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| Title: | 附保證型變額年金在勞退新制下的資產配置及動態最佳化避險
Asset allocation and dynamic hedge for Guaranteed minimum benefit variable annuity under Taiwan New Labor Pension System |
| Authors: | 張書榕
Chang, Shu-Jung |
| Contributors: | 黃泓智
Huang, Hong-Chih
張書榕
Chang, Shu-Jung |
| Keywords: | 動態避險
勞退新制下保證利率
附保證投資型商品評價
附保證投資型商品避險 |
| Date: | 2020 |
| Issue Date: | 2020-08-03 17:41:34 (UTC+8) |
| Abstract: | 本文探討符合勞退新制下的GMxB變額年金商品之選擇權價值及避險方法，其中勞退新制下平均收益率不低於兩年期定存利率之保證是透過Vasciek模型預測短率後，透過Affine Term Structure Models將短率推回兩年期零息債券價格，並以此計算兩年期定存利率。本研究假設變額年金商品之投資連結標的為台灣大盤指數，以幾何布朗運動進行預測，並考慮利率和投資標的間之相關性。
傳統避險方式乃通常透過向投資銀行購買選擇權，或像再保公司再保，然此兩種方式價格過於昂貴，本研究透過期貨建構避險策略，降低期初之避險成本，並以此方式與傳統購買選擇權之方式比較避險效益，研究結果發現期貨在大部分情況下大致皆可達到傳統購買選擇權之結果，並且在某些假設下期貨降低尾端風險的效益更佳，並且還可以降低期初之避險成本，因此希望此篇文章可以為國內保險公司在販賣GMxB商品時提供新的避險工具，並活絡台灣期貨市場之交易。
This article discusses the option value and hedging methods of GMxB products under the Taiwan new pension system. The average rate of return under the new pension system is not less than the two-year deposit rate. To value such interest rate guarantee, this research uses Vasciek model to capture the dynamics of short rate and obtain the future two-year deposit rate. We assume the underlying of the GMxB product is invested in the Taiwan Capitalization Weighted Stock Index. We then adopt the GBM model to project the future returns. The correlation between the underlying asset and the interest rate is considered.
The traditional hedging methods for GMxB products are usually to buy options from investment banks, or use reinsurance. However, these methods are very expensive. Instead, this article considers futures as the hedging instruments. This article can provide a new method for insurance companies to hedge the guarantee risk when selling GMxB products, and activate the futures market in Taiwan. |
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| Description: | 碩士
國立政治大學
風險管理與保險學系
107358014 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107358014 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202000831 |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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