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題名 人壽保險公司之違約風險評估：檢視利率變動型人壽保險
Default risk assessment of life insurance company：an examination of the interest-sensitive life policies
作者 鄭有輝
貢獻者 張士傑
鄭有輝
關鍵詞 資產負債模型
信用評等
匯率風險
資產配置
日期 2017
上傳時間 28-Aug-2017 11:28:54 (UTC+8)
摘要 保險公司所持有之利率變動型商品的資產價值，在資本市場之系統性風險急劇增加時，將會產生大幅的波動，降低保險公司之獲利表現，並使保險公司之清償能力受到影響。近年來，壽險公司主要遭受利率與匯率兩資本市場之系統性風險影響，長期的低利率環境令保險公司獲利表現不佳，迫使保險公司投資具有更高回報的外幣資產，這使匯率風險之影響增加。因此本研究將透過建立資產負債之隨機模型，檢視匯率風險下人壽保險業違約風險之變化。
本研究資產面引用Cox et al. (1985) 模型模擬利率的動態，進而推導出含有匯率波動的債券價格，並透過Heston (1993) 模型描述標的股票的隨機波動過程，並以相關係數矩陣整合各資產組合的資產配置。負債面則是以利率變動型壽險為例，藉由資產與負債的變化衡量保險公司違約風險。研究指出：
1. 壽險公司之信評等級為Ba1並與同評級的全球公司累積違約機率相比，壽險公司之違約機率上升幅度明顯較低，壽險公司之違約機率對時間因數並不敏感。
2. 宣告利率對壽險公司違約風險之影響顯著，違約風險的增長與宣告利率的變動呈現指數成長的趨勢。
3. 壽險公司違約風險對匯率因數最為敏感，匯率波動提高時，違約機率亦大幅提高。
4. 利率變動型壽險因最低保證報酬率，其違約風險高於傳統型壽險。
參考文獻 A.Christian Silva，Victor M. Yakovenko，2003， “Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes.” Physica A: Statistical Mechanics and its Applications 324, Pages 303-310
Bacinello, A.R., 2001, “Fair pricing of life insurance participating contracts with a minimum interest rate guaranteed,” ASTIN Bulletin 31, 257-297.
Bacinello, A.R., 2003, “Pricing guaranteed life insurance participating policies with annual premiums and surrender option,” North American Actuarial Journal 7, 1-17.
Bacinello, A.R., 2003, “Fair valuation of a guaranteed life insurance participating contract embedding a surrender option,” Journal of Risk and Insurance 70, 461-487.
Ballotta, L., Haberman, S., and Wang, N., “2006, Guarantees in with-profit and unitized with-profit life insurance contracts: Fair valuation problem in presence of the default option,” Journal of Risk and Insurance 73, 97-121.
Briys, E., de Varenne, F., 1997, “On the risk of insurance liabilities: debunking some common pitfalls,” Journal of Risk and Insurance 64, 673-694.
Cox, J., Ingersoll, J. and Ross, A., 1985, “A theory of the term structure of interest rates.” Econometrica 53, 385-407.
Cassel, Gustav, 1918, “Abnormal Deviations in International Exchanges.” The Economic Journal 28, No. 112, 413–415.
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 42, 704-716.
Grosen, A. and Jorgensen, P.L., 2000, “Fair valuation of life insurance liabilities: the impact of interest rate guarantees, surrender options, and bonus policies.” Insurance: Mathematics and Economics 26, 37-57.
Grosen, A. and Jorgensen, P.L., 2002, “Life insurance liabilities at market value: an analysis of insolvency risk, bonus policy, and regulatory intervention rules in a barrier option framework.” Journal of Risk and Insurance 69, 63-91.
Heston, S., 1993, “A closed-form solution for options with stochastic volatility with applications to bond and currency options,” Review of Financial Studies 6, 327-343.
Kim, C., 2005, “Modeling surrender and lapse rates with economic variables,” North American Actuarial Journal 9, 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 Ruβ, J., 2007, “The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies.” Insurance: Mathematics and Economics 40, 164-178.
