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題名 廣義財務模型於保險公司資產配置與破產成本之研究
Asset allocation and bankruptcy problems of insurance company in general financial models
作者 楊尚穎
Yang, Shang Yin
貢獻者 張士傑
Chang, Shih Chieh
楊尚穎
Yang, Shang Yin
關鍵詞 可預測性
動態學習
最低保證
巴黎式選擇權
濾波器
安定基金
predictability
dynamic learning
minimal guarantee
Parisian option
filtering
guaranty fund
日期 2010
上傳時間 4-Sep-2013 14:58:47 (UTC+8)
摘要 這篇論文研究跨國投資與監理寬容下保險公司之破產問題，同時論文的相關內容簡述於論文第一章中。第二章研究考慮匯率可預測下對跨國投資人資產配置的影響，結果顯示匯率可預測性能有效的提升投資人期末財富。第三章考慮監理寬容下保險公司的破產問題，在美國破產保護法第11章的架構下，保險人與被保險人之權利義務關係，可利用巴黎式選擇權描述，同時建構保證給付指標來衡量不同監理干預準則，數值結果顯示過於寬鬆的監理準則將導致被保險人的財務損失。第四章探討監理寬容下保險安定基金保險費率問題，依照美國破產保護法第11章的架構，安定基金保費可簡化成2個巴黎式選擇權，結果顯示，當前台灣保險單定基金費率有偏低的情形，建議主管機關訂定安定基金費率時需更加謹慎小心。
This thesis focuses on the international portfolio selection and the bankruptcy cost of the insurance company under regulatory forbearance. The main theme of this thesis is outlined in chapter 1, which also serves as an introduction to the three papers (appearing here as Chapter 2, Chapter 3 and Chapter 4) collected in this thesis.
In the theme of the international portfolio selection, Chapter 2 investigates the investment behaviors when learning effect is considered. According to the exchange rate predictability, the investor updates his information and adjusts his portfolio allocation. Finally, the numerical results show that the learning mechanism significantly improves the terminal wealth.
In the theme of the regulatory forbearance, Chapter 3 provides an illustration of the impact on the ruin cost due to regulatory forbearance. The concept of the U.S. Chapter 11 bankruptcy code is employed to determine regulatory forbearance. Throughout the framework of Parisian option, a quantitative index of regulatory forbearance called Guarantee Benefit Index (GBI) is developed. The GBI is used to evaluate the different supervisory intervention criteria i.e., relative and absolute intervention criteria. Finally, numerical analysis is performed to illustrate the influence of different financial factors and the intervention criteria.
Another important issue in bankruptcy problem is discussed in Chapter 4, i.e., the cost of insurance guaranty fund. It is important to determine the cost of bankruptcy when the insolvent insurance company is took over by the government. Under the U.S. Chapter 11 bankruptcy code, the cost of guaranty fund can be determined through Parisian options. Results show that the current premium rates of Taiwan insurance guarantee fund are far from risk sensitive. Hence the results suggest the government should more prudent to face the bankruptcy problem in insurance industry.
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Allen, H. and M. P. Taylor, 1992, “Chartist Analysis,” In: Milgate, M., Newman, P., Eatwell, J. (Eds.), The New Palgrave Dictionary of Money and Finance. MacMillan, London.
Andersen, L. and R. Brotherton-Ratcliffe, 1996, “Exact exotics,” Risk 9, 85–89.
Anderson, R. W. and S. M. Sundaresan, 1996, “The design and valuation of debt contracts,” Review of Financial Studies 9, 37–68.
Azéma, J. and M. Yor, 1989, “Etude d`une martingale remarquable,” In: Séminaire de Probabilités XXIIILectures Notes in Math. vol. 1372, Springer, Berlin, pp. 88–130.
Avellaneda, M. and L. Wu, 1999, “Pricing Parisian-style options with a lattice method,” International Journal of Theoretical and Applied Finance 2, 1–16.
