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題名 匯率與利率關聯性下保險安定基金之風險保費
The Relationship Between Exchange Rates and Interest Rates on the Risk-Based Premiums in Life Insurance Guaranty Schemes作者 郭玥均
Kuo, Yueh-Chun貢獻者 張士傑
Chang, Shih-Chieh
郭玥均
Kuo, Yueh-Chun關鍵詞 風險保費
障礙選擇權
波動度
相關性
資產配置
Risk premium
Barrier options
Volatility
Correlation
Asset allocation日期 2021 上傳時間 1-Apr-2021 11:21:34 (UTC+8) 摘要 本研究以保險安定基金風險保費衡量保險人之違約風險，考慮匯率、利率波動度與國外資產配置之影響，利用障礙選擇權評價安定基金之風險保費，將匯率與利率相關性加入模型，進一步分析匯率與利率與違約風險之關聯性，詳細釐清：(1) 匯率與利率波動對風險保費影響；(2) 匯率與利率相關程度與風險保費關聯性；(3) 資產配置差異與風險保費之關係。研究結果發現：(1) 風險保費與匯率、利率波動度呈現正相關；(2) 國內外利率正相關性會增加風險保費；(3) 利率與匯率正相關性會增加風險保費。研究同時發現，當固定國外債券比例(65%)，風險保費與權益證券比例呈現正相關，數據顯示當指數型股票基金的投資比例增加100%時，即指數型股票基金的投資比例由0.1增加至0.2，風險保費會增加40%。當匯率波動度增加100%時，即匯率波動度由0.1增加至0.2，匯率風險將高於利率風險。
This study uses the insurance guaranty risk premium to measure the insurer’s default risk, considers the impact of exchange rate and interest rate volatility, uses barrier options to evaluate the risk premium, and adds the correlation between exchange rates and interest rates into the model to further analyze the relationship between default risk. The main research is: (1) the impact of exchange rate and interest rate volatility on risk premiums; (2) the correlation between exchange rate, interest rate and risk premiums; (3) the relationship between asset allocation differences and risk premiums.We find that: (1) risk premiums are positively correlated with exchange rate and interest rate volatility; (2) the positive correlation between domestic and foreign interest rates will increase risk premiums; (3) the positive correlation between interest rates and exchange rates will increase risk premiums. The study also found that the risk premium and the proportion of equity securities are positively correlated. For example, if the investment ratio of index stock funds doubles (0.1 to 0.2), the risk premium will increase by 40% when the proportion of foreign bonds is fixed (65%). As the exchange rate volatility increases by 100% (0.1 to 0.2), the exchange rate risk will be higher than the interest rate risk.參考文獻 一、中文文獻(一) 學術文獻張士傑，2019年。《匯率風險對我國壽險業經營之短中長期影響》。台北：財團法人台北外匯市場發展基金會。(二) 網路資料中央銀行全球資訊網，歷史檔案-利率，上網日期2021年1月10日，檢自：https://www.cbc.gov.tw/tw/cp-523-995-CC8D8-1.html中央銀行全球資訊網，新臺幣/美元銀行間收盤匯率，上網日期2020年1月8日，檢自：https://www.cbc.gov.tw/tw/lp-645-1.html台灣證券交易所，發行量加權股價指數歷史資料，上網日期2020年1月8日，檢自：https://www.twse.com.tw/zh/page/trading/indices/MI_5MINS_HIST.html全國法規資料庫，人身保險及財產保險安定基金計提標準，上網日期2020年1月20日，檢自：https://law.moj.gov.tw/LawClass/LawAll.aspx?pcode=G0390090全國法規資料庫，保險業資本適足性管理辦法，上網日期2020年1月20日，檢自：https://law.moj.gov.tw/LawClass/LawAll.aspx?pcode=G0390051保險局，109年10月保險市場重要指標，上網日期2021年1月19日，檢自：https://www.ib. gov.tw/ch/home.jsp?id=48&parentpath=0,4財團法人保險事業發展中心，保險業安定基金累積提撥統計表，上網日期2020年1月3日，檢自：https://www.tii.org.tw/tii/information/ information1富邦金控，109年上半年法說會簡報，上網日期2020年12月27日，檢自：https://www.ircloud.com/taiwan/2881/irwebsite_c/conference .php?year=2020證券櫃檯買賣中心，ETF歷史行情統計表，上網日期2021年2月9日，檢自：https://www.tpex.org.tw/web/etf/historical/etf_statistics.php?l=zh-tw二、英文文獻(一) 學術文獻Berketi, A. K. (1999). Insolvency risk and its impact on the policyholders’ investment choices: a mean–variance approach for participating life insurance business in UK. Insurance: Mathematics and Economics, 25(3), 349-372.Berketi, A. K., & Macdonald, A. S. (1999). The effect of the nature of the liabilities on the solvency and maturity payouts of a UK life office fund: a stochastic evaluation. Insurance: Mathematics and Economics, 24(1-2), 117-138.Boulier, J. F., Huang, S., & Taillard, G. (2001). Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. Insurance: Mathematics and Economics, 28(2), 173-189.Briys, E., & De Varenne, F. (1994). Life insurance in a contingent claim framework: pricing and regulatory implications. The Geneva Papers on Risk and Insurance Theory, 19(1), 53-72.Briys, E., & De Varenne, F. (1997). On the risk of insurance liabilities: debunking some common pitfalls. Journal of Risk and Insurance, 673-694.Chadburn, R. G. (1998). Controlling Solvency and Maximising Policyholders` Returns: A Comparison of Management Strategies for Accumulating With-profits Long-term Insurance Business. City University, Department of Actuarial Science and Statistics.Chang, S. C. B., & Lee, Y. K. (2020). Currency Uncertainty, Interest Guarantee, and Risk-Based Premiums in Life Insurance Guaranty Schemes. Asia-Pacific Journal of Risk and Insurance, 14(2).Chen, A., & Suchanecki, M. (2007). Default risk, bankruptcy procedures and the market value of life insurance liabilities. Insurance: Mathematics and Economics, 40(2), 231-255.Cummins, J. D. (1988). Risk‐based premiums for insurance guaranty funds. The journal of Finance, 43(4), 823-839.Duncan, M. P. (1987). Property-Liability Post-Assessment Guaranty Funds. Issues in Insurance, 2, 239-302.Gatzert, N. (2008). Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement. Insurance: Mathematics and Economics, 42(2), 839-849.Grosen, A., & Jørgensen, P. L. (2002). Life insurance liabilities at market value: an analysis of insolvency risk, bonus policy, and regulatory intervention rules in a barrier option framework. Journal of risk and insurance, 69(1), 63-91.Han, L. M., Lai, G. C., & Witt, R. C. (1997). A financial-economic evaluation of insurance guaranty fund system: An agency cost perspective. Journal of Banking & Finance, 21(8), 1107-1129.Hwang, Y. W., Chang, S. C., & Wu, Y. C. (2015). Capital forbearance, ex ante life insurance guaranty schemes, and interest rate uncertainty. North American Actuarial Journal, 19(2), 94-115.Jeanblanc, M., Yor, M., & Chesney, M. (2009). Mathematical methods for financial markets. Springer Science & Business Media.Kleinow, T., & Willder, M. (2007). The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees. Insurance: Mathematics and Economics, 40(3), 445-458.Kling, A., Richter, A., & Ruß, J. (2007). The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies. Insurance: Mathematics and Economics, 40(1), 164-178.Lee, S. C., Lee, J. P., & Yu, M. T. (2005). Bank capital forbearance and valuation of deposit insurance. Canadian Journal of Administrative Sciences/Revue Canadienne des Sciences de l`Administration, 22(3), 220-229.Oxera. (2007). Insurance Guarantee Schemes in the EU: Comparative Analysis of Existing Schemes, Analysis of Problems and Evaluation of Options.Setser, Brad W. and S.T.W. (2019). Shadow FX intervention in Taiwan: Solving a USD 100+ bn enigma. Council on Foreign Relations.Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of financial economics, 5(2), 177-188.Yang, S. Y., Hwang, Y. W., & Chang, S. C. B. (2012). The bankruptcy cost of the life insurance industry under regulatory forbearance: An embedded option approach. North American Actuarial Journal, 16(4), 513-523.(二) 網路資料Federal Reserve Economic Data, Retrieved Jan 15 2021, from: https://fred.stlouisfed.org 描述 碩士
國立政治大學
風險管理與保險學系
108358009資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108358009 資料類型 thesis dc.contributor.advisor 張士傑 zh_TW dc.contributor.advisor Chang, Shih-Chieh en_US dc.contributor.author (Authors) 郭玥均 zh_TW dc.contributor.author (Authors) Kuo, Yueh-Chun en_US dc.creator (作者) 郭玥均 zh_TW dc.creator (作者) Kuo, Yueh-Chun en_US dc.date (日期) 2021 en_US dc.date.accessioned 1-Apr-2021 11:21:34 (UTC+8) - dc.date.available 1-Apr-2021 11:21:34 (UTC+8) - dc.date.issued (上傳時間) 1-Apr-2021 11:21:34 (UTC+8) - dc.identifier (Other Identifiers) G0108358009 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/134433 - 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) 108358009 zh_TW dc.description.abstract (摘要) 本研究以保險安定基金風險保費衡量保險人之違約風險，考慮匯率、利率波動度與國外資產配置之影響，利用障礙選擇權評價安定基金之風險保費，將匯率與利率相關性加入模型，進一步分析匯率與利率與違約風險之關聯性，詳細釐清：(1) 匯率與利率波動對風險保費影響；(2) 匯率與利率相關程度與風險保費關聯性；(3) 資產配置差異與風險保費之關係。