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題名 附保證型變額年金在勞退新制下的資產配置及動態最佳化避險
Asset allocation and dynamic hedge for Guaranteed minimum benefit variable annuity under Taiwan New Labor Pension System作者 張書榕
Chang, Shu-Jung貢獻者 黃泓智
Huang, Hong-Chih
張書榕
Chang, Shu-Jung關鍵詞 動態避險
勞退新制下保證利率
附保證投資型商品評價
附保證投資型商品避險日期 2020 上傳時間 3-Aug-2020 17:41:34 (UTC+8) 摘要 本文探討符合勞退新制下的GMxB變額年金商品之選擇權價值及避險方法，其中勞退新制下平均收益率不低於兩年期定存利率之保證是透過Vasciek模型預測短率後，透過Affine Term Structure Models將短率推回兩年期零息債券價格，並以此計算兩年期定存利率。本研究假設變額年金商品之投資連結標的為台灣大盤指數，以幾何布朗運動進行預測，並考慮利率和投資標的間之相關性。傳統避險方式乃通常透過向投資銀行購買選擇權，或像再保公司再保，然此兩種方式價格過於昂貴，本研究透過期貨建構避險策略，降低期初之避險成本，並以此方式與傳統購買選擇權之方式比較避險效益，研究結果發現期貨在大部分情況下大致皆可達到傳統購買選擇權之結果，並且在某些假設下期貨降低尾端風險的效益更佳，並且還可以降低期初之避險成本，因此希望此篇文章可以為國內保險公司在販賣GMxB商品時提供新的避險工具，並活絡台灣期貨市場之交易。
This article discusses the option value and hedging methods of GMxB products under the Taiwan new pension system. The average rate of return under the new pension system is not less than the two-year deposit rate. To value such interest rate guarantee, this research uses Vasciek model to capture the dynamics of short rate and obtain the future two-year deposit rate. We assume the underlying of the GMxB product is invested in the Taiwan Capitalization Weighted Stock Index. We then adopt the GBM model to project the future returns. The correlation between the underlying asset and the interest rate is considered.The traditional hedging methods for GMxB products are usually to buy options from investment banks, or use reinsurance. However, these methods are very expensive. Instead, this article considers futures as the hedging instruments. This article can provide a new method for insurance companies to hedge the guarantee risk when selling GMxB products, and activate the futures market in Taiwan.參考文獻 1. Alonso-García, J., Wood, O., & Ziveyi, J. (2018). Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method. Quantitative Finance, 18(6), 1049-1075. doi:10.1080/14697688.2017.13578322. Bacinello, A. R., & Ortu, F. (1994). Single and periodic premiums for guaranteed equity-linked life insurance under interest-rate risk: The “Lognormal+ Vasicek” Case. In Financial Modelling (pp. 1-25): Springer.3. Black, F., & Scholes, M. (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81(3), 637-654. Retrieved from www.jstor.org/stable/18310294. Boyle, P. P., & Hardy, M. R. (1997). Reserving for maturity guarantees: Two approaches. Insurance: Mathematics and Economics, 21(2), 113-127. doi:https://doi.org/10.1016/S0167-6687(97)00026-75. Carr, P., Ellis, K., & Gupta, V. (1999). Static hedging of exotic options. Paper presented at the Quantitative Analysis In Financial Markets: Collected Papers of the New York University Mathematical Finance Seminar.6. Carr, P., & Wu, L. (2002). Static hedging of standard options.7. Dai, M., Kuen Kwok, Y., & Zong, J. (2008). GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES. Mathematical Finance, 18(4), 595-611. doi:10.1111/j.1467-9965.2008.00349.x8. Dai, T.-S., Yang, S. S., & Liu, L.-C. (2015). Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks. Insurance: Mathematics and Economics, 64, 364-379. doi:https://doi.org/10.1016/j.insmatheco.2015.04.0039. Duffie, D., & Kan, R. (1996). A YIELD-FACTOR MODEL OF INTEREST RATES. Mathematical Finance, 6(4), 379-406. doi:10.1111/j.1467-9965.1996.tb00123.x10. Hardy, M. (2003). Investment guarantees: modeling and risk management for equity-linked life insurance (Vol. 215): John Wiley & Sons.11. Hardy, M. R. (2000). Hedging and Reserving for Single-Premium Segregated Fund Contracts. North American Actuarial Journal, 4(2), 63-74. doi:10.1080/10920277.2000.1059590312. Persson, S.