Miltersen, K.R., Svein-arne Persson, 2003, “Guaranteed Investment Contracts: Distributed and Undistributed Excess Return.” Scandinavian Actuarial Journal 4, 257-279
Moodley, N. 2005. “The Heston Model： A Practical Approach with Matlab Code.” In Technical Computing Prague. Working paper.
Richard A. Meese, Kenneth Rogoff, 1983, “Empirical exchange rate models of the seventies: Do they fit out of sample?” Journal of International Economics 14, 3-24
MR Asay, PJ Bouyoucos, AM Marciano. 1993. “An Economic Approach to Valuation of Single Premium Deferred Annuities.” Financial Optimization, 101–35.
SH Cox, PD Laporte, SR Linney, L Lombardi 1993 “Single-premium deferred annuity persistency study.” Transactions of Society of Actuaries
Tanskanen, A.J., and Lukkarinen, J., 2003, “Fair valuation of path-dependent participating life insurance contracts.” Insurance: Mathematics and Economics 33, 595-609.
描述 碩士
國立政治大學
風險管理與保險學系
104358031
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104358031
資料類型 thesis
dc.contributor.advisor 張士傑zh_TW
dc.contributor.author (Authors) 鄭有輝zh_TW
dc.creator (作者) 鄭有輝zh_TW
dc.date (日期) 2017en_US
dc.date.accessioned 28-Aug-2017 11:28:54 (UTC+8)-
dc.date.available 28-Aug-2017 11:28:54 (UTC+8)-
dc.date.issued (上傳時間) 28-Aug-2017 11:28:54 (UTC+8)-
dc.identifier (Other Identifiers) G0104358031en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/112164-
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) 104358031zh_TW
dc.description.abstract (摘要) 保險公司所持有之利率變動型商品的資產價值，在資本市場之系統性風險急劇增加時，將會產生大幅的波動，降低保險公司之獲利表現，並使保險公司之清償能力受到影響。近年來，壽險公司主要遭受利率與匯率兩資本市場之系統性風險影響，長期的低利率環境令保險公司獲利表現不佳，迫使保險公司投資具有更高回報的外幣資產，這使匯率風險之影響增加。因此本研究將透過建立資產負債之隨機模型，檢視匯率風險下人壽保險業違約風險之變化。
本研究資產面引用Cox et al. (1985) 模型模擬利率的動態，進而推導出含有匯率波動的債券價格，並透過Heston (1993) 模型描述標的股票的隨機波動過程，並以相關係數矩陣整合各資產組合的資產配置。負債面則是以利率變動型壽險為例，藉由資產與負債的變化衡量保險公司違約風險。研究指出：
1. 壽險公司之信評等級為Ba1並與同評級的全球公司累積違約機率相比，壽險公司之違約機率上升幅度明顯較低，壽險公司之違約機率對時間因數並不敏感。
2. 宣告利率對壽險公司違約風險之影響顯著，違約風險的增長與宣告利率的變動呈現指數成長的趨勢。
3. 壽險公司違約風險對匯率因數最為敏感，匯率波動提高時，違約機率亦大幅提高。
4. 利率變動型壽險因最低保證報酬率，其違約風險高於傳統型壽險。		zh_TW
dc.description.tableofcontents 第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構 5
第二章 文獻回顧 7
第三章 模型建立 10
第一節 資產模型 11
一、 利率模型 12
二、 國內債券基金組合 13
三、 匯率模型 14
四、 國外債券基金組合 14
五、 股票基金組合 15
六、 約當現金 16
七、 不動產 16
八、 資產相關性 16
九、 投資策略 17
第二節 負債模型 17
一、 宣告利率 18
二、 解約率模型 19
三、 負債 19
第三節 資產負債模型 20
第四節 清償能力分析 21
一、 違約機率 21
二、 風險值 21
三、 條件尾端期望值 22
第四章 數值分析 23
第一節 參數估計 23
一、 短期利率 23
二、 匯率 23
三、 股票基金組合 24
四、 相關係數矩陣 25
第二節 參數設定 25
一、 資產配置 25
二、 年齡分佈 26
三、 解約模型 26
四、 保單假設 27
第三節 模擬方法 28
一、 資產模擬 28
二、 負債模擬 30
三、 經濟資產負債模擬 30
第四節 數值結果 31
第五節 敏感度分析 33
一、 宣告利率 33
二、 匯率 34
三、 與傳統壽險商品之比較 36
第五章 結論 38
參考文獻 40		zh_TW
dc.format.extent 1259490 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104358031en_US
dc.subject (關鍵詞) 資產負債模型zh_TW
dc.subject (關鍵詞) 信用評等zh_TW
dc.subject (關鍵詞) 匯率風險zh_TW
dc.subject (關鍵詞) 資產配置zh_TW
dc.title (題名) 人壽保險公司之違約風險評估：檢視利率變動型人壽保險zh_TW
dc.title (題名) Default risk assessment of life insurance company：an examination of the interest-sensitive life policiesen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) A.Christian Silva，Victor M. Yakovenko，2003， “Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes.” Physica A: Statistical Mechanics and its Applications 324, Pages 303-310
Bacinello, A.R., 2001, “Fair pricing of life insurance participating contracts with a minimum interest rate guaranteed,” ASTIN Bulletin 31, 257-297.
