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    题名: 負債導向基金之動態資產配置：下檔風險限制與違約選擇權
    作者: 張士傑
    贡献者: 風險管理與保險學系
    关键词: 公平保費;跳躍過程;隨機波動;監理寬容
    fair premium;jump diffusion;stochastic volatility;regulatory forbearance.
    日期: 2014
    上传时间: 2017-12-25 14:50:44 (UTC+8)
    摘要: 本研究探討人壽保險安定基金的風險保費，考量人壽保險公司之資產負債組合，如何影響公司之違約風險，違約風險則以基金所承受之破產賠付金額表示，有別於以往文獻利用財務指標作為違約考量因素，本研究考量加入風險導向資本監理條件，分析安定基金所承受風險與違約風險間之關係。 加入Yang et al. (2012)與Hwang et al. (2015)假設，考量資本市場系統性風險下機構投資人資產配置與違約價值關聯性，本研究建立資本市場之資產收益模型，分析下檔風險與違約價值關連性。嘗試依台灣人壽保險市場之公司資產負債資訊建立模型，依隱含選擇權模型分析投資風險與違約成本於基金資產配置效果與投資之影響。
    In this paper the risk-weighted sliding scale of policy reserves as a basis for the contribution to the Taiwan Insurance Guaranty Fund (TIGF) is evaluated. Through Monte Carlo simulations, a detailed cash flow of an insurer’s asset allocation can depict the risk preference of the life insurer. We consider the jump diffusion process and stochastic volatility in our stock model to reflect the increasing volatility that a life insurer encounters in the capital market. We also introduce regulatory forbearance from the regulator in Yang et al. (2012) and Hwang et al. (2015) as an external factor and its effects on the life insurance industry. We find that as the supervisor extends the period of regulatory forbearance, the contribution premium towards the TIGF increases. Whereas the supervisor raises the regulatory criteria, the contribution premium rises as the regulatory criteria reaches a certain level; as the life insurer increases its leverage ratio, its contribution premium also increases.
    關聯: 執行起迄：2014/08/01~2015/08/31
    103-2410-H-004-092
    数据类型: report
    显示于类别:[風險管理與保險學系] 國科會研究計畫

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