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題名 監理干預對於人壽保險公司違約風險之評估分析
Analysis of Regulatory Intervention on the Default Risk of Life Insurance Companies作者 白晴羽
Pai, Ching-Yu貢獻者 張士傑
Chang, Shih-Chieh
白晴羽
Pai, Ching-Yu關鍵詞 安定基金
風險保費
監理干預
增資
資產分配
Guaranty fund
Risk premium
Regulatory intervention
Capital injection
Asset allocation日期 2021 上傳時間 1-七月-2021 18:16:04 (UTC+8) 摘要 我國壽險業在持有大量長期負債的情況下，為獲得足夠的收益率而將大部分資金投資於海外部位，使保險人需承擔極大的匯率風險。近期，由於新冠肺炎的影響，國內外投資利率降低、新台幣升值造成匯損以及IFRS17的引入，皆為壽險業帶來不少影響。為了維持金融體系的穩定，主管機關應謹慎控管保險人的違約風險。故本研究以財團法人保險安定基金（以下簡稱，保險安定基金或安定基金）風險保費作為衡量保險公司違約風險之標準，將利率與匯率的不確定性及相關性納入評價模型，觀察監管干預行為對於提前接管、財務稽核期與監理寬容期間保險人違約風險的影響。本研究將詳細釐清：(1)限期增資計畫對於安定基金風險保費之影響；(2)限縮投資風險對於安定基金風險保費之影響；(3)比較兩項監管干預措施對於不同階段風險保費之影響。研究結果表明：(1)在限期增資計畫中，當保險人增資金額達一定比例時，將能有效降低保險人在財務稽核時期與監理寬容期間的違約風險；(2)限縮投資風險會提高保險人在財務稽核期違約的機率，但仍能降低監理寬容期的風險，整體而言風險保費將緩慢降低；(3)兩種監管干預的行為皆能使保險安定基金風險保費下降，而就風險保費各個組成部分來說，對於降低財務稽核期部分的風險保費，限期增資計畫較限縮投資風險更為有效，而對降低監理寬容期部分的風險保費，限縮投資風險比限期增資計畫較有效。故本研究認為對於控管壽險公司違約風險而言，監理機關應視其財務結構、資產風險以及在不同監管干預措施下所帶來的影響，為保險人制定適當的監管干預策略。
This study investigates the default risk of insurance companies under the regulatory interventions through the capital injection scheme and the risk constrained asset allocation. In our framework, the risk premium of Taiwan Insurance Guaranty Fund is used to measure the default risk of insurance companies, and the uncertainty and correlation of interest rates and exchange rates are incorporated into the premium rating. Then we analyze the impact of regulatory intervention on the insurers` default risk during the early bankruptcy, the financial audit period and the grace period. The main research is: (1) the impact of the capital injection scheme on the risk premium; (2) the impact of the risk constrained asset allocation on the risk premium; (3) the impact of two regulatory interventions on the risk premium of different stages.We find that: (1) in the capital injection scheme, when the amount of injected capital reaches a certain percentage, it will effectively reduce the default risk of the insurer during the financial audit period and grace period; (2) if the risk constrained asset allocation is applied, the insurer`s default risk will increase during the financial audit period, but decrease during the grace period; (3) Both regulatory interventions can reduce the total risk premiums of Taiwan Insurance Guaranty Fund. For the risk premium of the financial audit period, the capital injection scheme is more effective than the risk constrained asset allocation. But for the risk premium of the grace period, the risk constrained asset allocation is more effective. Therefore, this study believes that for the control of the default risk of life insurance companies, the supervisory authority should develop appropriate regulatory intervention strategies for insurers based on its financial structure, asset risks, and the impact of different regulatory interventions.參考文獻 Avanzi, Benjamin, Shen, Jonathan, & Wong, Bernard. 2011. Optimal Dividends and Capital Injections in the Dual Model with Diffusion. ASTIN bulletin, 41(2), 611–644.Boulier, Jean-François, Huang, ShaoJuan, & Taillard, Grégory. 2001. Optimal Management under Stochastic Interest Rates: The Case of a Protected Defined Contribution Pension Fund. Insurance, Mathematics & Economics, 28(2), 173–189.Briys, Eric, & De Varenne, François. 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, Eric, & De Varenne, François. 