Publications-Theses
Article View/Open
Publication Export
-
題名 應用 Copula 模型於附保證投資型保險商品多資產標的之研究
Research on Applying Copula Model to Investment Guarantee with Multi-Asset Target作者 何冠廷
Ho, Kuan-Ting貢獻者 楊曉文
Yang, Sharon S.
何冠廷
Ho, Kuan-Ting關鍵詞 關聯結構
附保證投資型商品
準備金
風險值
條件尾端期望值
資產負債管理
保險
蒙地卡羅
Copula
Investment Guarantee
Reserve
VaR
CTE
ALM
Insurance
Monte Carlo日期 2020 上傳時間 3-Aug-2020 17:37:28 (UTC+8) 摘要 本文使用 2010 至 2019 年之 S\\&P500 及 費城半導體指數作為標的，以幾何布朗運動及四種 Copula 結構： Gaussian 、 Student-t 、 Clayton 、 Gumbel 進行模型配適後，以蒙地卡羅法針對配適之結果進行投資情境模擬。並且針對 10 年期及 20 年期下 GMDB 保本 、 GMMB 保證年化報酬率及 GMDB + GMMB 雙重保證三種附保證投資型商品，分析不同的資產配置策略下資產模型對風險值、準備金及期末帳戶價值的影響。實證結果顯示 Student-t Copula 對標的資產之配適度最佳，而非一般常用的多元常態 Gaussian Copula。並且相較於其他 Copula ，以 Student-t Copula 做為模型之投資策略於後續計算之風險值及準備金較低。並且，於全期固定投資組合下，相較於考慮帳戶報酬率，選擇夏普比率較高的策略能使準備金最小。
This article use the price of S&P500 and Philadelphia Semiconductor Index from 2010-01-01 to 2019-12-31 as the target asset, and use Geometric Brownian Motion as the marginal distribution of two index with four types of copula as the joint distribution. After fitting above models, use Monte Carlo method to simulate the scenario of asset returns.We use 10-year and 20-year GMDB, GMMB, and GMMB+GMDB product as the target and analyze the relation between investment strategy and the VaR, reserve and account value at maturity under different model.The empirical result shows that Student-t Copula fit two stock index the most. Moreover, the investment strategy under student-t copula yield the lowest VaR and reserve compared to other copula include the common assumption of financial engineerring, Gaussian copula. On the other hand, we found that the investment strategy with higher sharpe ratio has the lowest VaR and reserve, instead of the highest annual return.參考文獻 Ballotta, L., & Haberman, S. (2003). Valuation of guaranteed annuity conversion options. Insurance: Mathematics and Economics, 33(1), 87–108. doi: 10.1016/S01676687(03) 00146XBauer, D., Kling, A., & Russ, J. (2008). A universal pricing framework for guaranteed minimum benefits in variable annuities. ASTIN Bulletin, 38(2), 621–651. doi: 10.1017/ s0515036100015312Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of political economy, 81(3), 637–654. doi: 10.1086/260062Brennan, M. J., & Schwartz, E. S. (1976). The pricing of equitylinked life insurance policies with an asset value guarantee. Journal of Financial Economics, 3(3), 195–213. doi: 10.1016/0304405x(76)900039Brennan, M. J., & Schwartz, E. S. (1979). Alternative investment strategies for the issuers of equity linked life insurance policies with an asset value guarantee. The Journal of Business, 52(1), 63. doi: 10.1086/296034Brown, R. (1828). A brief account of microscopical observations made in the months of june, july and august 1827, on the particles contained in the pollen of plants; and on the general existence of active molecules in organic and inorganic bodies. The Philosophical Magazine, 4(21), 161–173. doi: 10.1080/14786442808674769Doan, B., Papageorgiou, N., Reeves, J. J., & Sherris, M. (2018). Portfolio management with targeted constant market volatility. Insurance: Mathematics and Economics, 83, 134– 147. doi: 10.1016/j.insmatheco.2018.09.010Guo, N., Wang, F., & Yang, J. (2017). Remarks on composite bernstein copula and its application to credit risk analysis. Insurance: Mathematics and Economics, 77, 38–48. doi: 10.1016/ j.insmatheco.2017.08.007Heston, S. L. (2015). A ClosedForm Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The Review of Financial Studies, 6(2), 327 343. doi: 10.1093/rfs/6.2.327Hull, J. C. (2017). Options, futures, and other