Barberis, N., 2000, “Investing for the Long Run when Returns are Predictable,” Journal of Finance 55, 225-264.
Bawa, V. S., S. J. Brown, and R. W. Klein, 1979, “Estimation Risk and Optimal Portfolio Choice,” North-Holland, New York.
Bernard, C., O. Le Courtois and F. Quittard-Pinon, 2005a, “Market value of life insurance contracts under stochastic interest rates and default risk,” Insurance: Mathematics and Economics 36, 499–516.
Bernard, C., O. Le Courtois and F. Quittard-Pinon, 2005b, “A new procedure for pricing Parisian options,” The Journal of Derivatives 12, 45-53.
Bernard, C., O. Le Courtois and F. Quittard-Pinon, 2006, “Development and pricing of a new participating contract,” North American Actuarial Journal 10, 179–195.
Black, F. and M. Scholes, 1973, “The pricing of options and corporate liabilities,” Journal of Political Economy 81, 637-654.
Black, F. and J. C. Cox, 1976, “Valuing corporate securities: Some effects of bond indenture provisions,” Journal of Finance 31, 351–367.
Brandt, M. W., 1999, “Estimating Portfolio and Consumption Choice: A Conditional Euler Equation Approach,” Journal of Finance 54, 1609-1645.
Brennan, M. J., E.S. Schwartz, and R. Lagnado, 1997, “Strategic Asset Allocation,” Journal of Economic Dynamics and Control 21, 1377-1403.
Brewer III, E., T. S. Mondschean, and P. E. Strahan, 1997, “The role of monitoring in reducing the moral hazard problem associated with government guarantees: evidence from the life insurance industry,” Journal of Risk and Insurance 64, 301–322.
Briys, E. and F. de Varenne, 1994, “Life insurance in a contingent claim framework: Pricing and regulatory implications,” Geneva Papers on Risk and Insurance Theory 19, 53-72.
Briys, E. and F. de Varenne, 1997, “On the risk of insurance liabilities: Debunking some common pitfalls,” Journal of Risk and Insurance 64, 673-694.
Campbell, J. Y., and L. M. Viceira, 1999, “Consumption and Portfolio Decisions when Expected Returns are Time Varying,” Quarterly Journal of Economics 114, 433-495..
Chen, A. and M. Suchanecki, 2007, “Default risk, bankruptcy procedures and the market value of life insurance liabilities,” Insurance: Mathematics and Economics 40, 231-255.
Chesney, M., M. Jeanblanc-Picqué and M. Yor, 1997, “Brownian excursions and Parisian barrier options,” Advances in Applied Probability 29, 165-184.
Cheung, Y.-W., M. D. Chinn, 1999, “Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders,” NBER Working paper No. 7417.
Costabile, M., 2002, “A combinatorial approach for pricing Parisian options,” Decisions in Economics and Finance 25, 111-125
Cox, J. and C. F. Huang, 1989, “Optimal Consumption and Portfolio Polices when Asset Prices follow a Diffusion Process,” Journal of Economic Theory 49, 33-83.
Cox, J. and C. F. Huang, 1991, “A Variational Problem arisen in Financial Economics,” Journal of Mathematical Economics 20, 465-487
Cummins, J. D., 1988, “Risk-based premiums for insurance guaranty funds,” Journal of Finance 43, 823-839.
Detemple, J. B., 1986, “Asset Pricing in a Production Economy with Incomplete Information,” Journal of Finance 41, 383-391.
Dothan, M. U., and F. David, 1986, “Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy,” Journal of Finance 41, 369-382.
Downs, D. H., and D. W. Sommer, 1999, “Monitoring, Ownership, and Risk-Taking: The Impact of Guaranty Funds,” Journal of Risk and Insurance 66, 477-497.
Duan, J.C. and M. T. Yu, 2005, “Fair insurance guaranty premia in the presence of risk-based capital regulations, stochastic interest rat and catastrophe risk,” Journal of Banking and Finance 29, 2435–2454.
