學術產出-學位論文
| 題名 | 利差對美元計價壽險保單脫退率之分析 Analysis of Interest Rate Spread on the Lapse Rate of US Dollar-denominated Life Policies |
| 作者 | 黃宥芯 Huang, Yu-Hsin |
| 貢獻者 | 張士傑<br>曾毓英 Chang, Shih-Chieh Bill<br>Tzeng, Yu-Ying 黃宥芯 Huang, Yu-Hsin |
| 關鍵詞 | 利率 美元計價 脫退 流動性 反中介 Interest rate US dollar-denominated Lapse Liquidity Disintermediation |
| 日期 | 2025 |
| 上傳時間 | 3-三月-2025 14:36:41 (UTC+8) |
| 摘要 | 台灣壽險業為滿足存續期長與高利率保單需求，擁有高比例海外投資。為因應幣別錯配風險並加強資產負債管理，台灣保險公司推出外幣計價保單商品，其中以美元計價保單銷售占比最高。在COVID-19所引發經濟動盪下，美國聯準會透過大幅升息政策，依此穩定經濟。聯準會大幅升息舉動，導致台灣壽險業美元計價保單脫退率居高不下。脫退率顯著增加情形，可能造成保險公司流動性和反中介的風險。
本研究旨在探討利率差如何影響美元計價保單脫退率，並分析台灣保險公司面臨的流動性風險。研究結果顯示，當美元計價保單的宣告利率與1年期美元定存之利率差大於2%時，保單脫退率維持穩定低點，特別是未滿期保單。而當其利率差低於2%時，保單脫退率隨之提高。當美元計價保單的宣告利率與新台幣計價的20年期美債ETF之利率差大於1%時，保單脫退率維持穩定低點。對於已滿期保單而言，無論是與1年期美元定存或新台幣計價20年期美債ETF利率差分析，對保單脫退的影響皆更為敏感。 Taiwanese insurance industry has a high proportion of overseas investments to meet the long durations and return requirements of life insurance policies. To address currency mismatch risks and enhance asset-liability management, Taiwanese insurers have expanded from issuing exclusively New Taiwan Dollar (NTD)-denominated policies to offering policies in other foreign currencies, with US dollar-denominated policies comprising the majority. Amid the economic disruptions caused by the COVID-19 pandemic, the Federal Reserve implemented significant interest rate hikes, which may have led to increased lapse rates for US dollar-denominated policies. The significant increase in lapse rates has undoubtedly heightened concerns among insurers regarding financial liquidity and disintermediation risks. This study aims to examine how interest rate differentials influence lapse rates of US dollar-denominated policies and to discuss the liquidity risks faced by Taiwanese insurers. The results indicate that when the rate differential between the declared rate of policies and one-year US dollar fixed deposits exceeds 2%, lapse rates remain stable at low levels, particularly for non-matured policies. However, when the differential falls below 2%, lapse rates start to increase. Similarly, when the rate differential between the declared rate of policies and the NT dollar-denominated 20-year US bond ETF exceeds 1%, lapse rates also remain stable at low levels. For matured policies, the lapse rates are found to be more sensitive for both. |
| 參考文獻 | Eling, M., Kochanski, M., 2013. Research on lapse in life insurance: what has been done and what needs to be done? The Journal of Risk Finance 14, 392–413. Miyazaki, K., & Saito, M. (1999). On the market risk involved in the public financial system in Japan: A theoretical and numerical investigation. Journal of Banking & Finance, 23(8), 1243–1259. Kuo, W., Tsai, C., Chen, W.K., 2003. An empirical study on the lapse rate: The cointegration approach. Journal of Risk and Insurance 70(3), 489–508. Kim, C., 2005. Modeling surrender and lapse rates with economic variables. North American Actuarial Journal 9, 56–70. Browne, M. J., Carson, J. M., & Hoyt, R. E., 1999. Economic and Market Predictors of Insolvencies in the Life-Health Insurance Industry.The Journal of Risk and Insurance, 66(4), 643–659. Kiesenbauer, D., 2012. Main determinants of lapse in the German life insurance industry. North American Actuarial Journal 16, 52–73. Albizzati, M.O., Geman, H., 1994. Interest rate risk management and valuation of the surrender option in life insurance policies. Journal of Risk and Insurance, 616–637. Grosen, A., Jørgensen, P.L., 2000. Fair valuation of life insurance liabilities: the impact of interest rate guarantees, surrender options, and bonus policies. Insurance: Mathematics and Economics 26, 37–57. Bacinello, A.R., 2003. Fair valuation of a guaranteed life insurance participating contract embedding a surrender option. Journal of risk and insurance 70, 461–487. Dar, A., Dodds, C., 1989. Interest rates, the emergency fund hypothesis and saving through endowment policies: Some empirical evidence for the U.K. Journal of Risk and Insurance 56(3), 415–433. De Giovanni, D., 2010. Lapse rate modeling: a rational expectation approach. Scandinavian Actuarial Journal 2010, 56–67. Russo, V., Giacometti, R., Fabozzi, F.J., 2017. Intensity-based framework for surrender modeling in life insurance. Insurance: Mathematics and Economics 72, 189–196. |
| 描述 | 碩士 國立政治大學 風險管理與保險學系 111358015 |
| 資料來源 | http://thesis.lib.nccu.edu.tw/record/#G0111358015 |
| 資料類型 | thesis |
| dc.contributor.advisor | 張士傑<br>曾毓英 | zh_TW |
| dc.contributor.advisor | Chang, Shih-Chieh Bill<br>Tzeng, Yu-Ying | en_US |
| dc.contributor.author (作者) | 黃宥芯 | zh_TW |
| dc.contributor.author (作者) | Huang, Yu-Hsin | en_US |
| dc.creator (作者) | 黃宥芯 | zh_TW |
| dc.creator (作者) | Huang, Yu-Hsin | en_US |
| dc.date (日期) | 2025 | en_US |
| dc.date.accessioned | 3-三月-2025 14:36:41 (UTC+8) | - |
| dc.date.available | 3-三月-2025 14:36:41 (UTC+8) | - |
| dc.date.issued (上傳時間) | 3-三月-2025 14:36:41 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0111358015 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/156009 | - |
| 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) | 111358015 | zh_TW |
| dc.description.abstract (摘要) | 台灣壽險業為滿足存續期長與高利率保單需求，擁有高比例海外投資。為因應幣別錯配風險並加強資產負債管理，台灣保險公司推出外幣計價保單商品，其中以美元計價保單銷售占比最高。在COVID-19所引發經濟動盪下，美國聯準會透過大幅升息政策，依此穩定經濟。聯準會大幅升息舉動，導致台灣壽險業美元計價保單脫退率居高不下。脫退率顯著增加情形，可能造成保險公司流動性和反中介的風險。 本研究旨在探討利率差如何影響美元計價保單脫退率，並分析台灣保險公司面臨的流動性風險。研究結果顯示，當美元計價保單的宣告利率與1年期美元定存之利率差大於2%時，保單脫退率維持穩定低點，特別是未滿期保單。而當其利率差低於2%時，保單脫退率隨之提高。當美元計價保單的宣告利率與新台幣計價的20年期美債ETF之利率差大於1%時，保單脫退率維持穩定低點。對於已滿期保單而言，無論是與1年期美元定存或新台幣計價20年期美債ETF利率差分析，對保單脫退的影響皆更為敏感。 | zh_TW |
| dc.description.abstract (摘要) | Taiwanese insurance industry has a high proportion of overseas investments to meet the long durations and return requirements of life insurance policies. To address currency mismatch risks and enhance asset-liability management, Taiwanese insurers have expanded from issuing exclusively New Taiwan Dollar (NTD)-denominated policies to offering policies in other foreign currencies, with US dollar-denominated policies comprising the majority. Amid the economic disruptions caused by the COVID-19 pandemic, the Federal Reserve implemented significant interest rate hikes, which may have led to increased lapse rates for US dollar-denominated policies. The significant increase in lapse rates has undoubtedly heightened concerns among insurers regarding financial liquidity and disintermediation risks. This study aims to examine how interest rate differentials influence lapse rates of US dollar-denominated policies and to discuss the liquidity risks faced by Taiwanese insurers. The results indicate that when the rate differential between the declared rate of policies and one-year US dollar fixed deposits exceeds 2%, lapse rates remain stable at low levels, particularly for non-matured policies. However, when the differential falls below 2%, lapse rates start to increase. Similarly, when the rate differential between the declared rate of policies and the NT dollar-denominated 20-year US bond ETF exceeds 1%, lapse rates also remain stable at low levels. For matured policies, the lapse rates are found to be more sensitive for both. | en_US |
| dc.description.tableofcontents | 1 INTRODUCTION _______6 2 LITERATURE REVIEW ______13 3 METHODOLOGY______17 3.1 Theoretical model _______18 3.1.1 Policy, fixed deposit, and US bond ETF _____18 3.1.2 Lapse rate model _______19 3.2 Parameter variation______19 3.2.1 Partial derivative with respect to 𝐚 ______19 3.2.2 Partial derivative with respect to 𝐛 ______19 3.2.3 Partial derivative with respect to 𝐜_______20 3.2.4 Partial derivative with respect to 𝐝 ______20 4 NUMERICAL ANALYSES _______ 21 4.1 Parameter estimation ______21 4.2 Results _____22 4.2.1 US dollar fixed deposit _____22 4.2.2 NT dollar-denominated 20-year US bond ETF _____24 4.3 Practical Applications and Limitations______26 5 CONCLUDING REMARKS _______29 REFERENCE ______31 | zh_TW |
| dc.format.extent | 1711475 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0111358015 | en_US |
| dc.subject (關鍵詞) | 利率 | zh_TW |
| dc.subject (關鍵詞) | 美元計價 | zh_TW |
| dc.subject (關鍵詞) | 脫退 | zh_TW |
| dc.subject (關鍵詞) | 流動性 | zh_TW |
| dc.subject (關鍵詞) | 反中介 | zh_TW |
| dc.subject (關鍵詞) | Interest rate | en_US |
| dc.subject (關鍵詞) | US dollar-denominated | en_US |
| dc.subject (關鍵詞) | Lapse | en_US |
| dc.subject (關鍵詞) | Liquidity | en_US |
| dc.subject (關鍵詞) | Disintermediation | en_US |
| dc.title (題名) | 利差對美元計價壽險保單脫退率之分析 | zh_TW |
| dc.title (題名) | Analysis of Interest Rate Spread on the Lapse Rate of US Dollar-denominated Life Policies | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | Eling, M., Kochanski, M., 2013. Research on lapse in life insurance: what has been done and what needs to be done? The Journal of Risk Finance 14, 392–413. Miyazaki, K., & Saito, M. (1999). On the market risk involved in the public financial system in Japan: A theoretical and numerical investigation. Journal of Banking & Finance, 23(8), 1243–1259. Kuo, W., Tsai, C., Chen, W.K., 2003. An empirical study on the lapse rate: The cointegration approach. Journal of Risk and Insurance 70(3), 489–508. Kim, C., 2005. Modeling surrender and lapse rates with economic variables. North American Actuarial Journal 9, 56–70. Browne, M. J., Carson, J. M., & Hoyt, R. E., 1999. Economic and Market Predictors of Insolvencies in the Life-Health Insurance Industry.The Journal of Risk and Insurance, 66(4), 643–659. Kiesenbauer, D., 2012. Main determinants of lapse in the German life insurance industry. North American Actuarial Journal 16, 52–73. Albizzati, M.O., Geman, H., 1994. Interest rate risk management and valuation of the surrender option in life insurance policies. Journal of Risk and Insurance, 616–637. Grosen, A., Jørgensen, P.L., 2000. Fair valuation of life insurance liabilities: the impact of interest rate guarantees, surrender options, and bonus policies. Insurance: Mathematics and Economics 26, 37–57. Bacinello, A.R., 2003. Fair valuation of a guaranteed life insurance participating contract embedding a surrender option. Journal of risk and insurance 70, 461–487. Dar, A., Dodds, C., 1989. Interest rates, the emergency fund hypothesis and saving through endowment policies: Some empirical evidence for the U.K. Journal of Risk and Insurance 56(3), 415–433. De Giovanni, D., 2010. Lapse rate modeling: a rational expectation approach. Scandinavian Actuarial Journal 2010, 56–67. Russo, V., Giacometti, R., Fabozzi, F.J., 2017. Intensity-based framework for surrender modeling in life insurance. Insurance: Mathematics and Economics 72, 189–196. | zh_TW |