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題名 匯率風險下壽險業經濟資本之探討 — 以利率變動型年金商品為例
Discussion on economic capital of life insurance industry under currency risk — a case of interest sensitive annuity policies
作者 邱俊智
貢獻者 張士傑
邱俊智
關鍵詞 匯率風險
經濟資本
資本適足率
風險資本
利變年金
Currency risk
Economic capital
RBC ratio
Risk-Based capital
Interest sensitive annuity
日期 2017
上傳時間 31-Jul-2017 11:01:28 (UTC+8)
摘要 保險法第146條之4規範國外投資總額最高不得超過各該保險業資金45%，而2014年修正增列保險業依保險法規定投資於國內證券市場上市或上櫃買賣之外幣計價股權或債券憑證之投資金額，可不計入其國外投資限額。且因我國市場長期處於低利環境，壽險業即大量以台幣作為融資貨幣買入國外高利率環境下之標的貨幣進行利差交易，本研究擬以經濟資產模型進行資產與負債之模擬，衡量壽險公司的經濟資本與清償風險。
依據現行壽險公司資金運用決定投資之標的，並以Cox-Ingersoll-Ross (1985)模型模擬國內外短期利率，在無拋補利率平價說下建立匯率模型，以Heston (1993)隨機過程描述資產的變化，並考量壽險公司投資策略決定投資比率，再加入資產之相關性進行模擬；以與壽險公司投資連結之利率變動型年金為商品，加入各項風險因子進行負債價值模擬，諸如死亡率、解約率等因子；資產與負債皆在風險中立測度下以蒙地卡羅法進行模擬10,000次，探討公允價值下壽險公司之清償能力。
而現行清償能力指標為資本適足比率，但此標準下尚無法完整考慮各風險之相關性，本研究除考量資本適足比率中風險資本總額，亦加入經濟資本進行分析，可得以下結果：
I.現行RBC風險資本總額介於VaR 99.5%與95%所計算之經濟資本間。
II.當匯率波動度與國外投資比例增加時，經濟資本亦將顯著增加。
III.隨國外債券投資比例增加，風險資本總額增加之幅度亦會加速成長。
IV.利率變動型年金商品宣告利率之擬定將顯著影響公司面臨之違約風險。
The amendment of Article 146-4 of Insurance Act extended the overseas investment ceiling in 2014 that the International Bond was not included to be counted in overseas investment. Since we have been suffering from the low interest rate for a long time, life insurance industry often uses carry trade to enlarge their earnings.
In this paper, the investment targets are chosen on the basis of the current life insurance industry. We simulate the short-term interest rate based on Cox-Ingersoll-Ross (1985) model, establish the exchange rate model by Uncovered Interest Rate Parity, and use Heston (1993) model to simulate stochastic process of assets. Then we consider the life insurance industry’s investment strategy to determine the investment ratio and also import the asset correlation into our models. The interest sensitive annuity policies we used to evaluate the liabilities are linked with life insurance companies’ investment. Some risk factors are also been considered, such as mortality, surrender rate and other factors. Through Monte Carlo simulations by 10,000 times, we analysis the life insurance companies’ solvency under risk neutral measurement by using Risk-Based Capital and Economic Capital. The results show that：
I.Risk-Based Capital is between Economic Capital calculated by VaR 99.5% and 95%.
II.When the volatility of exchange rate and overseas investment ratio increase, the Economic Capital will also increase significantly.
III.With the increase in the proportion of foreign bond investment, the increase in the Risk-Based Capital will accelerate the growth.
IV.The declaring interest rate of interest sensitive annuity policy will significantly affect the default risk faced by the life insurance company.
參考文獻 中文文獻：
張士傑、吳倬瑋，2016。台灣壽險業投資外幣計價國際債券之風險評估，
保險專刊第三十二卷第四期。
英文文獻：
Anderson, L., 2008. Efficient Simulation of the Heston Stochastic Volatility Model, Journal of Computational Finance, vol.11 (3), p.1-42.
Asay, M. R., Bouyoucos, P.J., and Marciano, A.M., 1993. An Economic Approach to Valuation of Single Premium Deferred Annuities, Cambridge University Press.
Bacinello, A.R., 2001. Fair pricing of life insurance participating contracts with a minimum interest rate guaranteed, ASTIN Bulletin, vol.31, p.257-297.
