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題名 市場不確定性對人壽保險業避險策略之研究
A Study of Market Uncertainty on Hedging Strategies of Life Insurance Industry作者 李承駿
Li, Cheng-Chun貢獻者 張士傑
李承駿
Li, Cheng-Chun關鍵詞 Vasicek 模型
Heston 模型
匯率避險
資本市場波動
Vasicek Model
Heston Model
Currency Hedging
Capital Market Volatility日期 2022 上傳時間 1-Aug-2022 17:31:55 (UTC+8) 摘要 台灣壽險業長期面對低利率環境，加上國內投資工具有限情況下，增加海外投資的部位，至2022年底國外投資已占資金運用67.2%。匯率風險控管對於壽險業至關重要，良好的匯率避險策略可以有效穩定保險公司的經營。故本研究透過利率變動型壽險商品對保險公司匯率避險策略進行探討。在資本市場情境，以Vasicek模型配適利率變動、以Heston模型模擬股票、以GBM模型模擬匯率，透過均值回歸模型模擬相關係數。釐清: (1)不同匯率避險工具效果 (2)不同時期下壽險業避險策略改變(3)不同經營年期下壽險公司違約風險，及(4)改變預定利率、財務槓桿比率及股債配置比率對於不同避險工具、不同時期、及不同經營年期的敏感度。實證結果顯示: (1)匯率避險工具成效上，外匯價格變動準備金最佳，自然避險與一籃子避險次之，而無本金交割遠期外匯(NDF)最差。(2)股票市場波動程度對於匯率避險的效果影響頗深。當股市波動程度越大時，越不利於壽險業進行匯率風險的控管。(3)經營年期越久，壽險業面臨的違約風險越大，但這可能是由於躉繳的假設所造成。(4)當預定利率越大、槓桿比率越高、股票配置的比率越多，越不利於壽險業的經營。
Taiwan`s life insurance industry has been facing an environment of low interest rates for a long time, coupled with the limited domestic investment tools, it increases the position of foreign investment. In 2022, the proportion of foreign investment reached 67.2%. Therefore, this study discusses the currency hedging strategy of insurance companies through the interest sensitive life policy. In terms of capital market scenarios, the Vasicek model is used to simulate interest rates, the Heston model is used to simulate stocks, the GBM model is used to simulate exchange rates, and the mean-reversion model is used to simulate the correlation coefficient. The main research is: (1) The effect of different currency hedging instruments (2) The changes of currency hedging strategies in different periods (3) The default risk of life insurance companies under different operating periods, and (4) The sensitivity of assumed interest rates, financial leverage ratio and equity-debt allocation ratio to different hedging instruments, different periods, and different operating years.The results show that: (1) Foreign-exchange volatility reserves are the most effective instrument for controlling currency risk, followed by natural hedge and basket hedge, and non-deliverable forward (NDF) is the worst. (2) The volatility of the stock market has a profound impact on the effect of currency hedging. The greater the volatility of the stock market, the more difficult to control the currency risk. (3) The longer the operating period, the greater the default risk faced by the life insurance industry, but this may be caused by the assumption of single payment. (4) When the assumed interest rate is larger, the leverage ratio is higher, and the stock allocation ratio is larger, it is not conducive to the stability of the life insurance industry.參考文獻 一、中文文獻張士傑、黃雅文、洪銳棋、曾暐筑，2018，人壽保險公司之風險及清償能力評估:檢視利率變動型人壽保險，管理學報，35(3)，頁333-354張士傑、張元晨、鄭宗記、曾毓英，2021，台灣壽險業海外投資上限對其資產配置影響之探討，財團法人台北外匯市場發展基金會專題研究計畫陳振桐、梁正德，2010，一籃子避險策略之實證研究，風險管理學報，12(1)，頁133-154蔡政憲、林建智、陳業寧，2017，強化保險業國外投資之匯率風險管理與監理機制之研究，國立政治大學保險業永續發展研究中心二、英文文獻Björk, T., (2009). Arbitrage Theory in Continuous Time (3rd ed.). New York, Oxford University Press.Black, F. & Scholes, M., (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81:637-654.Briys, E. & De Varenne, F. (1994). Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications. The Geneva Papers on Risk and InsuranceTheory, 19(1), 53-72Briys, E. & De Varenne, F. (1997). On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls. Journal of Risk and Insurance, 673-694Chang, S. C., Lee, Y. K., H. W., & Tu, C. Y. (2020). Allocating Overseas: Risk Assessment of Currency Hedging in Taiwan Life Insurance Industry. Asia-Pacific Journal of Risk and Insurance, 14(1), 1-16Chen, A., & Suchanecki, M. (2007). Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities. Insurance: Mathematics and Economics, 40(2), 231-255.Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985). A Theory of the Term Structure of Interest Rates. Econometrica, 53(2), 385-407.Emmerich, C. (2007). A Square Root Process for Modelling Correlation, Dissertation, University of Wuppertal.Gouriéroux, C., & Valéry, P., (2004). Estimation of a Jacobi Process.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.Hao, J. C., (2011). The Pricing for Interest Sensitive Products of Life Insurance Firms, Modern Economy, No.2, 194-202.Heston, S. L., (1993). A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, The Review of Financial Studies, 6(2), 327-343.Mamon, R. S., (2004). Three Ways to Solve for Bond Prices in the Vasicek Model, Journal of Applied Mathematics and Decision Sciences, 8(1), 1-14.Miao, Z., (2018). CIR Modeling of Interest Rates, Linnaeus University, Sweden,Retrieved from http://lnu.diva-portal.org/smash/get/diva2:1270329/FULLTEXT01.pdfMoodley, N., (2005). The Heston Model: A Practical Approach with Matlab Code, In Technical Computing Prague, Working paper.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
風險管理與保險學系
109358011資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109358011 資料類型 thesis dc.contributor.advisor 張士傑 zh_TW dc.contributor.author (Authors) 李承駿 zh_TW dc.contributor.author (Authors) Li, Cheng-Chun en_US dc.creator (作者) 李承駿 zh_TW dc.creator (作者) Li, Cheng-Chun en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Aug-2022 17:31:55 (UTC+8) - dc.date.available 1-Aug-2022 17:31:55 (UTC+8) - dc.date.issued (上傳時間) 1-Aug-2022 17:31:55 (UTC+8) - dc.identifier (Other Identifiers) G0109358011 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/141075 - 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) 109358011 zh_TW dc.description.abstract (摘要) 台灣壽險業長期面對低利率環境，加上國內投資工具有限情況下，增加海外投資的部位，至2022年底國外投資已占資金運用67.2%。匯率風險控管對於壽險業至關重要，良好的匯率避險策略可以有效穩定保險公司的經營。故本研究透過利率變動型壽險商品對保險公司匯率避險策略進行探討。在資本市場情境，以Vasicek模型配適利率變動、以Heston模型模擬股票、以GBM模型模擬匯率，透過均值回歸模型模擬相關係數。釐清: (1)不同匯率避險工具效果 (2)不同時期下壽險業避險策略改變(3)不同經營年期下壽險公司違約風險，及(4)改變預定利率、財務槓桿比率及股債配置比率對於不同避險工具、不同時期、及不同經營年期的敏感度。實證結果顯示: (1)匯率避險工具成效上，外匯價格變動準備金最佳，自然避險與一籃子避險次之，而無本金交割遠期外匯(NDF)最差。(2)股票市場波動程度對於匯率避險的效果影響頗深。當股市波動程度越大時，越不利於壽險業進行匯率風險的控管。(3)經營年期越久，壽險業面臨的違約風險越大，但這可能是由於躉繳的假設所造成。(4)當預定利率越大、槓桿比率越高、股票配置的比率越多，越不利於壽險業的經營。 zh_TW dc.description.abstract (摘要) Taiwan`s life insurance industry has been facing an environment of low interest rates for a long time, coupled with the limited domestic investment tools, it increases the position of foreign investment. In 2022, the proportion of foreign investment reached 67.2%. Therefore, this study discusses the currency hedging strategy of insurance companies through the interest sensitive life policy. In terms of capital market scenarios, the Vasicek model is used to simulate interest rates, the Heston model is used to simulate stocks, the GBM model is used to simulate exchange rates, and the mean-reversion model is used to simulate the correlation coefficient. The main research is: (1) The effect of different currency hedging instruments (2) The changes of currency hedging strategies in different periods (3) The default risk of life insurance companies under different operating periods, and (4) The sensitivity of assumed interest rates, financial leverage ratio and equity-debt allocation ratio to different hedging instruments, different periods, and different operating years.The results show that: (1) Foreign-exchange volatility reserves are the most effective instrument