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題名 保險公司生死合險保單匯率風險避險分析：考量無本金遠期匯率及匯率選擇權
Hedging Currency Risk for the Life Insurance Company with Endowment Policies: the use of Non-deliverable Forwards and Currency Options作者 呂學翰
Lu, Hsueh-Han貢獻者 楊曉文
呂學翰
Lu, Hsueh-Han關鍵詞 匯率避險
資產負債管理
生死合險保單
利率風險
死亡風險
Exchange rate hedging
Asset-liability management
Endowment policy
Interest rate risk
Mortality risk日期 2020 上傳時間 3-Nov-2020 11:26:55 (UTC+8) 摘要 為處理保險公司面臨之匯率風險，本研究建構保險公司的資產、負債以及盈餘模型，假設保險公司發行生死合險保單、設定要保人每期繳納平準保費。在分析保險公司盈餘時同時考慮死亡風險、利率風險。為因應近年來保險公司進行國外投資之趨勢，本研究更考慮保險公司執行國外投資的情況，且利用其引入保險公司的匯率風險，並對風險進行管理。本研究注重於比對國內投資、國外投資以及國外投資後各種避險方式之盈餘表現、對盈餘以及盈餘拆解項做一連串的透析與檢視。本研究之相關分析方法可應用於更廣泛的議題以及更深入之探討，希望藉由本研究之啟發，能夠引起更多專業人士投入此方面的研究。
To deal with the exchange rate risk faced by the life insurance company, this paper constructs the asset model, liability model and the surplus model of it. Assumed that the life insurance company issued endowment policies that policyholders pay level premium each year. We consider the mortality risk and interest rate risk at the same time while analyzing the surplus of the life insurance company. Apart from this, with the trend of international investment among the retails and legal entities, we must consider the currency risk, too. We induce the currency risk by making foreign bonds investment of the company, and perform the analysis of the hedging efficiency of different methods. This paper puts an emphasis on the comparison of the surplus outcome of different portfolio, including domestic investment and foreign investment, and a series of studying the surplus and the surplus decomposition of the life insurance company. We hope this paper would be the inspiration of some expert to conduct the survey in related to this domain.參考文獻 一、中文文獻1.林靜吟(2018)。隨機利率下可解約利率變動型壽險評價分析。國立政治大學金融學系碩士學位論文。2.胡明憶(2016)。保險業外匯價格變動準備金之研究。國立中央大學財務金融學系碩士學位論文。二、英文文獻1.Aliber, R. Z. (1973). The interest rate parity theorem: A reinterpretation. Journal of Political Economy, 81(6), 1451-1459.2.Bernal, V. (2016). Calibration of the Vasicek model: An step by step guide.3.Brandt, M. W., & Santa‐Clara, P. (2006). Dynamic portfolio selection by augmenting the asset space. The Journal of Finance, 61(5), 2187-2217.4.Brenner, R. J., & Kroner, K. F. (1995). Arbitrage, cointegration, and testing the unbiasedness hypothesis in financial markets. Journal of Financial and Quantitative Analysis, 23-42.5.Cadenillas, A., & Zapatero, F. (1999). Optimal central bank intervention in the foreign exchange market. Journal of Economic Theory, 87(1), 218-242.6.Cox, S. H., Lin, Y., & Wang, S. (2006). Multivariate exponential tilting and pricing implications for mortality securitization. Journal of Risk and Insurance, 73(4), 719-736.7.Croghan, J., Jackman, J. K., & Min, K. J. (2017). Estimation of geometric Brownian motion parameters for oil price analysis.8.Dash, M., Kodagi, M., & Babu, N. (2008). An empirical study of forex risk management strategies. Indian Journal of Finance, 2(8).9.Frees, E. W. (1990). Stochastic life contingencies with solvency considerations. In Proceedings di 2nd Conference in Actuarial Science and Finance on Samos, Karlovassi (Grecia), http://www. stat. ucl. ac. be/Samos2002/proceedSibillo. pdf.10.Garman, M. B., & Kohlhagen, S. W. (1983). Foreign currency option values. Journal of International Money and Finance, 2(3), 231-237.11.Ngai, A., & Sherris, M. (2011). Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives. Insurance: Mathematics and Economics, 49(1), 100-114.12.Nolde, N., & Parker, G. (2014). Stochastic analysis of life insurance surplus. Insurance: Mathematics and Economics, 56, 1-13.13.Lee, R. D., & Carter, L. R. (1992). Modeling and forecasting US mortality. Journal of the American Statistical Association, 87(419), 659-671.14.Lin, W. H. (2014). Surplus analysis for endowment contracts considering mortality, interest rate, surrender and liquidity risks. Master’s thesis, department of Money and Banking, National Chengchi University.15.Tseng, F. M., Tzeng, G. H., Yu, H. C., & Yuan, B. J. (2001). Fuzzy ARIMA model for forecasting the foreign exchange market. Fuzzy Sets and Systems, 118(1), 9-19.16.Thornton, D. L. (1989). Tests of covered interest rate parity. Federal Reserve Bank of St. Louis Review, 71(4), 55-66.17.Tzeng, L. Y., Wang, J. L., & Soo, J. H. (2000). Surplus management under a stochastic process. Journal of Risk and Insurance, 451-462.18.Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177-188. 描述 碩士
國立政治大學
金融學系
107352033資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107352033 資料類型 thesis dc.contributor.advisor 楊曉文 zh_TW dc.contributor.author (Authors) 呂學翰 zh_TW dc.contributor.author (Authors) Lu, Hsueh-Han en_US dc.creator (作者) 呂學翰 zh_TW dc.creator (作者) Lu, Hsueh-Han en_US dc.date (日期) 2020 en_US dc.date.accessioned 3-Nov-2020 11:26:55 (UTC+8) - dc.date.available 3-Nov-2020 11:26:55 (UTC+8) - dc.date.issued (上傳時間) 3-Nov-2020 11:26:55 (UTC+8) - dc.identifier (Other Identifiers) G0107352033 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/132441 - 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) 107352033 zh_TW dc.description.abstract (摘要) 為處理保險公司面臨之匯率風險，本研究建構保險公司的資產、負債以及盈餘模型，假設保險公司發行生死合險保單、設定要保人每期繳納平準保費。在分析保險公司盈餘時同時考慮死亡風險、利率風險。為因應近年來保險公司進行國外投資之趨勢，本研究更考慮保險公司執行國外投資的情況，且利用其引入保險公司的匯率風險，並對風險進行管理。本研究注重於比對國內投資、國外投資以及國外投資後各種避險方式之盈餘表現、對盈餘以及盈餘拆解項做一連串的透析與檢視。本研究之相關分析方法可應用於更廣泛的議題以及更深入之探討，希望藉由本研究之啟發，能夠引起更多專業人士投入此方面的研究。 zh_TW dc.description.abstract (摘要) To deal with the exchange rate risk faced by the life insurance company, this paper constructs the asset model, liability model and the surplus model of it. Assumed that the life insurance company issued endowment policies that policyholders pay level premium each year. We consider the mortality risk and interest rate risk at the same time while analyzing the surplus of the life insurance company. Apart from this, with the trend of international investment among the retails and legal entities, we must consider the currency risk, too. We induce the currency risk by making foreign bonds investment of the company, and perform the analysis of the hedging efficiency of different methods. This paper puts an emphasis on the comparison of the surplus outcome of different portfolio, including domestic investment and foreign investment, and a series of studying the surplus and the surplus decomposition of the life insurance company. We hope this paper would be the inspiration of some expert to conduct the survey in related to this domain. en_US dc.description.tableofcontents 第一章 緒論..........................................1第一節 研究動機.......................................1第二節 研究目的.......................................3第三節 研究架構.......................................3第二章 文獻探討.......................................5第一節 死亡率模型.....................................5第二節 短期利率模型...................................6第三節 匯率模型.......................................7第四節 盈餘分析.......................................9第三章 模型假設......................................10第一節 死亡率模型....................................10第二節 短期利率模型..................................11第三節 匯率模型......................................13第四章 保險公司盈餘分析模型...........................15第一節 匯率避險工具..................................15第二節 保險契約、保費與準備金.........................16第三節 資產、負債與盈餘...............................17第四節 最佳投資組合..................................19第五節 盈餘分析......................................22第五章 模擬結果與分析.................................24第一節 參數估計與設定.................................24第二節 