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題名 Allocating Overseas: Risk Assessment of Currency Hedging in Taiwan Life Insurance Industry
作者 張士傑
Chang , Shih-Chieh
Lee,  Yen-Kuan
Tu, Wei Hsuan and Chang-ye
貢獻者 風管系
關鍵詞 overseas investment ;  interest-sensitive ;  foreign-exchange reserves ;  non-deliverable forward ;  basket hedging ;  shortfall
日期 2019-04
上傳時間 25-Jun-2021 09:45:06 (UTC+8)
摘要 A persistent low-interest-rate environment has had a notable impact on the life insurance industry. For reducing the negative interest-rate spread problems, Taiwan life insurer’s asset allocation shift to international diversifies. In this paper, overseas investment is incorporated into the asset portfolio to reflect the growing practice of life insurers taking offshore risks for yield enhancement. We calibrate contract parameters and surplus distribution is investigated through feasible hedge strategies. Foreign-exchange volatility reserves, forward hedge, and basket hedge are compared based on the shortfall measures under risk-neutral valuation. The shareholder’s claim and default put options are compared. The numerical results show that FX volatility reserves are the most effective instrument for controlling currency risk, followed by basket hedge. By contrast, fully forward hedge is cost enhanced and might not generate the advantage of carry trade.
關聯 Asia-Pacific Journal of Risk and Insurance, Vol.14, No.1, pp.1-16
資料類型 article
DOI https://doi.org/10.1515/apjri-2018-0015
dc.contributor 風管系
dc.creator (作者) 張士傑
dc.creator (作者) Chang , Shih-Chieh
dc.creator (作者) Lee,  Yen-Kuan
dc.creator (作者) Tu, Wei Hsuan and Chang-ye
dc.date (日期) 2019-04
dc.date.accessioned 25-Jun-2021 09:45:06 (UTC+8)-
dc.date.available 25-Jun-2021 09:45:06 (UTC+8)-
dc.date.issued (上傳時間) 25-Jun-2021 09:45:06 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/135858-
dc.description.abstract (摘要) A persistent low-interest-rate environment has had a notable impact on the life insurance industry. For reducing the negative interest-rate spread problems, Taiwan life insurer’s asset allocation shift to international diversifies. In this paper, overseas investment is incorporated into the asset portfolio to reflect the growing practice of life insurers taking offshore risks for yield enhancement. We calibrate contract parameters and surplus distribution is investigated through feasible hedge strategies. Foreign-exchange volatility reserves, forward hedge, and basket hedge are compared based on the shortfall measures under risk-neutral valuation. The shareholder’s claim and default put options are compared. The numerical results show that FX volatility reserves are the most effective instrument for controlling currency risk, followed by basket hedge. By contrast, fully forward hedge is cost enhanced and might not generate the advantage of carry trade.
dc.format.extent 131 bytes-
dc.format.mimetype text/html-
dc.relation (關聯) Asia-Pacific Journal of Risk and Insurance, Vol.14, No.1, pp.1-16
dc.subject (關鍵詞) overseas investment ;  interest-sensitive ;  foreign-exchange reserves ;  non-deliverable forward ;  basket hedging ;  shortfall
dc.title (題名) Allocating Overseas: Risk Assessment of Currency Hedging in Taiwan Life Insurance Industry
dc.type (資料類型) article
dc.identifier.doi (DOI) 10.1515/apjri-2018-0015
dc.doi.uri (DOI) https://doi.org/10.1515/apjri-2018-0015