derivatives, global edition. Pearson. Retrieved from https://www.ebook.de/de/product/33013067/john_c_hull_options_futures_and_other_derivatives_global_edition.htmlItô, K. (1944). Stochastic integral. Proceedings of the Imperial Academy, 20(8), 519–524. doi: 10.3792/pia/1195572786Li, D. X. (2000). On default correlation: A copula function approach. The Journal of Fixed Income, 9(4), 43–54. doi: 10.2139/ssrn.187289Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 7791. doi: 10.1111/ j.15406261.1952.tb01525.xMilevsky, M. A., & Posner, S. E. (2001). The titanic option: Valuation of the guaranteed minimum death benefit in variable annuities and mutual funds. The Journal of Risk and Insurance, 68(1), 93. doi: 10.2307/2678133Milevsky, M. A., & Salisbury, T. S. (2006). Financial valuation of guaranteed minimum withdrawal benefits. Insurance: Mathematics and Economics, 38(1), 21–38. doi: 10.1016/j.insmatheco.2005.06.012Ng, A. C.Y., & Li, J. S.H. (2011). Valuing variable annuity guarantees with the multivariate esscher transform. Insurance: Mathematics and Economics, 49(3), 393–400. doi: 10.1016/j.insmatheco.2011.06.003Schönbucher, P. J., & Schubert, D. (2001). Copuladependent default risk in intensity models.In Working paper, department of statistics, bonn university.Sklar, A. (1959). Fonctions de reprtition an dimensions et leursmarges. Publ. inst. statist. univ.Paris, 8, 229–231.Wang, C.W., & Huang, H.C. (2017). Risk management of financial crises: An optimal investment strategy with multivariate jumpdiffusion models. ASTIN Bulletin: The Journal of the International Actuarial Association, 47(02), 501–525. doi: 10.1017/ asb.2017.2Wang, C.W., Yang, S. S., & Huang, J.W. (2017). Analytic option pricing and risk measures under a regimeswitching generalized hyperbolic model with an application to equity linked insurance. Quantitative Finance, 17(10), 15671581. doi: 10.1080/14697688.2017.1288297Wei, J., & Wang, T. (2017). Timeconsistent mean–variance asset–liability management with random coefficients. Insurance: Mathematics and Economics, 77, 84–96. doi: 10.1016/ j.insmatheco.2017.08.011中華民國精算學會. (2019). 保險合約負債公允價值評價精算實務處理準則 (108 年版草案). Retrieved 202051, from http://www.airc.org.tw/rule/202徐英豪. (2019). 附保證投資型保險商品資產配置之研究. 國立政治大學風險管理與保險學系碩士論文. Retrieved from https://hdl.handle.net/11296/83r94x李振綱. (2007). 探討股票市場與債券市場的關聯結構動態Copula 模型. 國立交通大學財務金融學系碩士論文. Retrieved from http://hdl.handle.net/11536/ 39361林展源. (2019). 反向型 ETF 與波動型 ETF 之避險績效 ── 應用 Copula-GJR-GARCH模型. 國立政治大學國際經營與貿易學系碩士論文. Retrieved from https:// hdl.handle.net/11296/542phs詹惟淳. (2013). 考慮保戶行為下對附保證投資型商品準備金之評估. 國立中央大學財務金融學系碩士論文. Retrieved from https://hdl.handle.net/11296/ jd3c3z金管保一字第 09702503741 號. (2008). 人身保險業經營投資型保險業務應提存之各種準備金規範. Retrieved 202051, from https://law.fsc.gov.tw/law/ LawContent.aspx?id=FL046367 描述 碩士
國立政治大學
金融學系
107352011資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107352011 資料類型 thesis dc.contributor.advisor 楊曉文 zh_TW dc.contributor.advisor Yang, Sharon S. en_US dc.contributor.author (Authors) 何冠廷 zh_TW dc.contributor.author (Authors) Ho, Kuan-Ting en_US dc.creator (作者) 何冠廷 zh_TW dc.creator (作者) Ho, Kuan-Ting en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Aug-2020 17:37:28 (UTC+8) - dc.date.available 3-Aug-2020 17:37:28 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2020 17:37:28 (UTC+8) - dc.identifier (Other Identifiers) G0107352011 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130986 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 107352011 zh_TW dc.description.abstract (摘要) 本文使用 2010 至 2019 年之 S\\&P500 及 費城半導體指數作為標的，以幾何布朗運動及四種 Copula 結構： Gaussian 、 Student-t 、 Clayton 、 Gumbel 進行模型配適後，以蒙地卡羅法針對配適之結果進行投資情境模擬。