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題名 人壽保險公司經濟資本評估及風險分析：以利率變動型壽險為例
Economic Capital and Risk Analysis of the Life Insurer： An Example of the Interest-Sensitive Life Insurance Policies
作者 洪銳棋
Hong, Ruei-Ci
貢獻者 張士傑
洪銳棋
Hong, Ruei-Ci
關鍵詞 利變型壽險
動態過程
匯率風險
利率風險
Interest-sensitive life insurance
Dynamic process
Exchange rate risk
Interest rate risk
日期 2017
上傳時間 2-Feb-2018 17:04:29 (UTC+8)
摘要 台灣投資市場利率長期處於低檔，加上超額儲蓄的社會形態，為滿足投資消費市場需求，壽險公司開始大量銷售被稱為類定存商品的利變型壽險，利變型壽險利用宣告利率彈性調整保險契約價值，保單持有人可獲取高於銀行定存利率的宣告利率。然而，保險公司以宣告利率方式將所區隔資產的投資收益回饋給保單持有人，等同於事先稅前將收益分配於保單持有人，相較於傳統型商品而言，將降低壽險公司回饋股東的收益與自有資本的累積，因此銷售利變型商品時公司之財務清償能力尤其重要。
另一方面，面臨利差損的壽險市場為提升資產投資收益，開始大量投資在台發行之國外債券，但美元自2016年初至2017年第一季末大幅貶值8.03%，導致壽險公司面臨巨額匯兌損失，匯率成為壽險業不得不面對的風險因子。
本研究假設壽險公司以利變型壽險商品為主，特別加入匯率模型，建立完整模型對壽險公司之資產與負債進行動態分析，以經濟資本衡量壽險公司的清償能力，透過模擬結果發現
(1) 比較各種風險因子後，匯率風險影響財務清償能力之程度最大，舉例而言，若匯率波動度上升20%，其一年經濟資本會上升近35%。
(2) 傳統型壽險較彈性變動宣告利率之利變型壽險有較高的清償能力，在相同預定利率下，利變型壽險之十年經濟資本較傳統型高近32%。
(3) 經濟資本在99.5%信心水準下大於風險資本總額與安定基金提撥金額，在95%信心水準下經濟資本與兩者則較為接近。
Interest rates of capital market in Taiwan keep very low for a long time. In order to satisfy demands of market, insurance companies started to sell interest-sensitive life insurance policies on a large scale. Interest-sensitive life insurance policies cumulate the policies value with elastic interest rate. However, insurance companies that sell interest-sensitive life insurance policies need to feedback some profit to their customers. Therefore, if insurance companies sell interest-sensitive life insurance policies, solvency of insurance companies will be very important particularly.
On the other side, insurance companies invest mass capital into foreigner bond published in Taiwan. Unfortunately, U.S. dollars depreciate substantially from 2016 to 2017. It leads to insurance companies faced mass loss. Exchange rate risk has been inevitable risk factor.
This paper assumes that an insurance company merely sell interest-sensitive life insurance policies. Also, add an exchange rate model into our asset-liability model to analysis exchange rate risk exactly. We use economic capital to assessment solvency of an insurance company.
According to this paper, we can find that exchange rate risk is the important risk factor among all risks we considered. Because of profit feedback, Interest-sensitive life insurance policies are less solvent than traditional life insurance policies.
參考文獻 L.B.G Anderson, 2008. Simple and efficient simulation of the Heston stochastic volatility model, Journal of Computational Finance, vol.11, p.1-42
F. Black, and M. Scholes, 1973. The Pricing of Options and Corporate Liabilities, Journal of Political Economy, vol.81, p.637-654.
D.K. Backus, S. Foresi, C.I. Telmer, 2001. Affine Term Structure Models and the Forward Premium Anomaly, The Journal of Finance, vol.56, p.279-304.
G. Bekaert, R.J. Hodrick, D.A. Marshall, 2001. Peso problem explanations for term structure anomalies, Journal of Monetary Economics, vol.48, p.241-270.