研究結果發現：(1) 風險保費與匯率、利率波動度呈現正相關；(2) 國內外利率正相關性會增加風險保費；(3) 利率與匯率正相關性會增加風險保費。研究同時發現，當固定國外債券比例(65%)，風險保費與權益證券比例呈現正相關，數據顯示當指數型股票基金的投資比例增加100%時，即指數型股票基金的投資比例由0.1增加至0.2，風險保費會增加40%。當匯率波動度增加100%時，即匯率波動度由0.1增加至0.2，匯率風險將高於利率風險。 zh_TW dc.description.abstract (摘要) This study uses the insurance guaranty risk premium to measure the insurer’s default risk, considers the impact of exchange rate and interest rate volatility, uses barrier options to evaluate the risk premium, and adds the correlation between exchange rates and interest rates into the model to further analyze the relationship between default risk. The main research is: (1) the impact of exchange rate and interest rate volatility on risk premiums; (2) the correlation between exchange rate, interest rate and risk premiums; (3) the relationship between asset allocation differences and risk premiums.We find that: (1) risk premiums are positively correlated with exchange rate and interest rate volatility; (2) the positive correlation between domestic and foreign interest rates will increase risk premiums; (3) the positive correlation between interest rates and exchange rates will increase risk premiums. The study also found that the risk premium and the proportion of equity securities are positively correlated. For example, if the investment ratio of index stock funds doubles (0.1 to 0.2), the risk premium will increase by 40% when the proportion of foreign bonds is fixed (65%). As the exchange rate volatility increases by 100% (0.1 to 0.2), the exchange rate risk will be higher than the interest rate risk. en_US dc.description.tableofcontents 摘要 I目次 III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 8第二章 安定基金風險保費定價模型 10第一節 保險安定基金現行制度 10第二節 壽險公司的財務結構 11第三節 安定基金之運作模式 14第四節 保險安定基金的公允價值 17第三章 數值分析 20第一節 新冠肺炎對風險保費的影響 22第二節 匯率波動度的影響 24第三節 利率波動度的影響 26第四節 利率與匯率相關係數的影響 29第五節 投資比例的影響 32第六節 數值分析 34第四章 結論 36參考文獻 38 zh_TW dc.format.extent 2403660 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108358009 en_US dc.subject (關鍵詞) 風險保費 zh_TW dc.subject (關鍵詞) 障礙選擇權 zh_TW dc.subject (關鍵詞) 波動度 zh_TW dc.subject (關鍵詞) 相關性 zh_TW dc.subject (關鍵詞) 資產配置 zh_TW dc.subject (關鍵詞) Risk premium en_US dc.subject (關鍵詞) Barrier options en_US dc.subject (關鍵詞) Volatility en_US dc.subject (關鍵詞) Correlation en_US dc.subject (關鍵詞) Asset allocation en_US dc.title (題名) 匯率與利率關聯性下保險安定基金之風險保費 zh_TW dc.title (題名) The Relationship Between Exchange Rates and Interest Rates on the Risk-Based Premiums in Life Insurance Guaranty Schemes en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文文獻(一) 學術文獻張士傑，2019年。《匯率風險對我國壽險業經營之短中長期影響》。台北：財團法人台北外匯市場發展基金會。(二) 網路資料中央銀行全球資訊網，歷史檔案-利率，上網日期2021年1月10日，檢自：https://www.cbc.gov.tw/tw/cp-523-995-CC8D8-1.html中央銀行全球資訊網，新臺幣/美元銀行間收盤匯率，上網日期2020年1月8日，檢自：https://www.cbc.gov.tw/tw/lp-645-1.html台灣證券交易所，發行量加權股價指數歷史資料，上網日期2020年1月8日，檢自：https://www.twse.com.tw/zh/page/trading/indices/MI_5MINS_HIST.html全國法規資料庫，人身保險及財產保險安定基金計提標準，上網日期2020年1月20日，檢自：https://law.moj.gov.tw/LawClass/LawAll.aspx?pcode=G0390090全國法規資料庫，保險業資本適足性管理辦法，上網日期2020年1月20日，檢自：https://law.moj.gov.tw/LawClass/LawAll.aspx?pcode=G0390051保險局，109年10月保險市場重要指標，上網日期2021年1月19日，檢自：https://www.ib. gov.tw/ch/home.jsp?id=48&parentpath=0,4財團法人保險事業發展中心，保險業安定基金累積提撥統計表，上網日期2020年1月3日，檢自：https://www.tii.org.tw/tii/information/ information1富邦金控，109年上半年法說會簡報，上網日期2020年12月27日，檢自：https://www.ircloud.com/taiwan/2881/irwebsite_c/conference .php?year=2020證券櫃檯買賣中心，ETF歷史行情統計表，上網日期2021年2月9日，檢自：https://www.tpex.org.tw/web/etf/historical/etf_statistics.php?l=zh-tw二、英文文獻(一) 學術文獻Berketi, A. K. (1999). Insolvency risk and its impact on the policyholders’ investment choices: a mean–variance approach for participating life insurance business in UK. Insurance: Mathematics and Economics, 25(3), 349-372.Berketi, A. K., & Macdonald, A. S. (1999). The effect of the nature of the liabilities on the solvency and maturity payouts of a UK life office fund: a stochastic evaluation. Insurance: Mathematics and Economics, 24(1-2), 117-138.Boulier, J. F., Huang, S., & Taillard, G. (2001). Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. Insurance: Mathematics and Economics, 28(2), 173-189.Briys, E., & De Varenne, F. (1994). Life insurance in a contingent claim framework: pricing and regulatory implications. The Geneva Papers on Risk and Insurance Theory, 19(1), 53-72.Briys, E., & De Varenne, F. (1997). On the risk of insurance liabilities: debunking some common pitfalls. Journal of Risk and Insurance, 673-694.Chadburn, R. G. (1998). Controlling Solvency and Maximising Policyholders` Returns: A Comparison of Management Strategies for Accumulating With-profits Long-term Insurance Business. City University, Department of Actuarial Science and Statistics.Chang, S. C. B., & Lee, Y. K. (2020). Currency Uncertainty, Interest Guarantee, and Risk-Based Premiums in Life Insurance Guaranty Schemes. Asia-Pacific Journal of Risk and Insurance, 14(2).Chen, A., & Suchanecki, M. (2007). Default risk, bankruptcy procedures and the market value of life insurance liabilities. Insurance: Mathematics and Economics, 40(2), 231-255.Cummins, J. D. (1988). Risk‐based premiums for insurance guaranty funds. The journal of Finance, 43(4), 823-839.Duncan, M. P. (1987). Property-Liability Post-Assessment Guaranty Funds. Issues in Insurance, 2, 239-302.Gatzert, N. (2008). Asset management and surplus distribution strategies in life insurance: An examination with respect to risk pricing and risk measurement. Insurance: Mathematics and Economics, 42(2), 839-849.Grosen, A., & Jørgensen, P. L. (2002). Life insurance liabilities at market value: an analysis of insolvency risk, bonus policy, and regulatory intervention rules in a barrier option framework. Journal of risk and insurance, 69(1), 63-91.Han, L. M., Lai, G. C., & Witt, R. C. (1997). A financial-economic evaluation of insurance guaranty fund system: An agency cost perspective. Journal of Banking & Finance, 21(8), 1107-1129.Hwang, Y. W., Chang, S. C., & Wu, Y. C. (2015). Capital forbearance, ex ante life insurance guaranty schemes, and interest rate uncertainty. North American Actuarial Journal, 19(2), 94-115.Jeanblanc, M., Yor, M., & Chesney, M. (2009). Mathematical methods for financial markets. Springer Science & Business Media.Kleinow, T., & Willder, M. (2007). The effect of management discretion on hedging and fair valuation of participating policies with maturity guarantees. Insurance: Mathematics and Economics, 40(3), 445-458.Kling, A., Richter, A., & Ruß, J. (2007). The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies. Insurance: Mathematics and Economics, 40(1), 164-178.Lee, S. C., Lee, J. P., & Yu, M. T. (2005). Bank capital forbearance and valuation of deposit insurance. Canadian Journal of Administrative Sciences/Revue Canadienne des Sciences de l`Administration, 22(3), 220-229.Oxera. (2007). Insurance Guarantee Schemes in the EU: Comparative Analysis of Existing Schemes, Analysis of Problems and Evaluation of Options.Setser, Brad W. and S.T.W. (2019). Shadow FX intervention in Taiwan: Solving a USD 100+ bn enigma. Council on Foreign Relations.Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of financial economics, 5(2), 177-188.Yang, S. Y., Hwang, Y. W., & Chang, S. C. B. (2012). The bankruptcy cost of the life insurance industry under regulatory forbearance: An embedded option approach. North American Actuarial Journal, 16(4), 513-523.(二) 網路資料Federal Reserve Economic Data, Retrieved Jan 15 2021, from: https://fred.stlouisfed.org zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100403 en_US
