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題名 負債公允評價下人壽保險公司之系統性風險與破產成本
Systematic Risk and Bankruptcy Cost of Life Insurance Company Employing Fair Value of Insurance Liability作者 張士傑 貢獻者 風管系 關鍵詞 資本監理; 資產跳躍模型; 隱含選擇權; 道德風險; 資本寬容
fair premium; jump diffusion; stochastic volatility; regulatory forbearance日期 2017-04 上傳時間 17-Jun-2026 15:55:22 (UTC+8) 摘要 本研究延伸Yang, Hwang 與Chang (2012) 與Hwang, Chang 與Wu (2014) (相關研究見 Merton 1977, Ronn and Verma 1986, Marcus 1987, Cummins 1988, Duan and Yu 1994, 1999, Duan et al. 1995, Duan and Simonato 2002, Lee et al. 2005, Duan and Yu 2005, Hwang et al. 2009, Chen 2011 等)，給定資本清償監理限制下保險人資產配置與違約關聯性，假設負 債導向基金之資產低於給定負債時，即進行相關監理程序，以往研究僅考量機構法人資 產負債呈現線性關係之假設(如資產<某比例負債)，本研究將新增加資產與負債之限制函 數以表示風險資本監理之效果，諸如考量現行之保險業風險基礎資本(RBC)制度，嘗試加 入內部模型方法，給定隱含限制條件評估風險資本監理對於違約成本之影響。 本研究嘗試建立考量反映市場系統風險之資產跳躍模型假設資產指標收益隨機模型， 以Merton (1976)的常態跳躍隨機擴散模型與Kou (2002)所建立的雙指數跳躍模型(Double Exponential Jump Process)為參考依據，探討保險人投資決策如何影響資產配置，分析與違 約成本關連性。於數值實證分析部分，將嘗試依台灣人壽保險市場之公司資產負債資訊 建立模型，依隱含選擇權模型分析投資風險與違約成本於基金資產配置效果與投資能力 之影響。資本市場假設將納入資產隨機波動模型描述風險資產之市場風險，反映保險公 司所持有資產之實際交易風險，用以表達策略性資產配置之風險測度，並計算保險人風 險偏好對於基金違約價值影響程度，而為實際反映特許金融事業之資本監理效果，也將 道德風險與監理資本寬容等因素，於數值計算時納入模型。
Recently, the guaranty charge levied by the Taiwan Insurance Guaranty Fund (TIGF) to insurance companies has been revised through the risk-‐based premium scheme and bringing the question of whether such policy is adequate to protect policyholders in time of need. In this study, we extend the works in Yang, Hwang and Chang (2012) and Hwang, Chang and Wu (2014) (also see Merton 1977, Cummins 1988, Duan and Yu 1994, 1999, Duan et al. 1995, Chen 2011 and others), the risk-‐weighted sliding scale of policy reserves as a basis for the contribution to the TIGF is evaluated based on fair value of insurance liability, as a way to mitigate moral hazard in insurers with a lower credit rating and to protect other insurers from further systemic risks. The stochastic diffusion model with Gaussian jumps in Merton (1976) and the double exponential jump process in Kou (2002) are employed in modeling the systematic risks. In order to achieve the above, we take a further look at the following, 1) through Monte Carlo simulations, a detailed cash flow of an insurer’s asset allocation can be used to present the risk preference of the life insurer. 2) By incorporating jump diffusion and stochastic volatility in our equity model to reflect the increasing volatility that life insurers encounter in the capital market. 3) By introducing regulatory forbearance from the Regulator as an external factor and its effects on the life insurance industry.