Duffie, J. D. and C. F. Huang, 1985, “Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-lived Securities,” Econometrica 53 1337-1356.
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Goldstein, R., N. Ju and H. Leland, 2001, “An EBIT-based model of dynamic capital structure,” Journal of Business 74, 483–512.
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Haber, R. J., P. J. Schonbucher and P. Wilmott, 1999, “Pricing Parisian options,” The Journal of Derivatives 6, 71–79.
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Karatzas, I., J. P. Lehoczky, and S. Shreve, 1987. “Optimal Portfolio and Consumption Decisions for a Small Investor on a finite horizon," SIAM Journal of Control and Optimization 25, 1557-1586.
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描述 博士
國立政治大學
風險管理與保險研究所
94358505
99
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0094358505
資料類型 thesis
dc.contributor.advisor 張士傑zh_TW
dc.contributor.advisor Chang, Shih Chiehen_US
dc.contributor.author (Authors) 楊尚穎zh_TW
dc.contributor.author (Authors) Yang, Shang Yinen_US
dc.creator (作者) 楊尚穎zh_TW
dc.creator (作者) Yang, Shang Yinen_US
dc.date (日期) 2010en_US
dc.date.accessioned 4-Sep-2013 14:58:47 (UTC+8)-
dc.date.available 4-Sep-2013 14:58:47 (UTC+8)-
dc.date.issued (上傳時間) 4-Sep-2013 14:58:47 (UTC+8)-
dc.identifier (Other Identifiers) G0094358505en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60036-
dc.description (描述) 博士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) 94358505zh_TW
dc.description (描述) 99zh_TW
dc.description.abstract (摘要) 這篇論文研究跨國投資與監理寬容下保險公司之破產問題，同時論文的相關內容簡述於論文第一章中。第二章研究考慮匯率可預測下對跨國投資人資產配置的影響，結果顯示匯率可預測性能有效的提升投資人期末財富。第三章考慮監理寬容下保險公司的破產問題，在美國破產保護法第11章的架構下，保險人與被保險人之權利義務關係，可利用巴黎式選擇權描述，同時建構保證給付指標來衡量不同監理干預準則，數值結果顯示過於寬鬆的監理準則將導致被保險人的財務損失。第四章探討監理寬容下保險安定基金保險費率問題，依照美國破產保護法第11章的架構，安定基金保費可簡化成2個巴黎式選擇權，結果顯示，當前台灣保險單定基金費率有偏低的情形，建議主管機關訂定安定基金費率時需更加謹慎小心。zh_TW
dc.description.abstract (摘要) This thesis focuses on the international portfolio selection and the bankruptcy cost of the insurance company under regulatory forbearance. The main theme of this thesis is outlined in chapter 1, which also serves as an introduction to the three papers (appearing here as Chapter 2, Chapter 3 and Chapter 4) collected in this thesis.
In the theme of the international portfolio selection, Chapter 2 investigates the investment behaviors when learning effect is considered. According to the exchange rate predictability, the investor updates his information and adjusts his portfolio allocation. Finally, the numerical results show that the learning mechanism significantly improves the terminal wealth.
In the theme of the regulatory forbearance, Chapter 3 provides an illustration of the impact on the ruin cost due to regulatory forbearance. The concept of the U.S. Chapter 11 bankruptcy code is employed to determine regulatory forbearance. Throughout the framework of Parisian option, a quantitative index of regulatory forbearance called Guarantee Benefit Index (GBI) is developed. The GBI is used to evaluate the different supervisory intervention criteria i.e., relative and absolute intervention criteria. Finally, numerical analysis is performed to illustrate the influence of different financial factors and the intervention criteria.
