| dc.contributor | 風管系 | |
| dc.creator (作者) | 張士傑 | |
| dc.date (日期) | 2019-05 | |
| dc.date.accessioned | 17-Jun-2026 15:55:25 (UTC+8) | - |
| dc.date.available | 17-Jun-2026 15:55:25 (UTC+8) | - |
| dc.date.issued (上傳時間) | 17-Jun-2026 15:55:25 (UTC+8) | - |
| dc.identifier.uri (URI) | https://ah.lib.nccu.edu.tw/item?item_id=182996 | - |
| dc.description.abstract (摘要) | 本次探討外幣計價債券提前贖回選擇對於人壽保險公司當期損益與資產負債 表淨值之影響，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 Schlutter, 2015等），基於保單契約負債組合的特性，人壽保險公司為 主要台幣固定收益市場中的買方。但是，基於台灣寬鬆貨幣政策的低利率環境， 人壽保險公司基於負債組合之資金成本考量，為求較佳之市場超額報酬，壽險公 司因此大量購買外幣固定收益有價證券，而此類外幣債券多附有提前贖回條件， 因所屬幣別與台幣市場利率的變動，將使壽險公司暴露於顯著的利率與匯率風 險。
同時提前贖回選擇權將縮短固定收益證券的存續期間，顯著增加再投資 (reinvestment risk)的風險，加大資產與負債錯置的效果。因此，本研究嘗試透過 建立連續動態模型，分析外幣計價固定收益證券提前贖回條件，對於發行大量利 率敏感型人壽商品之保險公司的下檔風險(shortfall risk)，而透過建立動態資產負 債模型，可針對此類固定收益證券標的，評估人壽保險公司所承受的市場、匯率 風險與流動性風險，建立下檔風險的管控機制。 | |
| dc.description.abstract (摘要) | In this study, the callable risk in foreign denominated bond (or Formosa bond) investment to the net worth of the balance sheet of the life insurers are investigated. 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 Schlutter, 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 shortfall risk of the insurers. The stochastic volatility model in Heston (1993) is employed in modeling the systematic risks from the equity market. The interest risk and currency risk are also examined in our model to examine the reinvestment risk.
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 currency risk and stochastic volatility in our model to reflect the reinvestment risk that life insurers encounter in the capital market.
3) By introducing call risk and capital regulatory as an external factor and its effects on the balance sheet and economic capital of the life insurers. | |
| dc.format.extent | 116 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | 科技部, MOST106-2410-H004-059, 106.08-107.07 | |
| dc.subject (關鍵詞) | 負債組合; 利率風險; 匯率風險; 再投資風險; 下檔風險 | |
| dc.subject (關鍵詞) | liability portfolio; interest risk; currency risk; reinvestment risk; shortfall risk | |
| dc.title (題名) | 納入外幣計價債券提前贖回選擇權之人壽保險公司資產負債動態模型 | |
| dc.title (題名) | Dynamic Asset-Liability Modeling of the Life Insurer Incorporating Callable Option in Foreign-Denominated Bond Investment | |
| dc.type (資料類型) | report | |