M.J. Brennan, 2006. International Capital Markets and Foreign Exchange Risk, Review of Financial Studies, vol.19, p.753-795.
M.K. Brunnermeier, S. Nagel, L.H. Pedersen, 2008. Carry Trades and Currency Crashes, NBER Macroeconomics Annual, vol23, p.313-347.
J.C. Cox, J.E. Ingersoll, Jr. and S.A. Ross, 1985. A Theory of the Term Structure of Interest Rates, Econometrica, vol.35, p.385-407.
P.B. Clark, R. MacDonald, 1998. Exchange rates and economic fundamentals: a methodological comparison of BEERS and FEERS, Series: Recent economic thought series, vol.69, p.285-322.
R. Dornbusch, 1976. Expectations and Exchange Rate Dynamics, Journal of Political Economy, vol. 84, p.1161-1176.
I. Farr, A. Koursaris, M. Mennemeyer, 2016. Economic Capital for Life Insurance Companies, Society of Actuaries.
E.F. Fama, 1984. Forward and spot exchange rates, vol.14, p.319-338
A. Grosen and P.L. Jorgensen, 2000. Fair valuation of life insurance liabilities: the impact of interest rate guarantees, surrender options, and bonus policies, Insurance: Mathematics and Economics, vol.26, p.37-57.
A. Grosen and P.L. Jorgensen, 2002. Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework, The Journal of Risk and Insurance, vol.69, p.63-91.
J.Hull and A. White, 1993. One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities, Journal of Financial and Quantitative Analysis, vol.28, p.235-254.
S.L. Heston, 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, Review of Financial Studies, vol.6, p.327-343.
J.C. Hao, 2011. The pricing for interest sensitive products of life insurance firms. Modern Economy, vol.2, p.194-202.
S.J. Jiang, 2010. Voluntary Termination of Life Insurance Policies, North American Actuarial Journal, vol.14, p.369-380.
C. Kim, 2005. Modeling Surrender and Lapse Rates With Economic Variables, North American Actuarial Journal, vol.9, p.59-70.
W. Kuo, C. Tsai, W.K. Chen, 2003. An Empirical Study on the Lapse Rate: The Cointegration Approach, he Journal of Risk and Insurance, vol.70, p.489-508.
F.S. Mishkin, 1987. Are Real Interest Rates Equal Across Countries? An Empirical Investigation of International Parity Conditions, The Journal of Finance, vol.39, p.1345-1357.
R.A. Messe, K. Rogoff, 1983. Empirical exchange rate models of the seventies: Do they fit out of sample?, Journal of International Economics, vol.14, p.3-24.
C. Tsai, W. Kuo, W.K. Chen, 2002. Early surrender and the distribution of policy reserves, Insurance: Mathematics and Economics, vol.31, p.429-445.
O. Vasicek, 1977. An equilibrium characterization of the term structure, Journal of Financial Economics, vol.5, p.177-188.
