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題名 人壽保險公司之風險及清償能力評估：檢視利率變動型壽險
Risk and Solvency Assessment of the Life Insurer: an Examination of the Interest-Sensitive Life Insurance Policies作者 張士傑 貢獻者 風管系 關鍵詞 資本監理; 資產配置; 違約成本; 道德風險; 資本寬容
capital regulation; asset allocation; default cost; moral hazard; regulatory forbearance日期 2018-05 上傳時間 17-Jun-2026 15:55:23 (UTC+8) 摘要 本次計畫延伸Yang, Hwang 與Chang (2012) 與Hwang, Chang 與Wu (2015) 研究架構(相關壽險研究見Merton 1977, Ronn and Verma 1986, Marcus 1987, Cummins 1988, Lee et al. 2005, Gerstner et al., 2008, Hwang et al. 2009, Chen 2011, Fischer and Schlütter, 2015 等)，針對台灣保險新契約市場佔有率最高的利率變動 型人壽保險契約為研究對象，給定資本監理下保險公司資產配置與違約成本 關聯性，本研究將增加資產與負債之限制函數表示風險資本監理之效果，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系統風險下資本市場之收益隨機模型，採用Heston(1993) 提出的隨機波動模型，模擬股票波動以反映市場的系統性風險，探討保險人投資 決策如何反映於資產配置，分析與違約成本關連性。嘗試依台灣人壽保險市場之 利率變動型保險建立模型，依隱含選擇權分析違約成本於基金資產配置與投資 績效之影響。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，也將道德風險與監理寬容等因素，於數值計算時納入考量。
In this study, we extend the works in Yang, Hwang and Chang (2012) and Hwang, Chang and Wu (2015) (also see Merton 1977, Ronn and Verma 1986, Marcus 1987, Cummins 1988, Lee et al. 2005, Gerstner et al., 2008, Hwang et al. 2009, Chen 2011, Fischer and Schlütter, 2015 and others). Through examining the interest-‐sensitive life insurance policies under the current capital regulation framework, the dynamic asset and liability model and the associated asset allocation are constructed in modeling the default cost of the insurers. 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 to protect other insurers from further systemic risks. The stochastic volatility model in Heston (1993) is employed in modeling the systematic risks from the equity market. In order to achieve the above goals, we also take a further look at the following: 1) Through Monte Carlo simulations, a detailed cash flow of an insurer’s asset allocation can be employed to present the risk preference of the life insurer. 2) By incorporating stochastic volatility proposed in Heston (1993) 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 and moral hazard induced throughout the industry as an external factor and its effects on the life insurance industry.關聯 科技部, MOST105-2410-H004-062, 105.08-106.07 資料類型 report dc.contributor 風管系 dc.creator (作者) 張士傑 dc.date (日期) 2018-05 dc.date.accessioned 17-Jun-2026 15:55:23 (UTC+8) - dc.date.available 17-Jun-2026 15:55:23 (UTC+8) - dc.date.issued (上傳時間) 17-Jun-2026 15:55:23 (UTC+8) - dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=182995 - dc.description.abstract (摘要) 本次計畫延伸Yang, Hwang 與Chang (2012) 與Hwang, Chang 與Wu (2015) 研究架構(相關壽險研究見Merton 1977, Ronn and Verma 1986, Marcus 1987, Cummins 1988, Lee et al. 2005, Gerstner et al., 2008, Hwang et al. 2009, Chen 2011, Fischer and Schlütter, 2015 等)，針對台灣保險新契約市場佔有率最高的利率變動 型人壽保險契約為研究對象，給定資本監理下保險公司資產配置與違約成本 關聯性，本研究將增加資產與負債之限制函數表示風險資本監理之效果，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系統風險下資本市場之收益隨機模型，採用Heston(1993) 提出的隨機波動模型，模擬股票波動以反映市場的系統性風險，探討保險人投資 決策如何反映於資產配置，分析與違約成本關連性。嘗試依台灣人壽保險市場之 利率變動型保險建立模型，依隱含選擇權分析違約成本於基金資產配置與投資 績效之影響。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，也將道德風險與監理寬容等因素，於數值計算時納入考量。 dc.description.abstract (摘要) In this study, we extend the works in Yang, Hwang and Chang (2012) and Hwang, Chang and Wu (2015) (also see Merton 1977, Ronn and Verma 1986, Marcus 1987, Cummins 1988, Lee et al. 2005, Gerstner et al., 2008, Hwang et al. 2009, Chen 2011, Fischer and Schlütter, 2015 and others). Through examining the interest-‐sensitive life insurance policies under the current capital regulation framework, the dynamic asset and liability model and the associated asset allocation are constructed in modeling the default cost of the insurers. 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 to protect other insurers from further systemic risks. The stochastic volatility model in Heston (1993) is employed in modeling the systematic risks from the equity market. In order to achieve the above goals, we also take a further look at the following: 1) Through Monte Carlo simulations, a detailed cash flow of an insurer’s asset allocation can be employed to present the risk preference of the life insurer. 2) By incorporating stochastic volatility proposed in Heston (1993) 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 and moral hazard induced throughout the industry 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, MOST105-2410-H004-062, 105.08-106.07 dc.subject (關鍵詞) 資本監理; 資產配置; 違約成本; 道德風險; 資本寬容 dc.subject (關鍵詞) capital regulation; asset allocation; default cost; moral hazard; regulatory forbearance dc.title (題名) 人壽保險公司之風險及清償能力評估：檢視利率變動型壽險 dc.title (題名) Risk and Solvency Assessment of the Life Insurer: an Examination of the Interest-Sensitive Life Insurance Policies dc.type (資料類型) report