1997. On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls. The Journal of Risk and Insurance, 64(4), 673–694.Chang, S.C., Lee, Y.K., & Tzeng, Y.Y. 2020. Yield-Hungry Life Insurers’ Currency Hedging and Fair Premiums under the Impact of Regulatory Schemes. Paper read at 2020 World Risk and Insurance Economics Congress (WRIEC), Virtual Meeting, August.Chang, Shih-Chieh Bill, & Lee, Yen-Kuan. 2020. Currency Uncertainty, Interest Guarantee, and Risk-Based Premiums in Life Insurance Guaranty Schemes. Asia-Pacific Journal of Risk and Insurance, 14(2).Chen, An, & Hieber, Peter.2016. Optimal Asset Allocation in Life Insurance: the Impact of Regulation. ASTIN bulletin, 46(3), 605–626.Chen, An, & Suchanecki, Michael. 2007. Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities. Insurance, Mathematics & Economics, 40(2), 231–255.Chen, An, Hieber, Peter, & Lämmlein, Lars. 2020. Regulatory Measures for Distressed Insurance Undertakings: a Comparative Study. Scandinavian Actuarial Journal, 2020(1), 30–43.Cummins, J. D. 1988. Risk-Based Premiums for Insurance Guaranty Funds. The Journal of Finance (New York), 43(4), 823–839.Dickson, David C.M, & Waters, Howard R. 2004. Some Optimal Dividends Problems. ASTIN bulletin, 34(1), 49–74.Dong, Ming (Ivy), Gruendl, Helmut, & Schluetter, Sebastian. 2015. Is the Risk-Based Mechanism Always Better? The Risk Shifting Behavior of Insurers under Different Guarantee Schemes. Journal of Insurance Issues, 38(1), 72–95.Duncan, M. P. 1987. Property-Liability Post-Assessment Guaranty Funds. Issues in Insurance, 2, 239–302.Eisenberg, Julia, & Schmidli, Hanspeter. 2009. Optimal Control of Capital Injections by Reinsurance in a Diffusion Approximation. Blätter Deutsche Gesellschaft für Versicherungs- und Finanzmathematik, 30(1), 1–13.Eisenberg, Julia, & Schmidli, Hanspeter. 2011. Minimizing Expected Discounted Capital Injections by Reinsurance in a Classical Risk Model. Scandinavian Actuarial Journal, 2011(3), 155–176.Filipović, Damir, Kremslehner, Robert, & Muermann, Alexander. 2015. Optimal Investment and Premium Policies Under Risk Shifting and Solvency Regulation. The Journal of Risk and Insurance, 82(2), 261–288.Finetti, B. D. 1957. Su una Impostazione Alternativa Della Teoria Collettiva del Rischio. Transactions of the XVth International Congress of Actuaries, 2, 433–443.Gatzert, Nadine, & Schmeiser, Hato. 2008. Combining Fair Pricing and Capital Requirements for Non-life Insurance Companies. Journal of Banking & Finance, 32(12), 2589–2596.Grosen, Anders, & Jørgensen, Peter Løchte. 2002. Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework. The Journal of Risk and Insurance, 69(1), 63–91.Han, Li-Ming, Lai, Gene C, & Witt, Robert C. 1997. A Financial-economic Evaluation of Insurance Guaranty Fund System: An Agency Cost Perspective. Journal of Banking & Finance, 21(8), 1107–1129.Hwang, Ya-Wen, Chang, Shih-Chieh, & Wu, Yang-Che. 2015. Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty. North American Actuarial Journal, 19(2), 94–115.Jeanblanc, Monique, Yor, Marc, & Chesney, Marc. 2009. Mathematical Methods for Financial Markets. Springer Finance. London: Springer London.Kulenko, Natalie, & Schmidli, Hanspeter. 2008. Optimal Dividend Strategies in a Cramér–Lundberg Model with Capital Injections. Insurance, Mathematics & Economics, 43(2), 270–278.Lee, Shih-Cheng, Lee, Jin-Ping, & Yu, Min-Teh. 2005. Bank Capital Forbearance and Valuation of Deposit Insurance. Canadian Journal of Administrative Sciences, 22(3), 220–229.MacMinn, Richard D, & Witt, Robert C. 1987. A Financial Theory of the Insurance Firm Under Uncertainty and Regulatory Constraints. The Geneva Risk and Insurance Review, 12(1), 3–20.McCabe, George M, & Witt, Robert C. 1980. Insurance Pricing and Regulation under Uncertainty: A Chance-Constrained Approach. The Journal of Risk and Insurance, 47(4), 607–635.Nie, Ciyu, Dickson, David C. M, & Li, Shuanming. 