Black, F. and Scholes, M., 1973. The Pricing of Options and Corporate Liabilities, The Journal of Political Economy, vol. 81, p. 637-654.
Boyle, P.P., and Hardy, M.R., 1997. Reserving for maturity guarantees: two approaches, Insurance: Mathematics and Economics, vol.21, p.113–127.
Brennan, M.J., and Schwartz, E.S., 1976. The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee, Journal of Financial Economics, vol.3, p.195-213.
Chu, C.C., and Kwok, Y.K., 2007. Valuation of guaranteed annuity options in affine term structure models, International Journal of Theoretical and Applied Finance, vol.10 (2), p.363-387.
Conway, T., and McCluskey, M., 2006. Property/Casualty Insurer Economic Capital Using a VaR Model, Enterprise Risk Management Symposium, Society of Actuaries.
Cox, J., Ingersoll, J., and Ross, A., 1985. A theory of the term structure of interest rates, Econometrica, vol.53, p.385-407.
Cox, S.H., Laporte, P.D., Linney, S.R., and Lombardi, L., 1992. Single-premium Deferred-annuity Persistency Study, Life Insurance Marketing and Research Association (LIMRA) and the Society of Actuaries, p.281-331.
De Roon, F.A., Nijman, T.E., and Werker, B.J.M., 2001. Testing for Mean-Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets, Journal of Finance, vol.56(2), p.721-742.
Detzler, M.L., 1999. The Performance of Global Bond Mutual Funds, Journal of Banking and Finance, vol.23(8), p.1195-1217.
Economic Capital Calculation and Allocation Subgroup, 2004. Specialty Guide on Economic Capital, Risk Management Task Force, Society of Actuaries.
Farr, I., Mueller, H., Scanlon, M., and Stronkhorst, S., 2008. Economic Capital for Life Insurance Companies, Society of Actuaries.
Fischer, K., and Schlütter, S., 2015. Optimal investment strategies for insurance companies when capital requirements are imposed by a standard formula, Geneva Risk and Insurance Review, vol.40 (1), p.15-40.
Gaillardetz, P., 2008. Valuation of life insurance products under stochastic interest rates, Insurance: Mathematics and Economics, vol.42, p.212-226
Gatzert, N., 2008, Asset management and surplus distribution strategies in life insurance: an examination with respect to risk pricing and risk measurement. Insurance: Mathematics and Economics, vol.42, p.839-849.
Gerstner, T., Griebel, M., Holtz, M., Goschnick, R., and Haep, M., 2008. A general asset-liability management model for the efficient simulation of portfolios of life insurance policies, Insurance: Mathematics and Economics, vol. 42, p.704-716
Grosen, A., and Jørgensen, P.L., 1997. Valuation of Early Exercisable Interest Rate Guarantees, The Journal of Risk and Insurance, vol.64, p.481-503.
Haberman, S., Ballotta, L., and Wang, N., 2003. Modeling and valuation of guarantees in with-profit and unitized with-profit life insurance contracts, Actuarial Research Paper, No.146, City University, London.
Heston, S.L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, The Review of Financial Studies, vol.6 (2), p.327–343.
Jacobson, T., Lindé, J., and Roszbach, K., 2005. Credit Risk Versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?, Journal of Financial Services Research, vol.28, p.43-75.
Kaplanis, E., and Schaefer, S.M., 1991. Exchange risk and international diversification in bond and equity portfolios, Journal of Economics and Business, vol. 43, p.287-307.
Kim, C., 2005. Modeling Surrender and Lapse Rates With Economic Variables, North American Actuarial Journal, vol. 9 (4), p.56-70.
Kladıvko, K., 2007. Maximum likelihood estimation of the Cox-Ingersoll-Ross process: the Matlab implementation, Technical Computing Prague.
Kling, A., Richter, A., and Ruß, J., 2007. The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies, Insurance: Mathematics and Economics, vol.40, p.164-178.
Levy, H., and Lerman, Z., 1988. The Benefits of International Diversification in Bonds, Financial Analysis Journal, vol.44(5), p.56-64.
Manzur, M., 1990. Key Issues In Exchange Rate Economics, Economic Research Centre, Department of Economics, The University of Western Australia.
