學術產出-學位論文
文章檢視/開啟
書目匯出
-
題名 人壽保險公司之財務槓桿與清償風險分析
Financial Leverage and Solvency Risk Analysis of the Life Insurance Company作者 黃銘鴻 貢獻者 張士傑
Chang, Shih-Chieh
黃銘鴻關鍵詞 公平保費
監理寬容
隨機波動
安定基金
資產負債日期 2019 上傳時間 5-九月-2019 15:48:50 (UTC+8) 摘要 人壽保險公司是高度槓桿的金融機構，向被保險人收取保費並承擔在保障期間内發生事先約定的事故的理賠責任。依保險法第一百四十五條規定，保險公司應計算其應提存之各種準備金，以因應事故發生時的理賠責任，為人壽保險公司最主要的負債來源。當保單開始生效後，保險公司會將所提列的法定準備金及資本到金融市場上進行投資。然而近年來，台灣金融市場的長期利率逐年下滑，不足以因應過往因處在高利率環境時所發行的保單負債成本，使得台灣壽險業的利差損不斷擴大。安定基金每年依各保險公司的資本適足率及經營管理績效指標評等，向各保險公司徵收費率，因應未來經營不善的風險，然而每年向各保險公司所收取的費率是否能合理應付未來的風險，以避免影響其他保險公司正常運作，為本文研究之主要議題。本文主要以實證分析爲主，研究各壽險公司過往實際繳付的費率，與理論模型所計算的風險費率之間的差異，以探討目前安定基金的提撥率的計算是否適足。 參考文獻 Boulier, J.F., S.J. Huang, and G. Thillard (2001), Optimal Management under Stochastic Rates: The Case of a Protected Defined Contribution Pension Fund. Insurance Mathematics and Economics 29, 173-189.Cooperstein, R, Pennacchi, G., Redburn, S. (1995), The Aggregate Cost of Deposit Insurance: A Multiperiod Analysis. Journal of Financial Intermediation 4, 242-271.Cummins, J.D. (1988), Risk-Based Premiums for Insurance Guaranty Funds. Journal of Finance 43, 593-607.Duan, J.C., Simonato, J.G. (1999), Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter. Review of Quantitative Finance and Accounting 13, 111-135.Duan, J.C. and Yu, M.T. (2005), Fair Insurance Guaranty Premia in the Presence of Risk-Based Capital Regulations, Stochastic Interest Rate and Catastrophe Risk. Journal of Banking and Finance 29, 2435-2454.Duncan, M.P. (1987), Property-Liability Post-Assessment Guaranty Funds. Issues in Insurance 2, 239-302.Hwang, D.Y., F.S. Shie, K. Wang, and J.C. Lin (2009), The Pricing of Deposit Insurance Considering Bankruptcy Costs and Closure Policies. Journal of Banking and Finance 33, 1909-1919.Hwang, Y.W., Chang, S.C., and Wu, Y.C. (2015), Capital Forbearance, Ex Ante Life Insurance Schemes, and Interest Rate Uncertainty. North American Actuarial Journal 19, 94-115.Lee, S.C., J.P. Lee, and M.T. Yu (2005), Bank Capital Forbearance and Valuation of Deposit Insurance. Canadian Journal of Administrative Sciences 22, 220-229.McCulloch, J.H. (1985), Interest-Risk Sensitive Deposit Insurance Premia. Journal of Banking and Finance 9, 137-156.Merton, R.C. (1977), An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantee. Journal of Banking and Finance 1, 3-11.Merton, R.C. (1978), On the Cost of Deposit Insurance When There are Surveillance Costs. Journal of Business 51, 439-451.Oxera (2007), Insurance Guarantee Schemes in the EU: Comparative Analysis of Existing Schemes, Anaysis of Problems and Evaluation of Options. A final report for European Commission DG Internal Market and Services, United Kingdom.Pennacchi, G. (1987a), Alternative Forms of Deposit Insurance: Pricing and Bank Incentive Issues. Journal of Banking and Finance 11, 291-312.Pennacchi, G. (1987b), A Reexamination of the Over- (or Under-) Pricing of Deposit Insurance. Journal of Money, Credit and Banking 19, 340-360.Ronn, E., and Verma, A. (1986), Pricing Risk-Adjusted Deposit Insurance: An Option-based Model. Journal of Finance 41, 871-895.S. C. Chang, Y. K. Lee, H. W. and C. Y. Tu (2019). Allocating Overseas: Risk Assessment of Currency Hedging in Taiwan Life Insurance Industry. Asia-Pacific Journal of Risk and Insurance accepted.S. C. Chang, Y. K. Lee (2019). Currency Hedging and Fair Premiums in Life Insurance Guaranty Schemes, working paper.Vasicek, O. (1977), An Equilibrium Characterization of the Term Structure. Journal of Financial Economics 5, 177-188.Yang, S. Y. , Hwang, Y. W. and Chang, S. C. (2012), The Bankruptcy Cost of Life Insurance Industry under Regulatory Forbearance: An Embedded Option Approach. North American Actuarial Journal 16, 513-523. 描述 碩士
國立政治大學
風險管理與保險學系
