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    題名: 壽險公司資產與負債管理：時間序列模型應用
    Asset and liability management of life insurance：the application of time series model
    作者: 楊家寧
    貢獻者: 蔡政憲
    Tsai, Cheng Hsien
    楊家寧
    關鍵詞: 資產負債管理
    時間序列模型
    利率與匯率風險
    Asset and liability management
    Time series model
    Interest rate and exchange rate risk
    日期: 2017
    上傳時間: 2017-07-11 11:35:55 (UTC+8)
    摘要: 本研究運用Vasecik、ARMA與VEC三種時間序列模型，以蒙地卡羅法，模擬未來五年台幣利率、美元利率與新台幣兌美元匯率的隨機漫步過程，並分析壽險公司的資產、負債與業主權益價值，在利率與匯率的隨機過程中所受到的影響。

    藉由蒙地卡羅模擬之隨機漫步過程，本研究發現在利率模型方面，Vasicek利率模型因具有均數回歸的特性，較VEC模型擁有更穩定的隨機漫步過程；在匯率模型方面，VEC模型因同時考量長期影響與短期影響的效果，較ARMA模型擁有較穩定的漫步過程。

    在負債面的模擬結果中，當利率下跌時，保單應提列準備金價值的成長速度較利率上升時快，此點反應壽險公司在低利率的環境下，將面臨較嚴峻的資本要求；同時，藉由歷史資料以Vasicek債券評價模型估計之利率期間結構，整體結構呈現負斜率與凹口向上的走勢，在此情形下，短期利率的值較長期利率的值高，保單應提列的準備金價值較原始估計時更高。

    在長期的低利率環境中，上述現象反應於長期保單的價值變化尤為明顯。本研究建議在進行保單的精算訂價時，不應僅以預定利率做為保單全期的折現因子，而應將長期的利率風險納入考量。

    同時，匯率的變化亦嚴重衝擊壽險公司的業主權益，在模擬結果中，當匯率落於風險值時，壽險公司配置於美元資產的減損將造成業主權益呈現虧損，此點亦反應當壽險公司將資產配置於海外時，必須謹慎地評估外匯避險的相關策略。

    整體而言，在本研究中，將資產配置偏重台幣的投資策略擁有較穩定的業主權益價值，並在短期擁有較佳的風險轉換報酬能力；另一方面，將資產配置偏重美元的投資策略在長期擁有較佳的風險轉換報酬能力，然而，也因其擁有較高的風險值，壽險公司可能面臨較嚴重的損失。本研究建議壽險公司在進行海外資產配置時，應謹慎地將利率風險與匯率風險納入考量。
    This article uses Monte Carlo simulation method to forecast the random walk process of Taiwan interest rate, US interest rate, and Taiwan US dollar exchange rate between next five years. The simulation base on three time series model：Vasecik, ARMA and VEC. Through the random walk process, this article aims to analyze the influence in asset, liability and equity by the change of interest rate and exchange rate.

    In this paper, we find that the Vasicek interest rate model has a more stable stochastic process than the VEC model, which because of the effect by mean reversion. On the other hand, because the VEC exchange rate model takes both long-term and short-term impact in concern, it has a more robust stochastic process than the ARMA model.

    Through the simulation results of the liabilities, we find that when the interest rate fell, the reserve value of insurance policy will rise faster, which makes life insurance companies face more severe capital requirements in the low interest rate environment. Besides, we also find that the interest rate term structure in the Vasicek Bond Pricing Model displays negative slopes with concave upward, which means the value of short-term interest rate higher than the value of long-term interest rate. In this situation, the reserve value of insurance policy will become much higher than the value original priced.

    In the long-term low interest rate environment, the impact of interest rate risk has more effect in the long-term insurance policy. This paper suggests that when pricing the costs of insurance policy, we should not only use one interest rate as the full term discount factor. The better way is to discount with the interest rate term structure.

    Overall, in this paper, the asset allocation strategy, which focus on Taiwan commercial bonds, has both better performances in value at risk and better ability to covert risk into revenue in the short term. On the other hand, the asset allocation strategy, which focus on US commercial bonds, has better ability to covert risk into revenue in the long run. When conducting overseas asset allocation, we suggest that life insurance companies should carefully consider interest rate risk and exchange rate risk.
    參考文獻: 中文文獻
    李曉菁與林朝陽，2006，「蒙地卡羅法利率模擬路徑之比較～以GBM與Vasicek Model為例」，貨幣觀測與信用評等，60期：頁85-93。
    陳學毅，2004，匯率預測模型績效之研究--時間序列及灰色預測模型之應用，東海大學國際貿易研究所碩士論文。
    陳旭昇，2007，修訂初版，時間序列分析：總體經濟與財務金融應用，台北：東華書局
    行政院金融監督管理委員會，2006，台灣保險監理之利率模型系統，台北：金管會保險局
    傅澤偉、黃國安與林曼莉，2014，「新台幣兌美元匯率之模式建立與比較」，國防管理學報，35卷2期：頁37-56。
    蔡政憲、何憲章與鄒治華，2002，「壽險保單之存續期間分析」，風險管理學報，4卷1期：頁47-75。
    劉志勇，2010，壽險公司長壽風險與財務風險避險之最適產品組合，國立政治大學風險管理與保研究所碩士論文。

    英文文獻
    Cox, John C., J. E. Ingersoll Jr, and S. A. Ross., 1985, A Theory of the Term Structure of Interest Rates, Econometrica, 53, 2, 385-407.
    Ho, Tomas S. Y., and S. B. LEE., 1986, Term Structure Movements and Pricing Interest Rate Contingent Claims, the Journal of Finance, 41, 5, 1011-1029.
    Hull, John, and A. White, 1990, Pricing Interest Rate Derivative Securities, Review of Financial Studies, 3, 4, 573-592.
    Heath, D., R. Jarrow, and A. Morton, 1992, Bond Pricing and the Term Structure of the Interest Rates: A New Methodology, Econometrica, 60, 1, 77-105.
    Tsai, C., Kuo W., and Chen W.K., 2003, An Empirical Study on the Lapse Rate：The Cointergration Approach, The Journal of Risk and Insurance, 70, 3, 489-508.
    Vasicek, Oldrish, 1977, An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, 5, 2, 177-188.
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    104358009
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G1043580091
    資料類型: thesis
    顯示於類別:[風險管理與保險學系] 學位論文

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