Marrison, C., 2002. The Fundamentals of Risk Measurement, McGraw-Hill Education.
Mckinnon, R. and Oates, W.E., 1966. The Implication of International Economic Integration for Monetary, Fiscal and Exchange-Rate Policy, Princeton Studies in International Finance, vol.16.
Moodley,N., 2005. The Heston Model: A Practical Approach with Matlab Code, Faculty of Science, University of the Witwatersrand, Johannesburg, South Africa.
Nijman, T.E., and De Roon, F.A., 2001. Testing for Mean-variance Spanning: A Survey, Journal of Empirical Finance, vol.8(2), p.111-155.
Reno, R. 2008. Nonparametric Estimation of the Diffusion Coefficient of Stochastic Volatility Models, Econometric Theory, vol.24, p.1174-1206.
Srinivasan, V., and Tapadar, P., 2008. Economic Capital - A Unifying Approach. Risk Magazine, vol.21, p.96-99.
Zhuo, J. and Park, S.W., 2006. The Economic Capital and Risk Adjustment Performance for VA with Guarantees with an Example of GMAB, Society of Actuaries: Enterprise Risk Management Symposium.
描述 碩士
國立政治大學
風險管理與保險學系
104358030
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104358030
資料類型 thesis
dc.contributor.advisor 張士傑zh_TW
dc.contributor.author (Authors) 邱俊智zh_TW
dc.creator (作者) 邱俊智zh_TW
dc.date (日期) 2017en_US
dc.date.accessioned 31-Jul-2017 11:01:28 (UTC+8)-
dc.date.available 31-Jul-2017 11:01:28 (UTC+8)-
dc.date.issued (上傳時間) 31-Jul-2017 11:01:28 (UTC+8)-
dc.identifier (Other Identifiers) G0104358030en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111464-
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) 104358030zh_TW
dc.description.abstract (摘要) 保險法第146條之4規範國外投資總額最高不得超過各該保險業資金45%，而2014年修正增列保險業依保險法規定投資於國內證券市場上市或上櫃買賣之外幣計價股權或債券憑證之投資金額，可不計入其國外投資限額。且因我國市場長期處於低利環境，壽險業即大量以台幣作為融資貨幣買入國外高利率環境下之標的貨幣進行利差交易，本研究擬以經濟資產模型進行資產與負債之模擬，衡量壽險公司的經濟資本與清償風險。
依據現行壽險公司資金運用決定投資之標的，並以Cox-Ingersoll-Ross (1985)模型模擬國內外短期利率，在無拋補利率平價說下建立匯率模型，以Heston (1993)隨機過程描述資產的變化，並考量壽險公司投資策略決定投資比率，再加入資產之相關性進行模擬；以與壽險公司投資連結之利率變動型年金為商品，加入各項風險因子進行負債價值模擬，諸如死亡率、解約率等因子；資產與負債皆在風險中立測度下以蒙地卡羅法進行模擬10,000次，探討公允價值下壽險公司之清償能力。
而現行清償能力指標為資本適足比率，但此標準下尚無法完整考慮各風險之相關性，本研究除考量資本適足比率中風險資本總額，亦加入經濟資本進行分析，可得以下結果：
I.現行RBC風險資本總額介於VaR 99.5%與95%所計算之經濟資本間。
II.當匯率波動度與國外投資比例增加時，經濟資本亦將顯著增加。
III.隨國外債券投資比例增加，風險資本總額增加之幅度亦會加速成長。
IV.利率變動型年金商品宣告利率之擬定將顯著影響公司面臨之違約風險。		zh_TW
dc.description.abstract (摘要) The amendment of Article 146-4 of Insurance Act extended the overseas investment ceiling in 2014 that the International Bond was not included to be counted in overseas investment. Since we have been suffering from the low interest rate for a long time, life insurance industry often uses carry trade to enlarge their earnings.
In this paper, the investment targets are chosen on the basis of the current life insurance industry. We simulate the short-term interest rate based on Cox-Ingersoll-Ross (1985) model, establish the exchange rate model by Uncovered Interest Rate Parity, and use Heston (1993) model to simulate stochastic process of assets. Then we consider the life insurance industry’s investment strategy to determine the investment ratio and also import the asset correlation into our models. The interest sensitive annuity policies we used to evaluate the liabilities are linked with life insurance companies’ investment. Some risk factors are also been considered, such as mortality, surrender rate and other factors. Through Monte Carlo simulations by 10,000 times, we analysis the life insurance companies’ solvency under risk neutral measurement by using Risk-Based Capital and Economic Capital. The results show that：
I.Risk-Based Capital is between Economic Capital calculated by VaR 99.5% and 95%.