描述 碩士
國立政治大學
風險管理與保險學系
104358027
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104358027
資料類型 thesis
dc.contributor.advisor 張士傑zh_TW
dc.contributor.author (Authors) 洪銳棋zh_TW
dc.contributor.author (Authors) Hong, Ruei-Cien_US
dc.creator (作者) 洪銳棋zh_TW
dc.creator (作者) Hong, Ruei-Cien_US
dc.date (日期) 2017en_US
dc.date.accessioned 2-Feb-2018 17:04:29 (UTC+8)-
dc.date.available 2-Feb-2018 17:04:29 (UTC+8)-
dc.date.issued (上傳時間) 2-Feb-2018 17:04:29 (UTC+8)-
dc.identifier (Other Identifiers) G0104358027en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/115785-
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) 104358027zh_TW
dc.description.abstract (摘要) 台灣投資市場利率長期處於低檔，加上超額儲蓄的社會形態，為滿足投資消費市場需求，壽險公司開始大量銷售被稱為類定存商品的利變型壽險，利變型壽險利用宣告利率彈性調整保險契約價值，保單持有人可獲取高於銀行定存利率的宣告利率。然而，保險公司以宣告利率方式將所區隔資產的投資收益回饋給保單持有人，等同於事先稅前將收益分配於保單持有人，相較於傳統型商品而言，將降低壽險公司回饋股東的收益與自有資本的累積，因此銷售利變型商品時公司之財務清償能力尤其重要。
另一方面，面臨利差損的壽險市場為提升資產投資收益，開始大量投資在台發行之國外債券，但美元自2016年初至2017年第一季末大幅貶值8.03%，導致壽險公司面臨巨額匯兌損失，匯率成為壽險業不得不面對的風險因子。
本研究假設壽險公司以利變型壽險商品為主，特別加入匯率模型，建立完整模型對壽險公司之資產與負債進行動態分析，以經濟資本衡量壽險公司的清償能力，透過模擬結果發現
(1) 比較各種風險因子後，匯率風險影響財務清償能力之程度最大，舉例而言，若匯率波動度上升20%，其一年經濟資本會上升近35%。
(2) 傳統型壽險較彈性變動宣告利率之利變型壽險有較高的清償能力，在相同預定利率下，利變型壽險之十年經濟資本較傳統型高近32%。
(3) 經濟資本在99.5%信心水準下大於風險資本總額與安定基金提撥金額，在95%信心水準下經濟資本與兩者則較為接近。		zh_TW
dc.description.abstract (摘要) Interest rates of capital market in Taiwan keep very low for a long time. In order to satisfy demands of market, insurance companies started to sell interest-sensitive life insurance policies on a large scale. Interest-sensitive life insurance policies cumulate the policies value with elastic interest rate. However, insurance companies that sell interest-sensitive life insurance policies need to feedback some profit to their customers. Therefore, if insurance companies sell interest-sensitive life insurance policies, solvency of insurance companies will be very important particularly.
On the other side, insurance companies invest mass capital into foreigner bond published in Taiwan. Unfortunately, U.S. dollars depreciate substantially from 2016 to 2017. It leads to insurance companies faced mass loss. Exchange rate risk has been inevitable risk factor.
This paper assumes that an insurance company merely sell interest-sensitive life insurance policies. Also, add an exchange rate model into our asset-liability model to analysis exchange rate risk exactly. We use economic capital to assessment solvency of an insurance company.
According to this paper, we can find that exchange rate risk is the important risk factor among all risks we considered. Because of profit feedback, Interest-sensitive life insurance policies are less solvent than traditional life insurance policies.		en_US
dc.description.tableofcontents 壹、 緒論 1
一、 研究動機 1
二、 研究方法 4
貳、 文獻回顧 5
參、 模型建構 8
一、 資產動態模型 8
1. 國內、外利率模型 9
2. 國內債券基金標的 10
3. 匯率模型 10
4. 國外債券基金標的 11
5. 股票基金標的 12
6. 約當現金標的 12
7. 不動產標的 13
8. 資產相關性 13
二、 投資策略 13
三、 負債模型 14
1. 宣告利率 15
2. 解約率模型 15
3. 負債 16
四、 經濟資本 17
1. 風險值(Value at Risk，VaR) 17
2. 條件尾端期望值(Conditional Tail Expectation，CTE) 18
肆、 數值分析 19
一、 參數估計與設定 19
1. 資產模型 19
2. 投資策略 21
3. 負債模型 22
二、 模擬過程與數值結果 24
三、 經濟資本與風險基礎資本總額 26
四、 經濟資本與安定基金 29
伍、 敏感度分析 31
一、 國外投資比例(投資策略) 31
二、 匯率波動度 32
三、 死亡率 33
四、 利變型壽險與傳統型商品的比較 33
陸、 結論與建議 35
參考文獻 37		zh_TW
dc.format.extent 1102495 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104358027en_US
dc.subject (關鍵詞) 利變型壽險zh_TW
dc.subject (關鍵詞) 動態過程zh_TW
dc.subject (關鍵詞) 匯率風險zh_TW
dc.subject (關鍵詞) 利率風險zh_TW
dc.subject (關鍵詞) Interest-sensitive life insuranceen_US
dc.subject (關鍵詞) Dynamic processen_US
dc.subject (關鍵詞) Exchange rate risken_US
dc.subject (關鍵詞) Interest rate risken_US
dc.title (題名) 人壽保險公司經濟資本評估及風險分析：以利率變動型壽險為例zh_TW
dc.title (題名) Economic Capital and Risk Analysis of the Life Insurer： An Example of the Interest-Sensitive Life Insurance Policiesen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) L.B.G Anderson, 2008. Simple and efficient simulation of the Heston stochastic volatility model, Journal of Computational Finance, vol.11, p.1-42
F. Black, and M. Scholes, 1973. The Pricing of Options and Corporate Liabilities, Journal of Political Economy, vol.81, p.637-654.