Another important issue in bankruptcy problem is discussed in Chapter 4, i.e., the cost of insurance guaranty fund. It is important to determine the cost of bankruptcy when the insolvent insurance company is took over by the government. Under the U.S. Chapter 11 bankruptcy code, the cost of guaranty fund can be determined through Parisian options. Results show that the current premium rates of Taiwan insurance guarantee fund are far from risk sensitive. Hence the results suggest the government should more prudent to face the bankruptcy problem in insurance industry.		en_US
dc.description.tableofcontents Abstract 1
Chapter 1 Introduction 3
Chapter 2 Exchange Rate Predictability in International Portfolio Selection 8
2.1. Introduction 8
2.2. The Market Framework and the Model 14
2.3. Learning Process 18
2.4. The Martingale Method 23
2.5. The Optimization Program 24
2.6. A Simplified Example Revisited 27
2.7. Numerical illustration 37
2.8. Conclusion 53
Chapter 3 Too Big to Fail or Too Small to Save: Regulatory Forbearance and Guarantee Benefits in Taiwan’s Life Insurance Market 56
3.1. Introduction 56
3.2. Contract specification and Guarantee Benefit Index 61
3.2.1. Contract specification 61
3.2.2. Market environment 64
3.2.3. Quantitative index of regulatory forbearance 66
3.3. Relative and Absolute intervention criterion 70
3.4. Numerical analysis 75
3.4.3. Scenario analysis 78
3.4.3.1. The effects of riskless interest rate and minimal guarantee interest rate 78
3.4.3.2. The effect of asset volatility 80
3.4.3.3. The effect of different intervention criterion 81
3.5. Conclusion 82
Chapter 4 An Analysis of the Bankruptcy Cost of Insurance Guaranty Fund under Regulatory Forbearance 84
4.1. Introduction and Motivation 84
4.1.1. Legacy Issues 87
4.1.2. Government Intervention and Forbearance 88
4.1.3. Literature Review of Bankruptcy Problem 89
4.2. The Model 94
4.2.1. Market Framework 94
4.2.2. Cost of Insurance Guaranty Fund 97
4.3. Numerical analysis 101
4.4. Conclusion 115
Appendix A 117
Appendix A.1 117
Appendix A.2 Parameter values used in numerical analysis 120
Appendix A.3 Glossary of the notations 121
Appendix B 124
Appendix C: cost of bankruptcy of Guaranty fund 129
Reference 131		zh_TW
dc.format.extent 1351274 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0094358505en_US
dc.subject (關鍵詞) 可預測性zh_TW
dc.subject (關鍵詞) 動態學習zh_TW
dc.subject (關鍵詞) 最低保證zh_TW
dc.subject (關鍵詞) 巴黎式選擇權zh_TW
dc.subject (關鍵詞) 濾波器zh_TW
dc.subject (關鍵詞) 安定基金zh_TW
dc.subject (關鍵詞) predictabilityen_US
dc.subject (關鍵詞) dynamic learningen_US
dc.subject (關鍵詞) minimal guaranteeen_US
dc.subject (關鍵詞) Parisian optionen_US
dc.subject (關鍵詞) filteringen_US
dc.subject (關鍵詞) guaranty funden_US
dc.title (題名) 廣義財務模型於保險公司資產配置與破產成本之研究zh_TW
dc.title (題名) Asset allocation and bankruptcy problems of insurance company in general financial modelsen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Allen, H. and M. P. Taylor, 1990, “Charts, Noise and Fundamentals in the Foreign Exchange Market,” Economic Journal 100, 49–59.
Allen, H. and M. P. Taylor, 1992, “Chartist Analysis,” In: Milgate, M., Newman, P., Eatwell, J. (Eds.), The New Palgrave Dictionary of Money and Finance. MacMillan, London.
Andersen, L. and R. Brotherton-Ratcliffe, 1996, “Exact exotics,” Risk 9, 85–89.
Anderson, R. W. and S. M. Sundaresan, 1996, “The design and valuation of debt contracts,” Review of Financial Studies 9, 37–68.
Azéma, J. and M. Yor, 1989, “Etude d`une martingale remarquable,” In: Séminaire de Probabilités XXIIILectures Notes in Math. vol. 1372, Springer, Berlin, pp. 88–130.