for controlling currency risk, followed by natural hedge and basket hedge, and non-deliverable forward (NDF) is the worst. (2) The volatility of the stock market has a profound impact on the effect of currency hedging. The greater the volatility of the stock market, the more difficult to control the currency risk. (3) The longer the operating period, the greater the default risk faced by the life insurance industry, but this may be caused by the assumption of single payment. (4) When the assumed interest rate is larger, the leverage ratio is higher, and the stock allocation ratio is larger, it is not conducive to the stability of the life insurance industry. 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 8第二章 模型架構 11第一節 資本市場情境 11第二節 負債模型 13第三節 避險工具 15第四節 違約風險評估 17第三章 實證結果 19第一節 模擬方式 19第二節 參數估計結果 23第三節 模擬結果 25第四章 結論與建議 37第一節 結論 37第二節 建議 38參考文獻 39 zh_TW dc.format.extent 2359827 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109358011 en_US dc.subject (關鍵詞) Vasicek 模型 zh_TW dc.subject (關鍵詞) Heston 模型 zh_TW dc.subject (關鍵詞) 匯率避險 zh_TW dc.subject (關鍵詞) 資本市場波動 zh_TW dc.subject (關鍵詞) Vasicek Model en_US dc.subject (關鍵詞) Heston Model en_US dc.subject (關鍵詞) Currency Hedging en_US dc.subject (關鍵詞) Capital Market Volatility en_US dc.title (題名) 市場不確定性對人壽保險業避險策略之研究 zh_TW dc.title (題名) A Study of Market Uncertainty on Hedging Strategies of Life Insurance Industry en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文文獻張士傑、黃雅文、洪銳棋、曾暐筑，2018，人壽保險公司之風險及清償能力評估:檢視利率變動型人壽保險，管理學報，35(3)，頁333-354張士傑、張元晨、鄭宗記、曾毓英，2021，台灣壽險業海外投資上限對其資產配置影響之探討，財團法人台北外匯市場發展基金會專題研究計畫陳振桐、梁正德，2010，一籃子避險策略之實證研究，風險管理學報，12(1)，頁133-154蔡政憲、林建智、陳業寧，2017，強化保險業國外投資之匯率風險管理與監理機制之研究，國立政治大學保險業永續發展研究中心二、英文文獻Björk, T., (2009). Arbitrage Theory in Continuous Time (3rd ed.). New York, Oxford University Press.Black, F. & Scholes, M., (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81:637-654.Briys, E. & De Varenne, F. (1994). Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications. The Geneva Papers on Risk and InsuranceTheory, 19(1), 53-72Briys, E. & De Varenne, F. (1997). On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls. Journal of Risk and Insurance, 673-694Chang, S. C., Lee, Y. K., H. W., & Tu, C. Y. (2020). Allocating Overseas: Risk Assessment of Currency Hedging in Taiwan Life Insurance Industry. Asia-Pacific Journal of Risk and Insurance, 14(1), 1-16Chen, A., & Suchanecki, M. (2007). Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities. Insurance: Mathematics and Economics, 40(2), 231-255.Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985). A Theory of the Term Structure of Interest Rates. Econometrica, 53(2), 385-407.Emmerich, C. (2007). A Square Root Process for Modelling Correlation, Dissertation, University of Wuppertal.Gouriéroux, C., & Valéry, P., (2004). Estimation of a Jacobi Process.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.Hao, J. C., (2011). The Pricing for Interest Sensitive Products of Life Insurance Firms, Modern Economy, No.2, 194-202.Heston, S. L., (1993). A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, The Review of Financial Studies, 6(2), 327-343.Mamon, R. S., (2004). Three Ways to Solve for Bond Prices in the Vasicek Model, Journal of Applied Mathematics and Decision Sciences, 8(1), 1-14.Miao, Z., (2018). CIR Modeling of Interest Rates, Linnaeus University, Sweden,Retrieved from http://lnu.diva-portal.org/smash/get/diva2:1270329/FULLTEXT01.pdfMoodley, N., (2005). The Heston Model: A Practical Approach with Matlab Code, In Technical Computing Prague, Working paper.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/NCCU202200736 en_US