2011. Minimizing the Ruin Probability through Capital Injections. Annals of Actuarial Science, 5(2), 195–209.Nie, Ciyu, Dickson, David C. M, &Li, Shuanming. 2015. The Finite Time Ruin Probability in a Risk Model with Capital Injections. Scandinavian Actuarial Journal, 2015(4), 301–318.Vasicek, Oldrich. 1977. An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188.Yang, Shang-Yin, Hwang, Ya-Wen, & Chang, Shih-Chieh Bill. 2012. The Bankruptcy Cost of the Life Insurance Industry Under Regulatory Forbearance: An Embedded Option Approach. North American Actuarial Journal, 16(4), 513–523.Yao, Dingjun, Yang, Hailiang, & Wang, Rongming. 2011. Optimal Dividend and Capital Injection Problem in the Dual Model with Proportional and Fixed Transaction Costs. European Journal of Operational Research, 211(3), 568–576.Zhao, Yongxia, Wang, Rongming, Yao, Dingjun, & Chen, Ping. 2015. Optimal Dividends and Capital Injections in the Dual Model with a Random Time Horizon. Journal of Optimization Theory and Applications, 167(1), 272–295.Zhou, Ming, & Yuen, Kam C. 2012. Optimal Reinsurance and Dividend for a Diffusion Model with Capital Injection: Variance Premium Principle. Economic Modelling, 29(2), 198–207. 描述 碩士
國立政治大學
風險管理與保險學系
108358010資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108358010 資料類型 thesis dc.contributor.advisor 張士傑 zh_TW dc.contributor.advisor Chang, Shih-Chieh en_US dc.contributor.author (作者) 白晴羽 zh_TW dc.contributor.author (作者) Pai, Ching-Yu en_US dc.creator (作者) 白晴羽 zh_TW dc.creator (作者) Pai, Ching-Yu en_US dc.date (日期) 2021 en_US dc.date.accessioned 1-七月-2021 18:16:04 (UTC+8) - dc.date.available 1-七月-2021 18:16:04 (UTC+8) - dc.date.issued (上傳時間) 1-七月-2021 18:16:04 (UTC+8) - dc.identifier (其他 識別碼) G0108358010 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/135945 - 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) 108358010 zh_TW dc.description.abstract (摘要) 我國壽險業在持有大量長期負債的情況下，為獲得足夠的收益率而將大部分資金投資於海外部位，使保險人需承擔極大的匯率風險。近期，由於新冠肺炎的影響，國內外投資利率降低、新台幣升值造成匯損以及IFRS17的引入，皆為壽險業帶來不少影響。為了維持金融體系的穩定，主管機關應謹慎控管保險人的違約風險。故本研究以財團法人保險安定基金（以下簡稱，保險安定基金或安定基金）風險保費作為衡量保險公司違約風險之標準，將利率與匯率的不確定性及相關性納入評價模型，觀察監管干預行為對於提前接管、財務稽核期與監理寬容期間保險人違約風險的影響。本研究將詳細釐清：(1)限期增資計畫對於安定基金風險保費之影響；(2)限縮投資風險對於安定基金風險保費之影響；(3)比較兩項監管干預措施對於不同階段風險保費之影響。研究結果表明：(1)在限期增資計畫中，當保險人增資金額達一定比例時，將能有效降低保險人在財務稽核時期與監理寬容期間的違約風險；(2)限縮投資風險會提高保險人在財務稽核期違約的機率，但仍能降低監理寬容期的風險，整體而言風險保費將緩慢降低；(3)兩種監管干預的行為皆能使保險安定基金風險保費下降，而就風險保費各個組成部分來說，對於降低財務稽核期部分的風險保費，限期增資計畫較限縮投資風險更為有效，而對降低監理寬容期部分的風險保費，限縮投資風險比限期增資計畫較有效。故本研究認為對於控管壽險公司違約風險而言，監理機關應視其財務結構、資產風險以及在不同監管干預措施下所帶來的影響，為保險人制定適當的監管干預策略。 zh_TW dc.description.abstract (摘要) This study investigates the default risk of insurance companies under the regulatory interventions through the capital injection scheme and the risk constrained asset allocation. In our framework, the risk premium of Taiwan Insurance Guaranty Fund is used to measure the default risk of insurance companies, and the uncertainty and correlation of interest rates and exchange rates are incorporated into the premium rating. Then we analyze the impact of regulatory intervention on the insurers` default risk during the early bankruptcy, the financial audit period and the grace period. The main research is: (1) the impact of the capital injection scheme on the risk premium; (2) the impact of the risk constrained asset allocation on the risk premium; (3) the impact of two regulatory interventions on the risk premium of different stages.We find that: (1) in the capital injection scheme, when the amount of injected capital reaches a certain percentage, it will effectively reduce the default risk of the insurer during the financial audit period and grace