Avellaneda, M. and L. Wu, 1999, “Pricing Parisian-style options with a lattice method,” International Journal of Theoretical and Applied Finance 2, 1–16.
Barberis, N., 2000, “Investing for the Long Run when Returns are Predictable,” Journal of Finance 55, 225-264.
Bawa, V. S., S. J. Brown, and R. W. Klein, 1979, “Estimation Risk and Optimal Portfolio Choice,” North-Holland, New York.
Bernard, C., O. Le Courtois and F. Quittard-Pinon, 2005a, “Market value of life insurance contracts under stochastic interest rates and default risk,” Insurance: Mathematics and Economics 36, 499–516.
Bernard, C., O. Le Courtois and F. Quittard-Pinon, 2005b, “A new procedure for pricing Parisian options,” The Journal of Derivatives 12, 45-53.
Bernard, C., O. Le Courtois and F. Quittard-Pinon, 2006, “Development and pricing of a new participating contract,” North American Actuarial Journal 10, 179–195.
Black, F. and M. Scholes, 1973, “The pricing of options and corporate liabilities,” Journal of Political Economy 81, 637-654.
Black, F. and J. C. Cox, 1976, “Valuing corporate securities: Some effects of bond indenture provisions,” Journal of Finance 31, 351–367.
Brandt, M. W., 1999, “Estimating Portfolio and Consumption Choice: A Conditional Euler Equation Approach,” Journal of Finance 54, 1609-1645.
Brennan, M. J., E.S. Schwartz, and R. Lagnado, 1997, “Strategic Asset Allocation,” Journal of Economic Dynamics and Control 21, 1377-1403.
Brewer III, E., T. S. Mondschean, and P. E. Strahan, 1997, “The role of monitoring in reducing the moral hazard problem associated with government guarantees: evidence from the life insurance industry,” Journal of Risk and Insurance 64, 301–322.
Briys, E. and F. de Varenne, 1994, “Life insurance in a contingent claim framework: Pricing and regulatory implications,” Geneva Papers on Risk and Insurance Theory 19, 53-72.
Briys, E. and F. de Varenne, 1997, “On the risk of insurance liabilities: Debunking some common pitfalls,” Journal of Risk and Insurance 64, 673-694.
Campbell, J. Y., and L. M. Viceira, 1999, “Consumption and Portfolio Decisions when Expected Returns are Time Varying,” Quarterly Journal of Economics 114, 433-495..
Chen, A. and M. Suchanecki, 2007, “Default risk, bankruptcy procedures and the market value of life insurance liabilities,” Insurance: Mathematics and Economics 40, 231-255.
Chesney, M., M. Jeanblanc-Picqué and M. Yor, 1997, “Brownian excursions and Parisian barrier options,” Advances in Applied Probability 29, 165-184.
Cheung, Y.-W., M. D. Chinn, 1999, “Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders,” NBER Working paper No. 7417.
Costabile, M., 2002, “A combinatorial approach for pricing Parisian options,” Decisions in Economics and Finance 25, 111-125
Cox, J. and C. F. Huang, 1989, “Optimal Consumption and Portfolio Polices when Asset Prices follow a Diffusion Process,” Journal of Economic Theory 49, 33-83.
Cox, J. and C. F. Huang, 1991, “A Variational Problem arisen in Financial Economics,” Journal of Mathematical Economics 20, 465-487
Cummins, J. D., 1988, “Risk-based premiums for insurance guaranty funds,” Journal of Finance 43, 823-839.
Detemple, J. B., 1986, “Asset Pricing in a Production Economy with Incomplete Information,” Journal of Finance 41, 383-391.
Dothan, M. U., and F. David, 1986, “Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy,” Journal of Finance 41, 369-382.
Downs, D. H., and D. W. Sommer, 1999, “Monitoring, Ownership, and Risk-Taking: The Impact of Guaranty Funds,” Journal of Risk and Insurance 66, 477-497.
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