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    题名: 人壽保險公司之違約風險評估：檢視利率變動型人壽保險
    Default risk assessment of life insurance company：an examination of the interest-sensitive life policies
    作者: 鄭有輝
    贡献者: 張士傑
    鄭有輝
    关键词: 資產負債模型
    信用評等
    匯率風險
    資產配置
    日期: 2017
    上传时间: 2017-08-28 11:28:54 (UTC+8)
    摘要: 保險公司所持有之利率變動型商品的資產價值，在資本市場之系統性風險急劇增加時，將會產生大幅的波動，降低保險公司之獲利表現，並使保險公司之清償能力受到影響。近年來，壽險公司主要遭受利率與匯率兩資本市場之系統性風險影響，長期的低利率環境令保險公司獲利表現不佳，迫使保險公司投資具有更高回報的外幣資產，這使匯率風險之影響增加。因此本研究將透過建立資產負債之隨機模型，檢視匯率風險下人壽保險業違約風險之變化。
    本研究資產面引用Cox et al. (1985) 模型模擬利率的動態，進而推導出含有匯率波動的債券價格，並透過Heston (1993) 模型描述標的股票的隨機波動過程，並以相關係數矩陣整合各資產組合的資產配置。負債面則是以利率變動型壽險為例，藉由資產與負債的變化衡量保險公司違約風險。研究指出：
    1. 壽險公司之信評等級為Ba1並與同評級的全球公司累積違約機率相比，壽險公司之違約機率上升幅度明顯較低，壽險公司之違約機率對時間因數並不敏感。
    2. 宣告利率對壽險公司違約風險之影響顯著，違約風險的增長與宣告利率的變動呈現指數成長的趨勢。
    3. 壽險公司違約風險對匯率因數最為敏感，匯率波動提高時，違約機率亦大幅提高。
    4. 利率變動型壽險因最低保證報酬率，其違約風險高於傳統型壽險。
    參考文獻: A.Christian Silva，Victor M. Yakovenko，2003， “Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes.” Physica A: Statistical Mechanics and its Applications 324, Pages 303-310
    Bacinello, A.R., 2001, “Fair pricing of life insurance participating contracts with a minimum interest rate guaranteed,” ASTIN Bulletin 31, 257-297.
    Bacinello, A.R., 2003, “Pricing guaranteed life insurance participating policies with annual premiums and surrender option,” North American Actuarial Journal 7, 1-17.
    Bacinello, A.R., 2003, “Fair valuation of a guaranteed life insurance participating contract embedding a surrender option,” Journal of Risk and Insurance 70, 461-487.
    Ballotta, L., Haberman, S., and Wang, N., “2006, Guarantees in with-profit and unitized with-profit life insurance contracts: Fair valuation problem in presence of the default option,” Journal of Risk and Insurance 73, 97-121.
    Briys, E., de Varenne, F., 1997, “On the risk of insurance liabilities: debunking some common pitfalls,” Journal of Risk and Insurance 64, 673-694.
    Cox, J., Ingersoll, J. and Ross, A., 1985, “A theory of the term structure of interest rates.” Econometrica 53, 385-407.
    Cassel, Gustav, 1918, “Abnormal Deviations in International Exchanges.” The Economic Journal 28, No. 112, 413–415.
    Gerstner, T., Griebel, M., Holtz, M., Goschnick, R., and Haep, M., 2008, “A general asset-liability management model for the efficient simulation of portfolios of life insurance policies,” Insurance: Mathematics and Economics 42, 704-716.
    Grosen, A. and Jorgensen, P.L., 2000, “Fair valuation of life insurance liabilities: the impact of interest rate guarantees, surrender options, and bonus policies.” Insurance: Mathematics and Economics 26, 37-57.
    Grosen, A. and Jorgensen, P.L., 2002, “Life insurance liabilities at market value: an analysis of insolvency risk, bonus policy, and regulatory intervention rules in a barrier option framework.” Journal of Risk and Insurance 69, 63-91.
    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.
    Kladıvko, K. 2007. “Maximum likelihood estimation of the Cox-Ingersoll-Ross process: the Matlab implementation.” Technical Computing Prague.
    Kling, A., Richter, A., and Ruβ, J., 2007, “The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies.” Insurance: Mathematics and Economics 40, 164-178.
    Miltersen, K.R., Svein-arne Persson, 2003, “Guaranteed Investment Contracts: Distributed and Undistributed Excess Return.” Scandinavian Actuarial Journal 4, 257-279
    Moodley, N. 2005. “The Heston Model： A Practical Approach with Matlab Code.” In Technical Computing Prague. Working paper.
    Richard A. Meese, Kenneth Rogoff, 1983, “Empirical exchange rate models of the seventies: Do they fit out of sample?” Journal of International Economics 14, 3-24
    MR Asay, PJ Bouyoucos, AM Marciano. 1993. “An Economic Approach to Valuation of Single Premium Deferred Annuities.” Financial Optimization, 101–35.
    SH Cox, PD Laporte, SR Linney, L Lombardi 1993 “Single-premium deferred annuity persistency study.” Transactions of Society of Actuaries
    Tanskanen, A.J., and Lukkarinen, J., 2003, “Fair valuation of path-dependent participating life insurance contracts.” Insurance: Mathematics and Economics 33, 595-609.
    描述: 碩士
    國立政治大學
    風險管理與保險學系
    104358031
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0104358031
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

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