period; (2) if the risk constrained asset allocation is applied, the insurer`s default risk will increase during the financial audit period, but decrease during the grace period; (3) Both regulatory interventions can reduce the total risk premiums of Taiwan Insurance Guaranty Fund. For the risk premium of the financial audit period, the capital injection scheme is more effective than the risk constrained asset allocation. But for the risk premium of the grace period, the risk constrained asset allocation is more effective. Therefore, this study believes that for the control of the default risk of life insurance companies, the supervisory authority should develop appropriate regulatory intervention strategies for insurers based on its financial structure, asset risks, and the impact of different regulatory interventions. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機 1第二節 文獻回顧 6第二章 模型架構 8第一節 壽險公司之資產負債結構 8第二節 保險安定基金風險保費評價模型 10第三章 數值分析 22第一節 限期增資計畫 24第二節 限縮投資風險 27第四章 結論 30參考文獻 32 zh_TW dc.format.extent 1082124 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108358010 en_US dc.subject (關鍵詞) 安定基金 zh_TW dc.subject (關鍵詞) 風險保費 zh_TW dc.subject (關鍵詞) 監理干預 zh_TW dc.subject (關鍵詞) 增資 zh_TW dc.subject (關鍵詞) 資產分配 zh_TW dc.subject (關鍵詞) Guaranty fund en_US dc.subject (關鍵詞) Risk premium en_US dc.subject (關鍵詞) Regulatory intervention en_US dc.subject (關鍵詞) Capital injection en_US dc.subject (關鍵詞) Asset allocation en_US dc.title (題名) 監理干預對於人壽保險公司違約風險之評估分析 zh_TW dc.title (題名) Analysis of Regulatory Intervention on the Default Risk of Life Insurance Companies en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Avanzi, Benjamin, Shen, Jonathan, & Wong, Bernard. 2011. Optimal Dividends and Capital Injections in the Dual Model with Diffusion. ASTIN bulletin, 41(2), 611–644.Boulier, Jean-François, Huang, ShaoJuan, & Taillard, Grégory. 2001. Optimal Management under Stochastic Interest Rates: The Case of a Protected Defined Contribution Pension Fund. Insurance, Mathematics & Economics, 28(2), 173–189.Briys, Eric, & De Varenne, François. 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, Eric, & De Varenne, François. 1997. On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls. The Journal of Risk and Insurance, 64(4), 673–694.Chang, S.C., Lee, Y.K., & Tzeng, Y.Y. 2020. Yield-Hungry Life Insurers’ Currency Hedging and Fair Premiums under the Impact of Regulatory Schemes. Paper read at 2020 World Risk and Insurance Economics Congress (WRIEC), Virtual Meeting, August.Chang, Shih-Chieh Bill, & Lee, Yen-Kuan. 2020. Currency Uncertainty, Interest Guarantee, and Risk-Based Premiums in Life Insurance Guaranty Schemes. Asia-Pacific Journal of Risk and Insurance, 14(2).Chen, An, & Hieber, Peter.2016. Optimal Asset Allocation in Life Insurance: the Impact of Regulation. ASTIN bulletin, 46(3), 605–626.Chen, An, & Suchanecki, Michael. 2007. Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities. Insurance, Mathematics & Economics, 40(2), 231–255.Chen, An, Hieber, Peter, & Lämmlein, Lars. 2020. Regulatory Measures for Distressed Insurance Undertakings: a Comparative Study. Scandinavian Actuarial Journal, 2020(1), 30–43.Cummins, J. D. 1988. Risk-Based Premiums for Insurance Guaranty Funds. The Journal of Finance (New York), 43(4), 823–839.Dickson, David C.M, & Waters, Howard R. 2004. Some Optimal Dividends Problems. ASTIN bulletin, 34(1), 49–74.Dong, Ming (Ivy), Gruendl, Helmut, & Schluetter, Sebastian. 2015. Is the Risk-Based Mechanism Always Better? The Risk Shifting Behavior of Insurers under Different Guarantee Schemes. Journal of Insurance Issues, 38(1), 72–95.Duncan, M. P. 1987. Property-Liability Post-Assessment Guaranty Funds. Issues in Insurance, 2, 239–302.Eisenberg, Julia, & Schmidli, Hanspeter. 