並且針對 10 年期及 20 年期下 GMDB 保本 、 GMMB 保證年化報酬率及 GMDB + GMMB 雙重保證三種附保證投資型商品，分析不同的資產配置策略下資產模型對風險值、準備金及期末帳戶價值的影響。實證結果顯示 Student-t Copula 對標的資產之配適度最佳，而非一般常用的多元常態 Gaussian Copula。並且相較於其他 Copula ，以 Student-t Copula 做為模型之投資策略於後續計算之風險值及準備金較低。並且，於全期固定投資組合下，相較於考慮帳戶報酬率，選擇夏普比率較高的策略能使準備金最小。 zh_TW dc.description.abstract (摘要) This article use the price of S&P500 and Philadelphia Semiconductor Index from 2010-01-01 to 2019-12-31 as the target asset, and use Geometric Brownian Motion as the marginal distribution of two index with four types of copula as the joint distribution. After fitting above models, use Monte Carlo method to simulate the scenario of asset returns.We use 10-year and 20-year GMDB, GMMB, and GMMB+GMDB product as the target and analyze the relation between investment strategy and the VaR, reserve and account value at maturity under different model.The empirical result shows that Student-t Copula fit two stock index the most. Moreover, the investment strategy under student-t copula yield the lowest VaR and reserve compared to other copula include the common assumption of financial engineerring, Gaussian copula. On the other hand, we found that the investment strategy with higher sharpe ratio has the lowest VaR and reserve, instead of the highest annual return. en_US dc.description.tableofcontents 致謝 i中文摘要 iiAbstract iii目錄 iv表目錄 vi圖目錄 vii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 研究流程 2第二章 文獻回顧 3第一節 關聯結構 3第二節 資產配置策略及財務模型 3第三節 投資型商品 4第三章 附保證投資型商品 6第一節 商品介紹 6第二節 監理規範 7第四章 研究方法 9第一節 資產模型 9第二節 蒙地卡羅模擬法 13第三節 商品假設及現金流、準備金計算方式 13第四節 實驗設計 14第五章 實證分析及結果 18第一節 分析結果 18第六章 結論及展望 22第一節 結論 22第二節 未來研究方向建議 22附錄A 各項圖表 24A.1 各投資組合之年化平均報酬、波動度及夏普比率 24A.2 60 歲各投資組合下之分析指標 24參考文獻 35 zh_TW dc.format.extent 2703912 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107352011 en_US dc.subject (關鍵詞) 關聯結構 zh_TW dc.subject (關鍵詞) 附保證投資型商品 zh_TW dc.subject (關鍵詞) 準備金 zh_TW dc.subject (關鍵詞) 風險值 zh_TW dc.subject (關鍵詞) 條件尾端期望值 zh_TW dc.subject (關鍵詞) 資產負債管理 zh_TW dc.subject (關鍵詞) 保險 zh_TW dc.subject (關鍵詞) 蒙地卡羅 zh_TW dc.subject (關鍵詞) Copula en_US dc.subject (關鍵詞) Investment Guarantee en_US dc.subject (關鍵詞) Reserve en_US dc.subject (關鍵詞) VaR en_US dc.subject (關鍵詞) CTE en_US dc.subject (關鍵詞) ALM en_US dc.subject (關鍵詞) Insurance en_US dc.subject (關鍵詞) Monte Carlo en_US dc.title (題名) 應用 Copula 模型於附保證投資型保險商品多資產標的之研究 zh_TW dc.title (題名) Research on Applying Copula Model to Investment Guarantee with Multi-Asset Target en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Ballotta, L., & Haberman, S. (2003). Valuation of guaranteed annuity conversion options. Insurance: Mathematics and Economics, 33(1), 87–108. doi: 10.1016/S01676687(03) 00146XBauer, D., Kling, A., & Russ, J. (2008). A universal pricing framework for guaranteed minimum benefits in variable annuities. ASTIN Bulletin, 38(2), 621–651. doi: 10.1017/ s0515036100015312Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of political economy, 81(3), 637–654. doi: 10.1086/260062Brennan, M. J., & Schwartz, E. S. (1976). The pricing of equitylinked life insurance policies with an asset value guarantee. Journal of Financial Economics, 3(3), 195–213. doi: 10.1016/0304405x(76)900039Brennan, M. J., & Schwartz, E. S. (1979). Alternative investment strategies for the issuers of equity linked life insurance policies with an asset value guarantee. The Journal of Business, 52(1), 63. doi: 10.1086/296034Brown, R. (1828). A brief account of microscopical observations made in the months of june, july and august 1827, on the particles contained in the pollen of plants; and on the general existence of