II.When the volatility of exchange rate and overseas investment ratio increase, the Economic Capital will also increase significantly.
III.With the increase in the proportion of foreign bond investment, the increase in the Risk-Based Capital will accelerate the growth.
IV.The declaring interest rate of interest sensitive annuity policy will significantly affect the default risk faced by the life insurance company.		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 7
第二章 文獻回顧 8
第一節 資本適足率相關文獻探討 8
第二節 經濟資本相關文獻探討 10
第三節 資產負債評價相關文獻 12
第三章 模型架構 18
第一節 資本市場情境 18
第二節 投資策略 23
第三節 負債模型 23
第四節 經濟資產負債模型 26
第五節 風險分析 28
第四章 數值分析 31
第一節 參數估計與基本假設 31
第二節 資產與負債模擬 35
第三節 敏感度分析 41
第五章 結論與未來建議 48
第一節 結論 48
第二節 市場建議 48
第三節 未來研究建議 49
參考文獻 50
附錄一 匯率風險中立測度轉換 54
附錄二 資產模擬示意圖 55		zh_TW
dc.format.extent 2252792 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104358030en_US
dc.subject (關鍵詞) 匯率風險zh_TW
dc.subject (關鍵詞) 經濟資本zh_TW
dc.subject (關鍵詞) 資本適足率zh_TW
dc.subject (關鍵詞) 風險資本zh_TW
dc.subject (關鍵詞) 利變年金zh_TW
dc.subject (關鍵詞) Currency risken_US
dc.subject (關鍵詞) Economic capitalen_US
dc.subject (關鍵詞) RBC ratioen_US
dc.subject (關鍵詞) Risk-Based capitalen_US
dc.subject (關鍵詞) Interest sensitive annuityen_US
dc.title (題名) 匯率風險下壽險業經濟資本之探討 — 以利率變動型年金商品為例zh_TW
dc.title (題名) Discussion on economic capital of life insurance industry under currency risk — a case of interest sensitive annuity policiesen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文文獻：
張士傑、吳倬瑋，2016。台灣壽險業投資外幣計價國際債券之風險評估，
保險專刊第三十二卷第四期。
英文文獻：
Anderson, L., 2008. Efficient Simulation of the Heston Stochastic Volatility Model, Journal of Computational Finance, vol.11 (3), p.1-42.
Asay, M. R., Bouyoucos, P.J., and Marciano, A.M., 1993. An Economic Approach to Valuation of Single Premium Deferred Annuities, Cambridge University Press.
Bacinello, A.R., 2001. Fair pricing of life insurance participating contracts with a minimum interest rate guaranteed, ASTIN Bulletin, vol.31, p.257-297.
Black, F. and Scholes, M., 1973. The Pricing of Options and Corporate Liabilities, The Journal of Political Economy, vol. 81, p. 637-654.
Boyle, P.P., and Hardy, M.R., 1997. Reserving for maturity guarantees: two approaches, Insurance: Mathematics and Economics, vol.21, p.113–127.
Brennan, M.J., and Schwartz, E.S., 1976. The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee, Journal of Financial Economics, vol.3, p.195-213.
Chu, C.C., and Kwok, Y.K., 2007. Valuation of guaranteed annuity options in affine term structure models, International Journal of Theoretical and Applied Finance, vol.10 (2), p.363-387.
Conway, T., and McCluskey, M., 2006. Property/Casualty Insurer Economic Capital Using a VaR Model, Enterprise Risk Management Symposium, Society of Actuaries.
Cox, J., Ingersoll, J., and Ross, A., 1985. A theory of the term structure of interest rates, Econometrica, vol.53, p.385-407.
Cox, S.H., Laporte, P.D., Linney, S.R., and Lombardi, L., 1992. Single-premium Deferred-annuity Persistency Study, Life Insurance Marketing and Research Association (LIMRA) and the Society of Actuaries, p.281-331.