Bacinello, A.R., 2003, “Pricing guaranteed life insurance participating policies with annual premiums and surrender option,” North American Actuarial Journal 7, 1-17.
Bacinello, A.R., 2003, “Fair valuation of a guaranteed life insurance participating contract embedding a surrender option,” Journal of Risk and Insurance 70, 461-487.
Ballotta, L., Haberman, S., and Wang, N., “2006, Guarantees in with-profit and unitized with-profit life insurance contracts: Fair valuation problem in presence of the default option,” Journal of Risk and Insurance 73, 97-121.
Briys, E., de Varenne, F., 1997, “On the risk of insurance liabilities: debunking some common pitfalls,” Journal of Risk and Insurance 64, 673-694.
Cox, J., Ingersoll, J. and Ross, A., 1985, “A theory of the term structure of interest rates.” Econometrica 53, 385-407.
Cassel, Gustav, 1918, “Abnormal Deviations in International Exchanges.” The Economic Journal 28, No. 112, 413–415.
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 42, 704-716.
Grosen, A. and Jorgensen, P.L., 2000, “Fair valuation of life insurance liabilities: the impact of interest rate guarantees, surrender options, and bonus policies.” Insurance: Mathematics and Economics 26, 37-57.
Grosen, A. and Jorgensen, P.L., 2002, “Life insurance liabilities at market value: an analysis of insolvency risk, bonus policy, and regulatory intervention rules in a barrier option framework.” Journal of Risk and Insurance 69, 63-91.
Heston, S., 1993, “A closed-form solution for options with stochastic volatility with applications to bond and currency options,” Review of Financial Studies 6, 327-343.
Kim, C., 2005, “Modeling surrender and lapse rates with economic variables,” North American Actuarial Journal 9, 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 Ruβ, J., 2007, “The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies.” Insurance: Mathematics and Economics 40, 164-178.
Miltersen, K.R., Svein-arne Persson, 2003, “Guaranteed Investment Contracts: Distributed and Undistributed Excess Return.” Scandinavian Actuarial Journal 4, 257-279
Moodley, N. 2005. “The Heston Model： A Practical Approach with Matlab Code.” In Technical Computing Prague. Working paper.
Richard A. Meese, Kenneth Rogoff, 1983, “Empirical exchange rate models of the seventies: Do they fit out of sample?” Journal of International Economics 14, 3-24
MR Asay, PJ Bouyoucos, AM Marciano. 1993. “An Economic Approach to Valuation of Single Premium Deferred Annuities.” Financial Optimization, 101–35.
SH Cox, PD Laporte, SR Linney, L Lombardi 1993 “Single-premium deferred annuity persistency study.” Transactions of Society of Actuaries
Tanskanen, A.J., and Lukkarinen, J., 2003, “Fair valuation of path-dependent participating life insurance contracts.” Insurance: Mathematics and Economics 33, 595-609.		zh_TW