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題名 升息循環下人壽保險公司匯率避險有效性
The Effectiveness of Currency Hedging of Life Insurance Companies Under the Environment of Rising Interest Rates作者 邱子恩
Chiu, Tzu-En貢獻者 張士傑
邱子恩
Chiu, Tzu-En關鍵詞 利變型壽險商品
匯率避險策略
資產負債比
虧損風險
ISL
Currency hedging strategies
Asset-liability ratio
Shortfall risk日期 2023 上傳時間 2-Aug-2023 14:23:43 (UTC+8) 摘要 為釐清在升息的市場情況下，不同匯率避險策略之有效性，本研究建立資本市場情境且納入匯率模型。假設壽險公司以銷售市占率最高的利率變動型壽險商品為主，基於資產負債管理並加入避險工具，於不同避險情境模擬保險公司的現金流並計算股東權益。透過10,000次模擬之數值進行分析，估算在不同避險策略下，壽險公司發行利變型壽險商品之虧損風險，並進行差異說明。研究考慮換匯交易避險工具並試算成本，分析降低避險比率對於壽險業匯率風險之影響，並評估不同匯率避險策略之有效性。結果顯示：1. 在升息的市場情況下，降低直接避險比率不會讓壽險業之虧損機率及虧損嚴重程度增加。2. 關於避險策略，研究證實滾動式避險是更彈性的避險方式，同時在直接避險成本高昂時，以美元指數相關貨幣組成替代避險工具可減少壽險公司之違約風險。3. 除調整避險策略外，研究發現在升息的市場情況下，降低資產負債比或提高匯兌損失沖抵準備金的比率可降低虧損風險。
In order to clarify the effectiveness of the variance currency hedging strategies under rising interest rates, this study incorporate the exchange rate into the capital market model. It assumes that life insurance companies mainly sell interest-sensitive life (ISL) insurance policies, which have the highest market share. By incorporating hedging tools into asset-liability management, cash flow simulations are conducted for varying hedging scenarios and shareholders` equity is calculated. Through 10,000 simulations, this study estimates the shortfall risk associated with various hedging strategies, demonstrating the effectiveness of currency hedging.This study considers the costs associated with foreign exchange swaps and aims to investigate whether reducing the hedging ratio indeed increases the currency risk faced by life insurance companies. The simulation results indicate:1. By reducing the hedging ratio under rising interest rates does not increase the shortfall risk of the life insurance companies.2. Regarding the hedging strategy, this study confirms that rolling hedging is a more flexible approach, such that when the cost of direct hedging is high, one can consider the use of US dollar index-related currencies as an alternative hedging tool to reduce the shortfall risk.3. In addition to adjusting the hedging strategy, this study finds that under rising interest rates, reducing the asset-liability ratio or increasing the exchange loss reserve’s offset ratio is beneficial for reducing the shortfall risk.參考文獻 文獻資料涂登才、劉祥熹（2012）。跳躍擴散與隨機波動模型下台指選擇權之評價－快速傅立葉轉換之應用。管理與系統， 19（2），頁 201-230。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、鄭宗記、張元晨（2019）。匯率風險對我國壽險業經營之短中長期影響。非科技部委託之專題研究成果報告。台北市：財團法人台北外匯市場發展基金會。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。Andersen, L. (2008). Simple and efficient simulation of the Heston stochastic volatility model. The journal of computational finance, 11(3), 1-42.Ballotta, L., Haberman, S., & Wang, N. (2006). Guarantees in with-profit and unitized with-profit life insurance contracts: Fair valuation problem in presence of the default option. Journal of Risk and Insurance, 73(1), 97-121.Björk, T. (2020). Arbitrage theory in continuous time (Fourth ed.). Oxford: Oxford University Press.Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. The Journal of political economy, 81(3), 637-654.Chang, S. C., Lee, Y. K., Hsuan, 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), 1-16.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. v. (2009). A square root process for modelling correlation. University of Wuppertal, Wuppertal.Gouriéroux, C., & Valéry, P. (2004). Estimation of a jacobi process. Preprint, 116, 1-67.Grosen, A., & Jorgensen, P. L. (2000). Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. Insurance Mathematics & Economics, 26(1), 37-57.Grosen, A., & Jorgensen, 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.Haberman, S., Ballotta, L., & Wang, N. (2003). Modelling and valuation of guarantees in with-profit and unitised with profit life insurance contracts. Insurance Mathematics & Economics, 33(2), 444-445.Hao, J. C. (2011). The pricing for interest sensitive products of life insurance firms. Modern Economy, 2(03), 194-202.Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. 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 & decision sciences, 8(1), 1-14.Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3(1-2), 125-144.Miao, Z. (2018). CIR modeling of interest rates. Linnaeus University, southern Sweden.Moodley, N. (2005). The heston model: A practical approach with matlab code. University of Witwatersrand, Johannesburg.Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177-188.Zeytun, S., & Gupta, A. (2007). A comparative study of the Vasicek and the CIR model of the short rate. Fraunhofer-Institut für Techno- und Wirtschaftsmathematik, Fraunhofer (ITWM).網路資料金管會保險局網頁，111年1月至12月保險業損益、淨值，以及兌換損益、避險損益與外匯價格變動準備金情形。檢自https://www.ib.gov.tw/ch/home.jsp?id=239&parentpath=0,2,238&mcustomize=news_list.jsp（2023年5月21日）。金管會保險局網頁，金管會近日將發布修正「人身保險業外匯價格變動準備金應注意事項」第二點、第三點。檢自https://www.ib.gov.tw/ch/home.jsp?id=239&parentpath=0,2,238&mcustomize=news_view.jsp&dataserno=202303160004&toolsflag=Y&dtable=News（2023年5月21日）。政府資料開放平台，銀行間市場新臺幣對美元收盤匯率。檢自https://data.gov.tw/en/datasets/7232（2023年5月21日）。財金M平方網頁，美國-BBB級公司債實際收益率。檢自：https://www.macromicro.me/charts/14165/us-corporate-bbb-effective-yield （2023年5月21日）。Investing.com. Taiwan 10-Year Bond Yield. Retrieved from https://www.investing.com/rates-bonds/taiwan-10-year-bond-yield (May 21, 2023).Investing.com. United States 10-Year Bond Yield. Retrieved from https://www.investing.com/rates-bonds/u.s.-10-year-bond-yield (May 21, 2023).Investing.com. US Dollar Index (USDX). Retrieved from https://www.investing.com/currencies/us-dollar-index (May 21, 2023).Investing.com. USD/TWD - US Dollar Taiwan Dollar. Retrieved from https://cn.investing.com/currencies/usd-twd-historical-data (May 21, 2023). 描述 碩士
國立政治大學
風險管理與保險學系
110358014資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110358014 資料類型 thesis dc.contributor.advisor 張士傑 zh_TW dc.contributor.author (Authors) 邱子恩 zh_TW dc.contributor.author (Authors) Chiu, Tzu-En en_US dc.creator (作者) 邱子恩 zh_TW dc.creator (作者) Chiu, Tzu-En en_US dc.date (日期) 2023 en_US dc.date.accessioned 2-Aug-2023 14:23:43 (UTC+8) - dc.date.available 2-Aug-2023 14:23:43 (UTC+8) - dc.date.issued (上傳時間) 2-Aug-2023 14:23:43 (UTC+8) - dc.identifier (Other Identifiers) G0110358014 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146654 - 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) 110358014 zh_TW dc.description.abstract (摘要) 為釐清在升息的市場情況下，不同匯率避險策略之有效性，本研究建立資本市場情境且納入匯率模型。假設壽險公司以銷售市占率最高的利率變動型壽險商品為主，基於資產負債管理並加入避險工具，於不同避險情境模擬保險公司的現金流並計算股東權益。透過10,000次模擬之數值進行分析，估算在不同避險策略下，壽險公司發行利變型壽險商品之虧損風險，並進行差異說明。研究考慮換匯交易避險工具並試算成本，分析降低避險比率對於壽險業匯率風險之影響，並評估不同匯率避險策略之有效性。結果顯示：1. 在升息的市場情況下，降低直接避險比率不會讓壽險業之虧損機率及虧損嚴重程度增加。2. 關於避險策略，研究證實滾動式避險是更彈性的避險方式，同時在直接避險成本高昂時，以美元指數相關貨幣組成替代避險工具可減少壽險公司之違約風險。3. 除調整避險策略外，研究發現在升息的市場情況下，降低資產負債比或提高匯兌損失沖抵準備金的比率可降低虧損風險。 zh_TW dc.description.abstract (摘要) In order to clarify the effectiveness of the variance currency hedging strategies under rising interest rates, this study incorporate the exchange rate into the capital market model. It assumes that life insurance companies mainly sell interest-sensitive life (ISL) insurance policies, which have the highest market share. By incorporating hedging tools into asset-liability management, cash flow simulations are conducted for varying hedging scenarios and shareholders` equity is calculated. Through 10,000 simulations, this study estimates the shortfall risk associated with various hedging strategies, demonstrating the effectiveness of currency hedging.This study considers the costs associated with foreign exchange swaps and aims to investigate whether reducing the hedging ratio indeed increases the currency risk faced by life insurance companies. The simulation results indicate:1. By reducing the hedging ratio under rising interest rates does not increase the shortfall risk of the life insurance companies.2. Regarding the hedging strategy, this study confirms that rolling hedging is a more flexible approach, such that when the cost of direct hedging is high, one can consider the use of US dollar index-related currencies as an alternative hedging tool to reduce the shortfall risk.3. In addition to adjusting the hedging strategy, this study finds that under rising interest rates, reducing the asset-liability ratio or increasing the exchange loss reserve’s offset ratio is beneficial for reducing the shortfall risk. en_US dc.description.tableofcontents 摘要 iAbstract ii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 