D.K. Backus, S. Foresi, C.I. Telmer, 2001. Affine Term Structure Models and the Forward Premium Anomaly, The Journal of Finance, vol.56, p.279-304.
G. Bekaert, R.J. Hodrick, D.A. Marshall, 2001. Peso problem explanations for term structure anomalies, Journal of Monetary Economics, vol.48, p.241-270.
M.J. Brennan, 2006. International Capital Markets and Foreign Exchange Risk, Review of Financial Studies, vol.19, p.753-795.
M.K. Brunnermeier, S. Nagel, L.H. Pedersen, 2008. Carry Trades and Currency Crashes, NBER Macroeconomics Annual, vol23, p.313-347.
J.C. Cox, J.E. Ingersoll, Jr. and S.A. Ross, 1985. A Theory of the Term Structure of Interest Rates, Econometrica, vol.35, p.385-407.
P.B. Clark, R. MacDonald, 1998. Exchange rates and economic fundamentals: a methodological comparison of BEERS and FEERS, Series: Recent economic thought series, vol.69, p.285-322.
R. Dornbusch, 1976. Expectations and Exchange Rate Dynamics, Journal of Political Economy, vol. 84, p.1161-1176.
I. Farr, A. Koursaris, M. Mennemeyer, 2016. Economic Capital for Life Insurance Companies, Society of Actuaries.
E.F. Fama, 1984. Forward and spot exchange rates, vol.14, p.319-338
A. Grosen and P.L. Jorgensen, 2000. Fair valuation of life insurance liabilities: the impact of interest rate guarantees, surrender options, and bonus policies, Insurance: Mathematics and Economics, vol.26, p.37-57.
A. Grosen and P.L. Jorgensen, 2002. Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework, The Journal of Risk and Insurance, vol.69, p.63-91.
J.Hull and A. White, 1993. One-Factor Interest-Rate Models and the Valuation of Interest-Rate Derivative Securities, Journal of Financial and Quantitative Analysis, vol.28, p.235-254.
S.L. Heston, 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, Review of Financial Studies, vol.6, p.327-343.
J.C. Hao, 2011. The pricing for interest sensitive products of life insurance firms. Modern Economy, vol.2, p.194-202.
S.J. Jiang, 2010. Voluntary Termination of Life Insurance Policies, North American Actuarial Journal, vol.14, p.369-380.
C. Kim, 2005. Modeling Surrender and Lapse Rates With Economic Variables, North American Actuarial Journal, vol.9, p.59-70.
W. Kuo, C. Tsai, W.K. Chen, 2003. An Empirical Study on the Lapse Rate: The Cointegration Approach, he Journal of Risk and Insurance, vol.70, p.489-508.
F.S. Mishkin, 1987. Are Real Interest Rates Equal Across Countries? An Empirical Investigation of International Parity Conditions, The Journal of Finance, vol.39, p.1345-1357.
R.A. Messe, K. Rogoff, 1983. Empirical exchange rate models of the seventies: Do they fit out of sample?, Journal of International Economics, vol.14, p.3-24.
C. Tsai, W. Kuo, W.K. Chen, 2002. Early surrender and the distribution of policy reserves, Insurance: Mathematics and Economics, vol.31, p.429-445.
O. Vasicek, 1977. An equilibrium characterization of the term structure, Journal of Financial Economics, vol.5, p.177-188.		zh_TW