English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113303/144284 (79%)
Visitors : 50808260      Online Users : 752
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/112163


    Title: 人壽保險公司之風險及清償能力評估:檢視利率變動型年金
    Risk and Solvency Assessment of the Life Insurer:An Examination of the Interest-Sensitive Annuity Policies
    Authors: 郭俊良
    Kuo, Chun Liang
    Contributors: 張士傑
    郭俊良
    Kuo, Chun Liang
    Keywords: 資產負債管理
    利率風險
    匯率風險
    風險衡量指標
    Date: 2017
    Issue Date: 2017-08-28 11:28:38 (UTC+8)
    Abstract: 保險公司之雙率風險發酵,除了高預定利率保單,使得保險公司承擔利率風險,造成保險公司高額的利差損外。自2007年修法,提升保險業國外投資限額不得超過保險業資金45%,當年度國外投資佔31.21%。2014年修改保險法第146條之4,增設「投資於國內市場之外幣計價股權或債券憑證之投資金額可以不計入國外投資限額」之規定,當年度國外投資部位增加至50.27%。至2016年底壽險業國外投資部位已達12.59兆元,占全體壽險業可運用資金62.71%。
    然而,利差交易能帶來收益的前提是匯市波動必須平穩,因為利差交易得承擔匯率波動風險,如果匯率大幅波動,匯差損失可能侵蝕利差收益。2017年前四個月新台幣驟升約6.8%,影響壽險業淨匯兌損失837億元,外匯準備金水位從441億元降至231億元。匯率的變動使得壽險業面臨極大的匯損壓力,一再地顯示檢視匯率風險的重要性。
    本研究建構隨機資產負債管理模型,提供公司內部模型之參考。以市場統計資訊及市場保險公司之經驗資料建構模型,嘗試複製市場實際狀況,藉此模擬未來時點之公允價值,最後以風險指標評估保險公司之清償能力,得到以下結論:
    (1)財務槓桿比例愈高時,違約機率及幅度愈高,建議控制在約15倍左右。
    (2)匯率風險增加時,違約機率及幅度增加,應建立適當避險策略。
    (3)躉繳型利變型年金在沒有宣告利率保證下,違約風險較傳統型年金低。
    Reference: 張士傑 及 吳倬瑋, 2016, 台灣壽險業投資外幣計價國際債券之風險評估, 保險專刊, 第32卷 第4期, 333-365.
    Anderson, L., 2008, Simple and efficient simulation of the Heston stochastic volatility model. Journal of Computational Finance 11, 1-42.
    Cox, J., Ingersoll, J., and Ross, A., 1985, A theory of the term structure of interest rates. Econometrica 53, 385-407.
    Cox, S.H., Laporte, P.D., Linney, S.R., and Lombardi, L., 1992, Single-premium deferred-annuity persistency study. Transactions of Society of Actuaries 1991-92 Reports.
    Campbell, J.Y., Medeiros, K.S-de., and Viceira, L.M., 2010, Global currency hedging. Journal of Finance LXV (1), 87-122.
    Dornbusch, R., 1976, Expectations and exchange rate dynamics. Journal of Political Economy 84, 1161-76.
    Gerstner, T., Griebel, M., Holtz, M., Goschnick, R., and Haep, M., 2008, Numerical simulation for asset-liability management in life insurance. Insurance: Mathematics and Economics 39(3), 319-341.
    Hao, J.C., 2011, The pricing for interest sensitive products of life insurance firms. Modern Economy 2, 194-202.
    Hendricks, D., 1996, Evaluation of value-at-risk models using historical data. Economic Policy Review Federal Reserve Bank of New York 2(1), 39-67.
    Heston, S., 1993, A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies 6, 327-343.
    Kim, C., 2005, Modeling surrender and lapse rates with economic variables. North American Actuarial Journal 9, 56-70.
    Kolkiewicz, A.W., and Tan, K.S., 2006, Unit-linked life insurance contracts with lapse rates dependent on economic factors. Annals of Actuarial Science 1, 49-78.
    Kladıvko, K., 2007, Maximum likelihood estimation of the Cox-Ingersoll-Ross process: the Matlab implementation. Technical Computing Prague.
    Linsmeier, T. J., and Pearson, N. D., 2000, Value at risk. Financial Analysts Journal, 47-67.
    Markowitz, H. 1952. Portfolio selection. The journal of finance 7(1), 77-91.
    Moodley, N. 2005. The heston model: A practical approach with matlab code. Technical Computing Prague.
    Nelder, J.A., and Mead, R., 1965, A simplex method for function minimization. Computer Journal 7, 308–313.
    Rockafellar, R.T., and Uryasev, S., 2000, Optimization of conditional value-at-risk. Journal of risk 2, 21-42.
    Uryasev, S., 2000, Conditional value-at-risk: Optimization algorithms and applications. In Computational Intelligence for Financial Engineering, 49-57.
    Vasicek, O., 1977, An equilibrium characterization of the term structure. Journal of financial economics 5(2), 177-188.
    Description: 碩士
    國立政治大學
    風險管理與保險學系
    104358013
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104358013
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

    Files in This Item:

    File SizeFormat
    801301.pdf2283KbAdobe PDF2643View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback