學術產出-Theses
Article View/Open
Publication Export
-
題名 監理寬容下保險安定基金公平費率
Fair Insurance Guaranty Premium in the Presence of Regulatory Forbearance作者 鄭力瑀
Cheng, Li Yu貢獻者 張士傑
Chang, Shih Chieh
鄭力瑀
Cheng, Li Yu關鍵詞 公平費率
隨機波動
跳躍過程
監理寬容
fair premium
stochastic volatility
jump diffusion
regulatory forbearance日期 2011 上傳時間 30-Oct-2012 11:24:41 (UTC+8) 摘要 受2008年金融海嘯影響，人壽保險業因資本及信用市場之系統性風險而導致帳列資產價值大幅減損，進一步影響壽險公司清償能力，而主管機關為兼顧審慎監理與市場穩定原則，而採行資本監理寬容措施，卻使得資本不足之保險公司缺口擴大。另外，保險安定基金以保費為基礎徵收單一費率，加劇保險公司間交叉補貼之情形。因此，如何透過以責任準備金為基礎，計算公平合理之風險差別費率，以避免產生影響其他保險公司正常經營之系統性風險，抑或引發保險公司道德風險，為本文研究之主要議題。 本文與過去文獻主要之差異為：(1) 資產模型依資產配置方式，使用蒙地卡羅模擬詳盡現金流路徑，著重於描述壽險業之情境；(2) 股票型風險性資產加入跳躍過程 (Jump) 與隨機波動兩種情境，以表達壽險業資產端承受資本市場變動加劇之風險；(3) 考慮政府監理寬容措施，以描述主管機關對於壽險業監理態度。 依蒙地卡羅模擬法試算保險安定基金公平費率，研究結果發現：(1)監理寬容期限增加時，安定基金公平費率增加；(2)監理標準提高，安定基金公平費率有先降後升之效果；(3)保險公司財務槓桿比例增加時，安定基金公平費率上升。
Due to the global financial crisis in 2008 that resulted in systematic risks in the equity and credit market, it creates significant deprecation in the life insurers’ balance sheet which affect insurers’ solvency. In order to retain prudent supervision and market stability, the authority has announced capital temporal relief plan that may make insolvency insurer worse. Recent occurrences of financial distress to some insurers have raised questions about whether the current guaranty system that charge a flat levy rate in premium-based is adequate to protect policyholders. A risk-weighted levy rate in reserve-based has been proposed to establish reasonable contribution method which can avoid high risk insurers’ moral hazard and protect the other insurers from further systematic risks.A brief summary of the advantages of this paper is listed below：(1) By Monte Carol simulation method, detailed cash flow of insurer’s asset allocation can be used to describe the risk preference of life insurer. (2) Our stock model incorporates jump diffusion and stochastic volatility in order to reflect that life insurers face increasing volatility in capital market. (3) Consider regulatory forbearance to represent government’s attitude to life insurers.We calculate fair guaranty premium through Monte Carol simulation method. We find that： (1) Fair premium increases as extending the period of regulatory forbearance. (2) As regulatory criterion raises fair premium decreases at first, but increases if regulatory criterion reaches certain level. (3) Increasing leverage ratio of the insurer results in increasing fair premium.參考文獻 Broeders, D.W.G.A., and A. Chen (2010), Pension Regulation and the Market Value of Pension Liabilities - A Contingent Claims Analysis Using Parisian options, Journal of Banking and Finance 34(6): 1201-1214.Chang,S.C. (1999), Option Pension Funding through Dynamic Simulations : the Case of Taiwan Public Employees Retirement System, Insurance: Mathematics and Economics 24,187-199.Cox, J, Ingersoll, J., Ross, S. (1985), The Term Structure of Interest Rates. Econometrica 53,363-384.Cooperstein, R., Pennacchi, G., Redburn, S. (1995), The Aggregate Cost of Deposit Insurance: A Multiperiod Analysis. Journal of Financial Intermediation 4, 242-271.Cummins, J.D. (1988), Risk-Based Premiums for Insurance Guaranty Funds. Journal of Finance 43, 593-607.Cummins, J.D., Harrington, S.E., Klein, R. (1995) Insolvency Experience, Risk-Based Capital, and Prompt Corrective Action in Property-Liability Insurance. Journal of Banking and Finance 19, 511-527.Duan, J.C. and Yeh, C.Y. (2011), Price and Volatility Dynamics Implied by the VIX Term Structure. Working Paper, National University of Singapore .Duan, J.C. and Yu, M.T. (2005),Fair Insurance Guaranty Premia in the Presence of Risk-Based Capital Regulations, Stochastic Interest Rate and Catastrophe Risk. Journal of Banking and Finance 29, 2435–2454.Duan, J.C., Moreau, A., Sealey, C.W. (1995), Deposit Insurance and Bank Interest Rate Risk: Pricing and Regulatory Implications. Journal of Banking and Finance 19, 1091-1108.Duan, J.C., Simonato, J.G. (1999), Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter. Review of Quantitative Finance and Accounting 13,111-135.Duan, J.C. and Yu, M.T. (1994), Forbearance and Pricing Deposit Insurance in a Multiperiod Framework, Journal of Risk and Insurance 61, 575-591.Duan, J.C. and Yu, M.T. (1999), Capital Standard, Forbearance and Deposit Insurance Coverage Under GARCH. Journal of Banking and Finance 23, 1691-1706.Grace, M., Harrington, S., and Klein, R., (1998), Risk-Based Capital and Solvency Screening in Property-Liability Insurance: Hypotheses and Empirical Tests. Journal of Risk and Insurance 65, 213-243.Han, L.-M., Lai, G.C., and Witt, R.C. (1997), A Financial-Economic Evaluation of Insurance Guaranty Fund System: An Agency Cost Perspective. Journal of Banking and Finance 21, 1107-1129.Heston, S. (1993), A closed-form solutions for options with stochastic volatility, Reviewof Financial Studies, 6, 327–343.Heath, D., Jarrow,R., and Morton,A. (1992), Bond Pricing and the Term of Interest Rates: A New Methodology for Contingent Claims Valuation. Journal of the Econometric Society Vol. 60, No.1,Jan1992, pp. 77-105.Kou, S. G. (2002), A Jump – Diffusion Model for Option Pricing. Management Science INFORMS Vol. 48, No. 8, August 2002. pp. 1086–1101.Lee, S.J., Mayers, D., and Smith, C.W. (1997), Guaranty Funds and Risk-Taking Evidence from the Insurance Industry. Journal of Financial Economics 44, 3-24.McCulloch, J.H. (1985), Interest-Risk Sensitive Deposit Insurance Premia. Journal of Banking and Finance 9, 137-156.Merton, R.C. (1976), Option Prices When Underlying Stock Returns Are Discontinuous . Journal of Financial Economics 3, 125-44.Merton, R.C. (1977). An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantee. Journal of Banking and Finance 1, 3-11.Merton, R.C. (1978), On the Cost of Deposit Insurance When There are Surveillance Costs. Journal of Business 51, 439-451.Pennacchi, G. (1987a), Alternative Forms of Deposit Insurance: Pricing and Bank Incentive Issues. Journal of Banking and Finance 11, 291-312.Pennacchi, G. (1987b), A Reexamination of the Over- (or Under-) Pricing of Deposit Insurance. Journal of Money, Credit and Banking 19, 340-360.Ramezani, C.A., and Zeng, Y. (2006), Maximum Likelihood Estimation of the Double Exponential Jump-Diffusion Process. Annals of Finance, 3,487-507.Ronn, E., and Verma, A. (1986), Pricing Risk-Adjusted Deposit Insurance: An Option - Based Model. Journal of Finance 41, 871-895. 描述 碩士
國立政治大學
風險管理與保險研究所
99358022
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099358022 資料類型 thesis dc.contributor.advisor 張士傑 zh_TW dc.contributor.advisor Chang, Shih Chieh en_US dc.contributor.author (Authors) 鄭力瑀 zh_TW dc.contributor.author (Authors) Cheng, Li Yu en_US dc.creator (作者) 鄭力瑀 zh_TW dc.creator (作者) Cheng, Li Yu en_US dc.date (日期) 2011 en_US dc.date.accessioned 30-Oct-2012 11:24:41 (UTC+8) - dc.date.available 30-Oct-2012 11:24:41 (UTC+8) - dc.date.issued (上傳時間) 30-Oct-2012 11:24:41 (UTC+8) - dc.identifier (Other Identifiers) G0099358022 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54600 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 風險管理與保險研究所 zh_TW dc.description (描述) 99358022 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 受2008年金融海嘯影響，人壽保險業因資本及信用市場之系統性風險而導致帳列資產價值大幅減損，進一步影響壽險公司清償能力，而主管機關為兼顧審慎監理與市場穩定原則，而採行資本監理寬容措施，卻使得資本不足之保險公司缺口擴大。另外，保險安定基金以保費為基礎徵收單一費率，加劇保險公司間交叉補貼之情形。因此，如何透過以責任準備金為基礎，計算公平合理之風險差別費率，以避免產生影響其他保險公司正常經營之系統性風險，抑或引發保險公司道德風險，為本文研究之主要議題。 本文與過去文獻主要之差異為：(1) 資產模型依資產配置方式，使用蒙地卡羅模擬詳盡現金流路徑，著重於描述壽險業之情境；(2) 股票型風險性資產加入跳躍過程 (Jump) 與隨機波動兩種情境，以表達壽險業資產端承受資本市場變動加劇之風險；(3) 考慮政府監理寬容措施，以描述主管機關對於壽險業監理態度。 依蒙地卡羅模擬法試算保險安定基金公平費率，研究結果發現：(1)監理寬容期限增加時，安定基金公平費率增加；(2)監理標準提高，安定基金公平費率有先降後升之效果；(3)保險公司財務槓桿比例增加時，安定基金公平費率上升。 zh_TW dc.description.abstract (摘要) Due to the global financial crisis in 2008 that resulted in systematic risks in the equity and credit market, it creates significant deprecation in the life insurers’ balance sheet which affect insurers’ solvency. In order to retain prudent supervision and market stability, the authority has announced capital temporal relief plan that may make insolvency insurer worse. Recent occurrences of financial distress to some insurers have raised questions about whether the current guaranty system that charge a flat levy rate in premium-based is adequate to protect policyholders. A risk-weighted levy rate in reserve-based has been proposed to establish reasonable contribution method which can avoid high risk insurers’ moral hazard and protect the other insurers from further systematic risks.A brief summary of the advantages of this paper is listed below：(1) By Monte Carol simulation method, detailed cash flow of insurer’s asset allocation can be used to describe the risk preference of life insurer. (2) Our stock model incorporates jump diffusion and stochastic volatility in order to reflect that life insurers face increasing volatility in capital market. (3) Consider regulatory forbearance to represent government’s attitude to life insurers.We calculate fair guaranty premium through Monte Carol simulation method. We find that： (1) Fair premium increases as extending the period of regulatory forbearance. (2) As regulatory criterion raises fair premium decreases at first, but increases if regulatory criterion reaches certain level. (3) Increasing leverage ratio of the insurer results in increasing fair premium. en_US dc.description.tableofcontents 摘要 IIAbstract III 目錄 IV圖目錄 V表目錄 VI 第一章 緒論 1第一節 研究動機與目的 1第二節 文獻回顧 4第二章 資產負債模型 6第一節 利率模型 6第二節 資產模型 6第三節 負債模型 10第三章 保險安定基金公平保費 12第四章 數值分析 15第一節 模擬方法 15第二節 參數估計 16第三節 數值結果 18第五章 結論與建議 27參考文獻 29附錄 31 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099358022 en_US dc.subject (關鍵詞) 公平費率 zh_TW dc.subject (關鍵詞) 隨機波動 zh_TW dc.subject (關鍵詞) 跳躍過程 zh_TW dc.subject (關鍵詞) 監理寬容 zh_TW dc.subject (關鍵詞) fair premium en_US dc.subject (關鍵詞) stochastic volatility en_US dc.subject (關鍵詞) jump diffusion en_US dc.subject (關鍵詞) regulatory forbearance en_US dc.title (題名) 監理寬容下保險安定基金公平費率 zh_TW dc.title (題名) Fair Insurance Guaranty Premium in the Presence of Regulatory Forbearance en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Broeders, D.W.G.A., and A. Chen (2010), Pension Regulation and the Market Value of Pension Liabilities - A Contingent Claims Analysis Using Parisian options, Journal of Banking and Finance 34(6): 1201-1214.Chang,S.C. (1999), Option Pension Funding through Dynamic Simulations : the Case of Taiwan Public Employees Retirement System, Insurance: Mathematics and Economics 24,187-199.Cox, J, Ingersoll, J., Ross, S. (1985), The Term Structure of Interest Rates. Econometrica 53,363-384.Cooperstein, R., Pennacchi, G., Redburn, S. (1995), The Aggregate Cost of Deposit Insurance: A Multiperiod Analysis. Journal of Financial Intermediation 4, 242-271.Cummins, J.D. (1988), Risk-Based Premiums for Insurance Guaranty Funds. Journal of Finance 43, 593-607.Cummins, J.D., Harrington, S.E., Klein, R. (1995) Insolvency Experience, Risk-Based Capital, and Prompt Corrective Action in Property-Liability Insurance. Journal of Banking and Finance 19, 511-527.Duan, J.C. and Yeh, C.Y. (2011), Price and Volatility Dynamics Implied by the VIX Term Structure. Working Paper, National University of Singapore .Duan, J.C. and Yu, M.T. (2005),Fair Insurance Guaranty Premia in the Presence of Risk-Based Capital Regulations, Stochastic Interest Rate and Catastrophe Risk. Journal of Banking and Finance 29, 2435–2454.Duan, J.C., Moreau, A., Sealey, C.W. (1995), Deposit Insurance and Bank Interest Rate Risk: Pricing and Regulatory Implications. Journal of Banking and Finance 19, 1091-1108.Duan, J.C., Simonato, J.G. (1999), Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter. Review of Quantitative Finance and Accounting 13,111-135.Duan, J.C. and Yu, M.T. (1994), Forbearance and Pricing Deposit Insurance in a Multiperiod Framework, Journal of Risk and Insurance 61, 575-591.Duan, J.C. and Yu, M.T. (1999), Capital Standard, Forbearance and Deposit Insurance Coverage Under GARCH. Journal of Banking and Finance 23, 1691-1706.Grace, M., Harrington, S., and Klein, R., (1998), Risk-Based Capital and Solvency Screening in Property-Liability Insurance: Hypotheses and Empirical Tests. Journal of Risk and Insurance 65, 213-243.Han, L.-M., Lai, G.C., and Witt, R.C. (1997), A Financial-Economic Evaluation of Insurance Guaranty Fund System: An Agency Cost Perspective. Journal of Banking and Finance 21, 1107-1129.Heston, S. (1993), A closed-form solutions for options with stochastic volatility, Reviewof Financial Studies, 6, 327–343.Heath, D., Jarrow,R., and Morton,A. (1992), Bond Pricing and the Term of Interest Rates: A New Methodology for Contingent Claims Valuation. Journal of the Econometric Society Vol. 60, No.1,Jan1992, pp. 77-105.Kou, S. G. (2002), A Jump – Diffusion Model for Option Pricing. Management Science INFORMS Vol. 48, No. 8, August 2002. pp. 1086–1101.Lee, S.J., Mayers, D., and Smith, C.W. (1997), Guaranty Funds and Risk-Taking Evidence from the Insurance Industry. Journal of Financial Economics 44, 3-24.McCulloch, J.H. (1985), Interest-Risk Sensitive Deposit Insurance Premia. Journal of Banking and Finance 9, 137-156.Merton, R.C. (1976), Option Prices When Underlying Stock Returns Are Discontinuous . Journal of Financial Economics 3, 125-44.Merton, R.C. (1977). An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantee. Journal of Banking and Finance 1, 3-11.Merton, R.C. (1978), On the Cost of Deposit Insurance When There are Surveillance Costs. Journal of Business 51, 439-451.Pennacchi, G. (1987a), Alternative Forms of Deposit Insurance: Pricing and Bank Incentive Issues. Journal of Banking and Finance 11, 291-312.Pennacchi, G. (1987b), A Reexamination of the Over- (or Under-) Pricing of Deposit Insurance. Journal of Money, Credit and Banking 19, 340-360.Ramezani, C.A., and Zeng, Y. (2006), Maximum Likelihood Estimation of the Double Exponential Jump-Diffusion Process. Annals of Finance, 3,487-507.Ronn, E., and Verma, A. (1986), Pricing Risk-Adjusted Deposit Insurance: An Option - Based Model. Journal of Finance 41, 871-895. zh_TW