2009. Optimal Control of Capital Injections by Reinsurance in a Diffusion Approximation. Blätter Deutsche Gesellschaft für Versicherungs- und Finanzmathematik, 30(1), 1–13.Eisenberg, Julia, & Schmidli, Hanspeter. 2011. Minimizing Expected Discounted Capital Injections by Reinsurance in a Classical Risk Model. Scandinavian Actuarial Journal, 2011(3), 155–176.Filipović, Damir, Kremslehner, Robert, & Muermann, Alexander. 2015. Optimal Investment and Premium Policies Under Risk Shifting and Solvency Regulation. The Journal of Risk and Insurance, 82(2), 261–288.Finetti, B. D. 1957. Su una Impostazione Alternativa Della Teoria Collettiva del Rischio. Transactions of the XVth International Congress of Actuaries, 2, 433–443.Gatzert, Nadine, & Schmeiser, Hato. 2008. Combining Fair Pricing and Capital Requirements for Non-life Insurance Companies. Journal of Banking & Finance, 32(12), 2589–2596.Grosen, Anders, & Jørgensen, Peter Løchte. 2002. Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework. The Journal of Risk and Insurance, 69(1), 63–91.Han, Li-Ming, Lai, Gene C, & Witt, Robert C. 1997. A Financial-economic Evaluation of Insurance Guaranty Fund System: An Agency Cost Perspective. Journal of Banking & Finance, 21(8), 1107–1129.Hwang, Ya-Wen, Chang, Shih-Chieh, & Wu, Yang-Che. 2015. Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty. North American Actuarial Journal, 19(2), 94–115.Jeanblanc, Monique, Yor, Marc, & Chesney, Marc. 2009. Mathematical Methods for Financial Markets. Springer Finance. London: Springer London.Kulenko, Natalie, & Schmidli, Hanspeter. 2008. Optimal Dividend Strategies in a Cramér–Lundberg Model with Capital Injections. Insurance, Mathematics & Economics, 43(2), 270–278.Lee, Shih-Cheng, Lee, Jin-Ping, & Yu, Min-Teh. 2005. Bank Capital Forbearance and Valuation of Deposit Insurance. Canadian Journal of Administrative Sciences, 22(3), 220–229.MacMinn, Richard D, & Witt, Robert C. 1987. A Financial Theory of the Insurance Firm Under Uncertainty and Regulatory Constraints. The Geneva Risk and Insurance Review, 12(1), 3–20.McCabe, George M, & Witt, Robert C. 1980. Insurance Pricing and Regulation under Uncertainty: A Chance-Constrained Approach. The Journal of Risk and Insurance, 47(4), 607–635.Nie, Ciyu, Dickson, David C. M, & Li, Shuanming. 2011. Minimizing the Ruin Probability through Capital Injections. Annals of Actuarial Science, 5(2), 195–209.Nie, Ciyu, Dickson, David C. M, &Li, Shuanming. 2015. The Finite Time Ruin Probability in a Risk Model with Capital Injections. Scandinavian Actuarial Journal, 2015(4), 301–318.Vasicek, Oldrich. 1977. An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188.Yang, Shang-Yin, Hwang, Ya-Wen, & Chang, Shih-Chieh Bill. 2012. The Bankruptcy Cost of the Life Insurance Industry Under Regulatory Forbearance: An Embedded Option Approach. North American Actuarial Journal, 16(4), 513–523.Yao, Dingjun, Yang, Hailiang, & Wang, Rongming. 2011. Optimal Dividend and Capital Injection Problem in the Dual Model with Proportional and Fixed Transaction Costs. European Journal of Operational Research, 211(3), 568–576.Zhao, Yongxia, Wang, Rongming, Yao, Dingjun, & Chen, Ping. 2015. Optimal Dividends and Capital Injections in the Dual Model with a Random Time Horizon. Journal of Optimization Theory and Applications, 167(1), 272–295.Zhou, Ming, & Yuen, Kam C. 2012. Optimal Reinsurance and Dividend for a Diffusion Model with Capital Injection: Variance Premium Principle. Economic Modelling, 29(2), 198–207. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202100633 en_US