De Roon, F.A., Nijman, T.E., and Werker, B.J.M., 2001. Testing for Mean-Variance Spanning with Short Sales Constraints and Transaction Costs: The Case of Emerging Markets, Journal of Finance, vol.56(2), p.721-742.
Detzler, M.L., 1999. The Performance of Global Bond Mutual Funds, Journal of Banking and Finance, vol.23(8), p.1195-1217.
Economic Capital Calculation and Allocation Subgroup, 2004. Specialty Guide on Economic Capital, Risk Management Task Force, Society of Actuaries.
Farr, I., Mueller, H., Scanlon, M., and Stronkhorst, S., 2008. Economic Capital for Life Insurance Companies, Society of Actuaries.
Fischer, K., and Schlütter, S., 2015. Optimal investment strategies for insurance companies when capital requirements are imposed by a standard formula, Geneva Risk and Insurance Review, vol.40 (1), p.15-40.
Gaillardetz, P., 2008. Valuation of life insurance products under stochastic interest rates, Insurance: Mathematics and Economics, vol.42, p.212-226
Gatzert, N., 2008, Asset management and surplus distribution strategies in life insurance: an examination with respect to risk pricing and risk measurement. Insurance: Mathematics and Economics, vol.42, p.839-849.
Gerstner, T., Griebel, M., Holtz, M., Goschnick, R., and Haep, M., 2008. A general asset-liability management model for the efficient simulation of portfolios of life insurance policies, Insurance: Mathematics and Economics, vol. 42, p.704-716
Grosen, A., and Jørgensen, P.L., 1997. Valuation of Early Exercisable Interest Rate Guarantees, The Journal of Risk and Insurance, vol.64, p.481-503.
Haberman, S., Ballotta, L., and Wang, N., 2003. Modeling and valuation of guarantees in with-profit and unitized with-profit life insurance contracts, Actuarial Research Paper, No.146, City University, London.
Heston, S.L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, The Review of Financial Studies, vol.6 (2), p.327–343.
Jacobson, T., Lindé, J., and Roszbach, K., 2005. Credit Risk Versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?, Journal of Financial Services Research, vol.28, p.43-75.
Kaplanis, E., and Schaefer, S.M., 1991. Exchange risk and international diversification in bond and equity portfolios, Journal of Economics and Business, vol. 43, p.287-307.
Kim, C., 2005. Modeling Surrender and Lapse Rates With Economic Variables, North American Actuarial Journal, vol. 9 (4), p.56-70.
Kladıvko, K., 2007. Maximum likelihood estimation of the Cox-Ingersoll-Ross process: the Matlab implementation, Technical Computing Prague.
Kling, A., Richter, A., and Ruß, J., 2007. The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies, Insurance: Mathematics and Economics, vol.40, p.164-178.
Levy, H., and Lerman, Z., 1988. The Benefits of International Diversification in Bonds, Financial Analysis Journal, vol.44(5), p.56-64.
Manzur, M., 1990. Key Issues In Exchange Rate Economics, Economic Research Centre, Department of Economics, The University of Western Australia.
Marrison, C., 2002. The Fundamentals of Risk Measurement, McGraw-Hill Education.
Mckinnon, R. and Oates, W.E., 1966. The Implication of International Economic Integration for Monetary, Fiscal and Exchange-Rate Policy, Princeton Studies in International Finance, vol.16.
Moodley,N., 2005. The Heston Model: A Practical Approach with Matlab Code, Faculty of Science, University of the Witwatersrand, Johannesburg, South Africa.
Nijman, T.E., and De Roon, F.A., 2001. Testing for Mean-variance Spanning: A Survey, Journal of Empirical Finance, vol.8(2), p.111-155.
Reno, R. 2008. Nonparametric Estimation of the Diffusion Coefficient of Stochastic Volatility Models, Econometric Theory, vol.24, p.1174-1206.
Srinivasan, V., and Tapadar, P., 2008. Economic Capital - A Unifying Approach. Risk Magazine, vol.21, p.96-99.
Zhuo, J. and Park, S.W., 2006. The Economic Capital and Risk Adjustment Performance for VA with Guarantees with an Example of GMAB, Society of Actuaries: Enterprise Risk Management Symposium.		zh_TW