106358029資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106358029 資料類型 thesis dc.contributor.advisor 張士傑 zh_TW dc.contributor.advisor Chang, Shih-Chieh en_US dc.contributor.author (作者) 黃銘鴻 zh_TW dc.creator (作者) 黃銘鴻 zh_TW dc.date (日期) 2019 en_US dc.date.accessioned 5-九月-2019 15:48:50 (UTC+8) - dc.date.available 5-九月-2019 15:48:50 (UTC+8) - dc.date.issued (上傳時間) 5-九月-2019 15:48:50 (UTC+8) - dc.identifier (其他 識別碼) G0106358029 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/125544 - 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) 106358029 zh_TW dc.description.abstract (摘要) 人壽保險公司是高度槓桿的金融機構，向被保險人收取保費並承擔在保障期間内發生事先約定的事故的理賠責任。依保險法第一百四十五條規定，保險公司應計算其應提存之各種準備金，以因應事故發生時的理賠責任，為人壽保險公司最主要的負債來源。當保單開始生效後，保險公司會將所提列的法定準備金及資本到金融市場上進行投資。然而近年來，台灣金融市場的長期利率逐年下滑，不足以因應過往因處在高利率環境時所發行的保單負債成本，使得台灣壽險業的利差損不斷擴大。安定基金每年依各保險公司的資本適足率及經營管理績效指標評等，向各保險公司徵收費率，因應未來經營不善的風險，然而每年向各保險公司所收取的費率是否能合理應付未來的風險，以避免影響其他保險公司正常運作，為本文研究之主要議題。本文主要以實證分析爲主，研究各壽險公司過往實際繳付的費率，與理論模型所計算的風險費率之間的差異，以探討目前安定基金的提撥率的計算是否適足。 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 文獻回顧 3第二章 台灣壽險公司現況 4第一節 台灣壽險公司之資產負債特性 4第二節 未來主要營運風險及監理措施 8第三章 資產負債模型 10第一節 利率模型 10第二節 資產模型 10第三節 負債模型 11第四章 安定基金的風險保費模型 12第一節 一般化風險保費模型 12第二節 進入監理寬容下的風險保費模型 15第五章 數值分析 18第一節 參數估計 18第二節 數值結果 20第六章 結論與建議 27參考文獻 28附錄 30 zh_TW dc.format.extent 1207229 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106358029 en_US dc.subject (關鍵詞) 公平保費 zh_TW dc.subject (關鍵詞) 監理寬容 zh_TW dc.subject (關鍵詞) 隨機波動 zh_TW dc.subject (關鍵詞) 安定基金 zh_TW dc.subject (關鍵詞) 資產負債 zh_TW dc.title (題名) 人壽保險公司之財務槓桿與清償風險分析 zh_TW dc.title (題名) Financial Leverage and Solvency Risk Analysis of the Life Insurance Company en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Boulier, J.F., S.J. Huang, and G. Thillard (2001), Optimal Management under Stochastic Rates: The Case of a Protected Defined Contribution Pension Fund. Insurance Mathematics and Economics 29, 173-189.Cooperstein, R, Pennacchi, G., Redburn, S. (1995), The Aggregate Cost of Deposit Insurance: A Multiperiod Analysis. Journal of Financial Intermediation 4, 242-271.Cummins, J.D. (1988), Risk-Based Premiums for Insurance Guaranty Funds. Journal of Finance 43, 593-607.Duan, J.C., Simonato, J.G. (1999), Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter. Review of Quantitative Finance and Accounting 13, 111-135.Duan, J.C. and Yu, M.T. (2005), Fair Insurance Guaranty Premia in the Presence of Risk-Based Capital Regulations, Stochastic Interest Rate and Catastrophe Risk. Journal of Banking and Finance 29, 2435-2454.Duncan, M.P. (1987), Property-Liability Post-Assessment Guaranty Funds. Issues in Insurance 2, 239-302.Hwang, D.Y., F.S. Shie, K. Wang, and J.C. Lin (2009), The Pricing of Deposit Insurance Considering Bankruptcy Costs and Closure Policies. Journal of Banking and Finance 33, 1909-1919.Hwang, Y.W., Chang, S.C., and Wu, Y.C. (2015), Capital Forbearance, Ex Ante Life Insurance Schemes, and Interest Rate Uncertainty. North American Actuarial Journal 19, 94-115.Lee, S.C., J.P. Lee, and M.T. Yu (2005), Bank Capital Forbearance and Valuation of Deposit Insurance. Canadian Journal of Administrative Sciences 22, 220-229.McCulloch, J.H. (1985), Interest-Risk Sensitive Deposit Insurance Premia. Journal of Banking and Finance 9, 137-156.Merton, R.C. (1977), An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantee. Journal of Banking and Finance 1, 3-11.Merton, R.C. (1978), On the Cost of Deposit Insurance When There are Surveillance Costs. Journal of Business 51, 439-451.Oxera (2007), Insurance Guarantee Schemes in the EU: Comparative Analysis of Existing Schemes, Anaysis of Problems and Evaluation of Options. A final report for European Commission DG Internal Market and Services, United Kingdom.Pennacchi, G. (1987a), Alternative Forms of Deposit Insurance: Pricing and Bank Incentive Issues. Journal of Banking and Finance 11, 291-312.Pennacchi, G. (1987b), A Reexamination of the Over- (or Under-) Pricing of Deposit Insurance. Journal of Money, Credit and Banking 19, 340-360.Ronn, E., and Verma, A. (1986), Pricing Risk-Adjusted Deposit Insurance: An Option-based Model. Journal of Finance 41, 871-895.S. C. Chang, Y. K. Lee, H. W. and C. Y. Tu (2019). Allocating Overseas: Risk Assessment of Currency Hedging in Taiwan Life Insurance Industry. Asia-Pacific Journal of Risk and Insurance accepted.S. C. Chang, Y. K. Lee (2019). Currency Hedging and Fair Premiums in Life Insurance Guaranty Schemes, working paper.Vasicek, O. (1977), An Equilibrium Characterization of the Term Structure. Journal of Financial Economics 5, 177-188.Yang, S. Y. , Hwang, Y. W. and Chang, S. C. (2012), The Bankruptcy Cost of Life Insurance Industry under Regulatory Forbearance: An Embedded Option Approach. North American Actuarial Journal 16, 513-523. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900897 en_US