-A., & Aase, K. K. (1997). Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products. The Journal of Risk and Insurance, 64(4), 599-617. doi:10.2307/25388813. Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177-188. doi:https://doi.org/10.1016/0304-405X(77)90016-214. Vellekoop, M. H., Vd Kamp, A. A., & Post, B. A. (2006). Pricing and hedging guaranteed returns on mix funds. Insurance: Mathematics and Economics, 38(3), 585-598. doi:https://doi.org/10.1016/j.insmatheco.2005.12.00315. Yang, S. S., & Dai, T.-S. (2013). A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions. Insurance: Mathematics and Economics, 52(2), 231-242. doi:https://doi.org/10.1016/j.insmatheco.2012.12.00516. Yang, S. S., Yueh, M.-L., & Tang, C.-H. (2008). Valuation of the interest rate guarantee embedded in defined contribution pension plans. Insurance: Mathematics and Economics, 42(3), 920-934. doi:10.1016/j.insmatheco.2007.10.012 描述 碩士
國立政治大學
風險管理與保險學系
107358014資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107358014 資料類型 thesis dc.contributor.advisor 黃泓智 zh_TW dc.contributor.advisor Huang, Hong-Chih en_US dc.contributor.author (Authors) 張書榕 zh_TW dc.contributor.author (Authors) Chang, Shu-Jung en_US dc.creator (作者) 張書榕 zh_TW dc.creator (作者) Chang, Shu-Jung en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Aug-2020 17:41:34 (UTC+8) - dc.date.available 3-Aug-2020 17:41:34 (UTC+8) - dc.date.issued (上傳時間) 3-Aug-2020 17:41:34 (UTC+8) - dc.identifier (Other Identifiers) G0107358014 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/131008 - 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) 107358014 zh_TW dc.description.abstract (摘要) 本文探討符合勞退新制下的GMxB變額年金商品之選擇權價值及避險方法，其中勞退新制下平均收益率不低於兩年期定存利率之保證是透過Vasciek模型預測短率後，透過Affine Term Structure Models將短率推回兩年期零息債券價格，並以此計算兩年期定存利率。本研究假設變額年金商品之投資連結標的為台灣大盤指數，以幾何布朗運動進行預測，並考慮利率和投資標的間之相關性。傳統避險方式乃通常透過向投資銀行購買選擇權，或像再保公司再保，然此兩種方式價格過於昂貴，本研究透過期貨建構避險策略，降低期初之避險成本，並以此方式與傳統購買選擇權之方式比較避險效益，研究結果發現期貨在大部分情況下大致皆可達到傳統購買選擇權之結果，並且在某些假設下期貨降低尾端風險的效益更佳，並且還可以降低期初之避險成本，因此希望此篇文章可以為國內保險公司在販賣GMxB商品時提供新的避險工具，並活絡台灣期貨市場之交易。 zh_TW dc.description.abstract (摘要) This article discusses the option value and hedging methods of GMxB products under the Taiwan new pension system. The average rate of return under the new pension system is not less than the two-year deposit rate. To value such interest rate guarantee, this research uses Vasciek model to capture the dynamics of short rate and obtain the future two-year deposit rate. We assume the underlying of the GMxB product is invested in the Taiwan Capitalization Weighted Stock Index. We then adopt the GBM model to project the future returns. The correlation between the underlying asset and the interest rate is considered.The traditional hedging methods for GMxB products are usually to buy options from investment banks, or use reinsurance. However, these methods are very expensive. Instead, this article considers futures as the hedging instruments. This article can provide a new method for insurance companies to hedge the guarantee risk when selling GMxB products, and activate the futures market in Taiwan. en_US dc.description.tableofcontents 摘要 iAbstract ii表次 iv圖次 v第一章 緒論 1第一節 研究動機 1第二節 文獻回顧 2第二章 研究方法 4第一節 GMxB商品類別介紹 4第二節 資產模型 6第三節 