匯率下跌之模擬結果與分析........................26第三節 匯率上漲之模擬結果與分析........................40第四節 匯率持平之模擬結果與分析........................47第六章 結論..........................................51參考文獻 ............................................53附錄一、盈餘分析方法.....................................55 zh_TW dc.format.extent 5652496 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107352033 en_US dc.subject (關鍵詞) 匯率避險 zh_TW dc.subject (關鍵詞) 資產負債管理 zh_TW dc.subject (關鍵詞) 生死合險保單 zh_TW dc.subject (關鍵詞) 利率風險 zh_TW dc.subject (關鍵詞) 死亡風險 zh_TW dc.subject (關鍵詞) Exchange rate hedging en_US dc.subject (關鍵詞) Asset-liability management en_US dc.subject (關鍵詞) Endowment policy en_US dc.subject (關鍵詞) Interest rate risk en_US dc.subject (關鍵詞) Mortality risk en_US dc.title (題名) 保險公司生死合險保單匯率風險避險分析：考量無本金遠期匯率及匯率選擇權 zh_TW dc.title (題名) Hedging Currency Risk for the Life Insurance Company with Endowment Policies: the use of Non-deliverable Forwards and Currency Options en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文文獻1.林靜吟(2018)。隨機利率下可解約利率變動型壽險評價分析。國立政治大學金融學系碩士學位論文。2.胡明憶(2016)。保險業外匯價格變動準備金之研究。國立中央大學財務金融學系碩士學位論文。二、英文文獻1.Aliber, R. Z. (1973). The interest rate parity theorem: A reinterpretation. Journal of Political Economy, 81(6), 1451-1459.2.Bernal, V. (2016). Calibration of the Vasicek model: An step by step guide.3.Brandt, M. W., & Santa‐Clara, P. (2006). Dynamic portfolio selection by augmenting the asset space. The Journal of Finance, 61(5), 2187-2217.4.Brenner, R. J., & Kroner, K. F. (1995). Arbitrage, cointegration, and testing the unbiasedness hypothesis in financial markets. Journal of Financial and Quantitative Analysis, 23-42.5.Cadenillas, A., & Zapatero, F. (1999). Optimal central bank intervention in the foreign exchange market. Journal of Economic Theory, 87(1), 218-242.6.Cox, S. H., Lin, Y., & Wang, S. (2006). Multivariate exponential tilting and pricing implications for mortality securitization. Journal of Risk and Insurance, 73(4), 719-736.7.Croghan, J., Jackman, J. K., & Min, K. J. (2017). Estimation of geometric Brownian motion parameters for oil price analysis.8.Dash, M., Kodagi, M., & Babu, N. (2008). An empirical study of forex risk management strategies. Indian Journal of Finance, 2(8).9.Frees, E. W. (1990). Stochastic life contingencies with solvency considerations. In Proceedings di 2nd Conference in Actuarial Science and Finance on Samos, Karlovassi (Grecia), http://www. stat. ucl. ac. be/Samos2002/proceedSibillo. pdf.10.Garman, M. B., & Kohlhagen, S. W. (1983). Foreign currency option values. Journal of International Money and Finance, 2(3), 231-237.11.Ngai, A., & Sherris, M. (2011). Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives. Insurance: Mathematics and Economics, 49(1), 100-114.12.Nolde, N., & Parker, G. (2014). Stochastic analysis of life insurance surplus. Insurance: Mathematics and Economics, 56, 1-13.13.Lee, R. D., & Carter, L. R. (1992). Modeling and forecasting US mortality. Journal of the American Statistical Association, 87(419), 659-671.14.Lin, W. H. (2014). Surplus analysis for endowment contracts considering mortality, interest rate, surrender and liquidity risks. Master’s thesis, department of Money and Banking, National Chengchi University.15.Tseng, F. M., Tzeng, G. H., Yu, H. C., & Yuan, B. J. (2001). Fuzzy ARIMA model for forecasting the foreign exchange market. Fuzzy Sets and Systems, 118(1), 9-19.16.Thornton, D. L. (1989). Tests of covered interest rate parity. Federal Reserve Bank of St. Louis Review, 71(4), 55-66.17.Tzeng, L. Y., Wang, J. L., & Soo, J. H. (2000). Surplus management under a stochastic process. Journal of Risk and Insurance, 451-462.18.Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177-188. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202001753 en_US