active molecules in organic and inorganic bodies. The Philosophical Magazine, 4(21), 161–173. doi: 10.1080/14786442808674769Doan, B., Papageorgiou, N., Reeves, J. J., & Sherris, M. (2018). Portfolio management with targeted constant market volatility. Insurance: Mathematics and Economics, 83, 134– 147. doi: 10.1016/j.insmatheco.2018.09.010Guo, N., Wang, F., & Yang, J. (2017). Remarks on composite bernstein copula and its application to credit risk analysis. Insurance: Mathematics and Economics, 77, 38–48. doi: 10.1016/ j.insmatheco.2017.08.007Heston, S. L. (2015). A ClosedForm Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The Review of Financial Studies, 6(2), 327 343. doi: 10.1093/rfs/6.2.327Hull, J. C. (2017). Options, futures, and other derivatives, global edition. Pearson. Retrieved from https://www.ebook.de/de/product/33013067/john_c_hull_options_futures_and_other_derivatives_global_edition.htmlItô, K. (1944). Stochastic integral. Proceedings of the Imperial Academy, 20(8), 519–524. doi: 10.3792/pia/1195572786Li, D. X. (2000). On default correlation: A copula function approach. The Journal of Fixed Income, 9(4), 43–54. doi: 10.2139/ssrn.187289Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 7791. doi: 10.1111/ j.15406261.1952.tb01525.xMilevsky, M. A., & Posner, S. E. (2001). The titanic option: Valuation of the guaranteed minimum death benefit in variable annuities and mutual funds. The Journal of Risk and Insurance, 68(1), 93. doi: 10.2307/2678133Milevsky, M. A., & Salisbury, T. S. (2006). Financial valuation of guaranteed minimum withdrawal benefits. Insurance: Mathematics and Economics, 38(1), 21–38. doi: 10.1016/j.insmatheco.2005.06.012Ng, A. C.Y., & Li, J. S.H. (2011). Valuing variable annuity guarantees with the multivariate esscher transform. Insurance: Mathematics and Economics, 49(3), 393–400. doi: 10.1016/j.insmatheco.2011.06.003Schönbucher, P. J., & Schubert, D. (2001). Copuladependent default risk in intensity models.In Working paper, department of statistics, bonn university.Sklar, A. (1959). Fonctions de reprtition an dimensions et leursmarges. Publ. inst. statist. univ.Paris, 8, 229–231.Wang, C.W., & Huang, H.C. (2017). Risk management of financial crises: An optimal investment strategy with multivariate jumpdiffusion models. ASTIN Bulletin: The Journal of the International Actuarial Association, 47(02), 501–525. doi: 10.1017/ asb.2017.2Wang, C.W., Yang, S. S., & Huang, J.W. (2017). Analytic option pricing and risk measures under a regimeswitching generalized hyperbolic model with an application to equity linked insurance. Quantitative Finance, 17(10), 15671581. doi: 10.1080/14697688.2017.1288297Wei, J., & Wang, T. (2017). Timeconsistent mean–variance asset–liability management with random coefficients. Insurance: Mathematics and Economics, 77, 84–96. doi: 10.1016/ j.insmatheco.2017.08.011中華民國精算學會. (2019). 保險合約負債公允價值評價精算實務處理準則 (108 年版草案). Retrieved 202051, from http://www.airc.org.tw/rule/202徐英豪. (2019). 附保證投資型保險商品資產配置之研究. 國立政治大學風險管理與保險學系碩士論文. Retrieved from https://hdl.handle.net/11296/83r94x李振綱. (2007). 探討股票市場與債券市場的關聯結構動態Copula 模型. 國立交通大學財務金融學系碩士論文. Retrieved from http://hdl.handle.net/11536/ 39361林展源. (2019). 反向型 ETF 與波動型 ETF 之避險績效 ── 應用 Copula-GJR-GARCH模型. 國立政治大學國際經營與貿易學系碩士論文. Retrieved from https:// hdl.handle.net/11296/542phs詹惟淳. (2013). 考慮保戶行為下對附保證投資型商品準備金之評估. 國立中央大學財務金融學系碩士論文. Retrieved from https://hdl.handle.net/11296/ jd3c3z金管保一字第 09702503741 號. (2008). 人身保險業經營投資型保險業務應提存之各種準備金規範. Retrieved 202051, from https://law.fsc.gov.tw/law/ LawContent.aspx?id=FL046367 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000896 en_US