關聯 科技部, MOST104-2410-H004-032, 104.08-105.07 資料類型 report dc.contributor 風管系 dc.creator (作者) 張士傑 dc.date (日期) 2017-04 dc.date.accessioned 17-Jun-2026 15:55:22 (UTC+8) - dc.date.available 17-Jun-2026 15:55:22 (UTC+8) - dc.date.issued (上傳時間) 17-Jun-2026 15:55:22 (UTC+8) - dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=182994 - dc.description.abstract (摘要) 本研究延伸Yang, Hwang 與Chang (2012) 與Hwang, Chang 與Wu (2014) (相關研究見 Merton 1977, Ronn and Verma 1986, Marcus 1987, Cummins 1988, Duan and Yu 1994, 1999, Duan et al. 1995, Duan and Simonato 2002, Lee et al. 2005, Duan and Yu 2005, Hwang et al. 2009, Chen 2011 等)，給定資本清償監理限制下保險人資產配置與違約關聯性，假設負 債導向基金之資產低於給定負債時，即進行相關監理程序，以往研究僅考量機構法人資 產負債呈現線性關係之假設(如資產<某比例負債)，本研究將新增加資產與負債之限制函 數以表示風險資本監理之效果，諸如考量現行之保險業風險基礎資本(RBC)制度，嘗試加 入內部模型方法，給定隱含限制條件評估風險資本監理對於違約成本之影響。 本研究嘗試建立考量反映市場系統風險之資產跳躍模型假設資產指標收益隨機模型， 以Merton (1976)的常態跳躍隨機擴散模型與Kou (2002)所建立的雙指數跳躍模型(Double Exponential Jump Process)為參考依據，探討保險人投資決策如何影響資產配置，分析與違 約成本關連性。於數值實證分析部分，將嘗試依台灣人壽保險市場之公司資產負債資訊 建立模型，依隱含選擇權模型分析投資風險與違約成本於基金資產配置效果與投資能力 之影響。資本市場假設將納入資產隨機波動模型描述風險資產之市場風險，反映保險公 司所持有資產之實際交易風險，用以表達策略性資產配置之風險測度，並計算保險人風 險偏好對於基金違約價值影響程度，而為實際反映特許金融事業之資本監理效果，也將 道德風險與監理資本寬容等因素，於數值計算時納入模型。 dc.description.abstract (摘要) Recently, the guaranty charge levied by the Taiwan Insurance Guaranty Fund (TIGF) to insurance companies has been revised through the risk-‐based premium scheme and bringing the question of whether such policy is adequate to protect policyholders in time of need. In this study, we extend the works in Yang, Hwang and Chang (2012) and Hwang, Chang and Wu (2014) (also see Merton 1977, Cummins 1988, Duan and Yu 1994, 1999, Duan et al. 1995, Chen 2011 and others), the risk-‐weighted sliding scale of policy reserves as a basis for the contribution to the TIGF is evaluated based on fair value of insurance liability, as a way to mitigate moral hazard in insurers with a lower credit rating and to protect other insurers from further systemic risks. The stochastic diffusion model with Gaussian jumps in Merton (1976) and the double exponential jump process in Kou (2002) are employed in modeling the systematic risks. In order to achieve the above, we take a further look at the following, 1) through Monte Carlo simulations, a detailed cash flow of an insurer’s asset allocation can be used to present the risk preference of the life insurer. 2) By incorporating jump diffusion and stochastic volatility in our equity model to reflect the increasing volatility that life insurers encounter in the capital market. 3) By introducing regulatory forbearance from the Regulator as an external factor and its effects on the life insurance industry. dc.format.extent 116 bytes - dc.format.mimetype text/html - dc.relation (關聯) 科技部, MOST104-2410-H004-032, 104.08-105.07 dc.subject (關鍵詞) 資本監理; 資產跳躍模型; 隱含選擇權; 道德風險; 資本寬容 dc.subject (關鍵詞) fair premium; jump diffusion; stochastic volatility; regulatory forbearance dc.title (題名) 負債公允評價下人壽保險公司之系統性風險與破產成本 dc.title (題名) Systematic Risk and Bankruptcy Cost of Life Insurance Company Employing Fair Value of Insurance Liability dc.type (資料類型) report