研究方法 10第二章 文獻回顧 12第三章 模型架構 17第一節 資本市場情境 17第二節 負債模型 21第三節 避險工具 24第四節 經濟資產負債模型 28第五節 違約風險評估 28第四章 實證結果 31第一節 參數估計與設定 31第二節 模擬過程 35第三節 分析結果 44第五章 結論與建議 52參考文獻 54 zh_TW dc.format.extent 2274924 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110358014 en_US dc.subject (關鍵詞) 利變型壽險商品 zh_TW dc.subject (關鍵詞) 匯率避險策略 zh_TW dc.subject (關鍵詞) 資產負債比 zh_TW dc.subject (關鍵詞) 虧損風險 zh_TW dc.subject (關鍵詞) ISL en_US dc.subject (關鍵詞) Currency hedging strategies en_US dc.subject (關鍵詞) Asset-liability ratio en_US dc.subject (關鍵詞) Shortfall risk en_US dc.title (題名) 升息循環下人壽保險公司匯率避險有效性 zh_TW dc.title (題名) The Effectiveness of Currency Hedging of Life Insurance Companies Under the Environment of Rising Interest Rates en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 文獻資料涂登才、劉祥熹（2012）。跳躍擴散與隨機波動模型下台指選擇權之評價－快速傅立葉轉換之應用。管理與系統， 19（2），頁 201-230。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、鄭宗記、張元晨（2019）。匯率風險對我國壽險業經營之短中長期影響。非科技部委託之專題研究成果報告。台北市：財團法人台北外匯市場發展基金會。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。Andersen, L. (2008). Simple and efficient simulation of the Heston stochastic volatility model. The journal of computational finance, 11(3), 1-42.Ballotta, L., Haberman, S., & Wang, N. (2006). Guarantees in with-profit and unitized with-profit life insurance contracts: Fair valuation problem in presence of the default option. Journal of Risk and Insurance, 73(1), 97-121.Björk, T. (2020). Arbitrage theory in continuous time (Fourth ed.). Oxford: Oxford University Press.Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. The Journal of political economy, 81(3), 637-654.Chang, S. C., Lee, Y. K., Hsuan, 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), 1-16.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. v. (2009). A square root process for modelling correlation. University of Wuppertal, Wuppertal.Gouriéroux, C., & Valéry, P. (2004). Estimation of a jacobi process. Preprint, 116, 1-67.Grosen, A., & Jorgensen, P. L. (2000). Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. Insurance Mathematics & Economics, 26(1), 37-57.Grosen, A., & Jorgensen, 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.Haberman, S., Ballotta, L., & Wang, N. (2003). Modelling and valuation of guarantees in with-profit and unitised with profit life insurance contracts. Insurance Mathematics & Economics, 33(2), 444-445.Hao, J. C. (2011). The pricing for interest sensitive products of life insurance firms. Modern Economy, 2(03), 194-202.Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options. 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 & decision sciences, 8(1), 1-14.Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous. Journal of Financial Economics, 3(1-2), 125-144.Miao, Z. (2018). CIR modeling of interest rates. Linnaeus University, southern Sweden.Moodley, N. (2005). The heston model: A practical approach with matlab code. University of Witwatersrand, Johannesburg.Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177-188.Zeytun, S., & Gupta, A. (2007). A comparative study of the Vasicek and the CIR model of the short rate. Fraunhofer-Institut für Techno- und Wirtschaftsmathematik, Fraunhofer (ITWM).網路資料金管會保險局網頁，111年1月至12月保險業損益、淨值，以及兌換損益、避險損益與外匯價格變動準備金情形。檢自https://www.ib.gov.tw/ch/home.jsp?id=239&parentpath=0,2,238&mcustomize=news_list.jsp（2023年5月21日）。金管會保險局網頁，金管會近日將發布修正「人身保險業外匯價格變動準備金應注意事項」第二點、第三點。檢自https://www.ib.gov.tw/ch/home.jsp?id=239&parentpath=0,2,238&mcustomize=news_view.jsp&dataserno=202303160004&toolsflag=Y&dtable=News（2023年5月21日）。政府資料開放平台，銀行間市場新臺幣對美元收盤匯率。檢自https://data.gov.tw/en/datasets/7232（2023年5月21日）。財金M平方網頁，美國-BBB級公司債實際收益率。檢自：https://www.macromicro.me/charts/14165/us-corporate-bbb-effective-yield （2023年5月21日）。Investing.com. Taiwan 10-Year Bond Yield. Retrieved from https://www.investing.com/rates-bonds/taiwan-10-year-bond-yield (May 21, 2023).Investing.com. United States 10-Year Bond Yield. Retrieved from https://www.investing.com/rates-bonds/u.s.-10-year-bond-yield (May 21, 2023).Investing.com. US Dollar Index (USDX). Retrieved from https://www.investing.com/currencies/us-dollar-index (May 21, 2023).Investing.com. USD/TWD - US Dollar Taiwan Dollar. Retrieved from https://cn.investing.com/currencies/usd-twd-historical-data (May 21, 2023). zh_TW