勞退新制下的保證利率模型 7第三章 商品架構及避險策略 9第一節 商品現金流量與選擇權定價 9第二節 避險策略 11第四章 研究結果 13第一節 模型假設及結果 13第二節 敏感度分析 17第五章 結論與建議 29第一節 結論 29第二節 建議 29參考文獻 30 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107358014 en_US dc.subject (關鍵詞) 動態避險 zh_TW dc.subject (關鍵詞) 勞退新制下保證利率 zh_TW dc.subject (關鍵詞) 附保證投資型商品評價 zh_TW dc.subject (關鍵詞) 附保證投資型商品避險 zh_TW dc.title (題名) 附保證型變額年金在勞退新制下的資產配置及動態最佳化避險 zh_TW dc.title (題名) Asset allocation and dynamic hedge for Guaranteed minimum benefit variable annuity under Taiwan New Labor Pension System en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1. Alonso-García, J., Wood, O., & Ziveyi, J. (2018). Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method. Quantitative Finance, 18(6), 1049-1075. doi:10.1080/14697688.2017.13578322. Bacinello, A. R., & Ortu, F. (1994). Single and periodic premiums for guaranteed equity-linked life insurance under interest-rate risk: The “Lognormal+ Vasicek” Case. In Financial Modelling (pp. 1-25): Springer.3. Black, F., & Scholes, M. (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81(3), 637-654. Retrieved from www.jstor.org/stable/18310294. Boyle, P. P., & Hardy, M. R. (1997). Reserving for maturity guarantees: Two approaches. Insurance: Mathematics and Economics, 21(2), 113-127. doi:https://doi.org/10.1016/S0167-6687(97)00026-75. Carr, P., Ellis, K., & Gupta, V. (1999). Static hedging of exotic options. Paper presented at the Quantitative Analysis In Financial Markets: Collected Papers of the New York University Mathematical Finance Seminar.6. Carr, P., & Wu, L. (2002). Static hedging of standard options.7. Dai, M., Kuen Kwok, Y., & Zong, J. (2008). GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES. Mathematical Finance, 18(4), 595-611. doi:10.1111/j.1467-9965.2008.00349.x8. Dai, T.-S., Yang, S. S., & Liu, L.-C. (2015). Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks. Insurance: Mathematics and Economics, 64, 364-379. doi:https://doi.org/10.1016/j.insmatheco.2015.04.0039. Duffie, D., & Kan, R. (1996). A YIELD-FACTOR MODEL OF INTEREST RATES. Mathematical Finance, 6(4), 379-406. doi:10.1111/j.1467-9965.1996.tb00123.x10. Hardy, M. (2003). Investment guarantees: modeling and risk management for equity-linked life insurance (Vol. 215): John Wiley & Sons.11. Hardy, M. R. (2000). Hedging and Reserving for Single-Premium Segregated Fund Contracts. North American Actuarial Journal, 4(2), 63-74. doi:10.1080/10920277.2000.1059590312. Persson, S.-A., & Aase, K. K. (1997). Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products. The Journal of Risk and Insurance, 64(4), 599-617. doi:10.2307/25388813. Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177-188. doi:https://doi.org/10.1016/0304-405X(77)90016-214. Vellekoop, M. H., Vd Kamp, A. A., & Post, B. A. (2006). Pricing and hedging guaranteed returns on mix funds. Insurance: Mathematics and Economics, 38(3), 585-598. doi:https://doi.org/10.1016/j.insmatheco.2005.12.00315. Yang, S. S., & Dai, T.-S. (2013). A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions. Insurance: Mathematics and Economics, 52(2), 231-242. doi:https://doi.org/10.1016/j.insmatheco.2012.12.00516. Yang, S. S., Yueh, M.-L., & Tang, C.-H. (2008). Valuation of the interest rate guarantee embedded in defined contribution pension plans. Insurance: Mathematics and Economics, 42(3), 920-934. doi:10.1016/j.insmatheco.2007.10.012 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000831 en_US
