A. and Fuelling, C. P. 1990. Interest and mortality randomness in some annuities. Insurance Mathematics and Economics, 9(2), 185-196.
5.Beekman, J. A. and Fuelling, C. P. 1992. Extra randomness in certain annuity models. Insurance Mathematics and Economics, 10(4), 275-287.
6.Beekman, J.A. and Fuelling, C.P. 1993. One approach to dual randomness in life insurance. Scandinavian Actuarial Journal, 1993(2), 173-182.
7.Bollerslev, T. 1986. Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics, 31(3), 307-327.
8.Dickey, D. A., and Fuller, W. A. 1981. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072.
9.Engle, R. F. 1982. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007.
10.Hsieh, M., Hwang, Y., Kuo, W. and Tsai, C. 2014. On the way to estimate the risk of life insurance reserves. Academia Economic Papers, 42(3), 403–434.
11.Lai, S. W., and Frees, E. W. 1995. Examining changes in reserves using stochastic interest models. Journal of Risk and Insurance, 62(3), 535-574.
12.Panjer, H. H. and Bellhouse, D. R. 1980. Stochastic modelling of interest rates with applications to life contingencies. Journal of Risk and Insurance, 47, 91-110.
13.Panjer, H. H. and Bellhouse, D. R. 1981. Stochastic modelling of interest rates with applications to life contingencies - part II. Journal of Risk and Insurance, 48, 628-637.
14.Parker, G. 1994. Limiting distribution of the present value of a Portfolio. Astin bulletin, 24(01), 47-60.
15.Parker, G. 1996. A portfolio of endowment policies and its limiting distribution. Astin bulletin, 26(01), 25-33.
16.Parker, G. 1997. Stochastic analysis of the interaction between investment and insurance risks. North American Actuarial Journal, 1(2), 55-71.
17.Pearson, K. 1901. On lines and planes of closest fit to systems of points in space. Philosophical Magazine, 2(11), 559-572.
18.Phillips, P. C. B. 1988. Testing for a Unit Root in Time Series Regression. Biometrika, 75(2), 335-346.
19.Smith A. and Wilson, T. 2001. Fitting yield curves with long term constraints. Research Notes, Bacon and Woodrow.
20.中華民國精算學會，2014，人身保險業–保險合約負債公允價值評價精算實務處理準則。
21.蔡政憲、郭維裕與謝明華，2006，《台灣保險監理之利率模型系統》，台北：行政院金融監督管理委員會九十四年度委託研究計畫。
22.蔡政憲、郭維裕與謝明華，2011，《壽險業準備金評估方法之國際發展趨勢研究》，台北：行政院金融監督管理委員會九十九年度委託研究計畫。		zh_TW