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    题名: 新冠肺炎下匯率與利率風險對於人壽保險安定基金風險保費之研究
    Currency Uncertainty, Interest Guarantee and Risk-Based Premiums in Life Insurance Guaranty Schemes under the Impact of the COVID-19 Pandemic
    作者: 高子媛
    Kao, Tzu-Yuan
    贡献者: 張士傑
    Chang, Shih-Chieh
    高子媛
    Kao, Tzu-Yuan
    关键词: 安定基金
    公平保費
    利率波動
    匯率波動
    insurance guaranty fund
    fair premium
    interest rate volatility
    exchange rate volatility
    日期: 2020
    上传时间: 2020-09-02 11:51:20 (UTC+8)
    摘要: 壽險業為高財務槓桿的產業，確保能夠支應保單持有人有長期給付義務，公司多投資至市場的長年期固定收益，但近年來國內市場利率低靡，轉向國外債券市場，又因新冠肺炎疫情爆發，導致全球經濟萎縮，壽險業投資佔比最高的美國利率調降至0%~0.25%，嚴重影響投資收益，顯示出利率風險和匯率風險對壽險業的資產的影響。
    本文研究安定基金的公平費率，以隨機模型模擬公司資產和負債，包含國外債券投資和外匯交換避險，考慮各因子對安定基金合理保費的影響，衡量壽險業在全球新冠肺炎疫情爆發，面臨台美利率走低風險的情況下，討論在不同資產配置下利率與匯率風險的變化，並考慮到監管機關可能因市場經濟改變，對監管標準作調整，研究保險公司可能承受的違約風險。
    研究結果顯示：(1)新冠肺炎後，保費增加；(2)國外利率波動、匯率波動增加，安定基金保費增加；(3)國外投資比例增加，保費對國外投資比例的敏感度增加；(4)匯率波動增加，保費分別對匯率波動和國外利率波動的敏感度皆增加。
    The life insurance industry is a highly financially leveraged industry. To ensure Taiwan life insurance companies can support policyholders with long-term payment obligations, they choose to invest in the long-term fixed income in the market. Due to the low interest rate environment in Taiwan, they increase their investments in offshore assets to reach their financial goal. However, the coronavirus outbreak is dramatically increasing all over the world. The economy of many countries is impacted. The Fed have lowered the federal funds rate to 0%-0.25%. The profit of life insurance companies is strongly affected, which implies that the life insurance companies are in the strong effects on the risk of interest and exchange rate.
    This paper studies the fair premiums in life insurance guaranty schemes. We value the asset and liability of the company with a stochastic model, considering the impacts of each factor on the fair price of the guaranty fund. We want to figure out the default risk for a life insurance company under different asset allocations and regulatory standards.
    We find that: (1) Due to coronavirus outbreak, the premium increases. (2) With the increase of foreign interest rate volatility and exchange rate volatility, the premium increases. (3) The sensitivity of the premium to the ratio of foreign investment increases as the ratio of foreign investment increases. (4) The sensitivity of the premium to the exchange volatility and foreign rate volatility increase, respectively, when the exchange rate volatility increases.
    參考文獻: Briys, E. and F. de Varenne. 1994. Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications. Geneva Papers on Risk and Insurance Theory 19: 53-72.
    Briys, E., and F. de Varenne. 1997. On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls. Journal of Risk and Insurance 64: 673-694.
    Chang. S. C. and Y. K. Lee. 2020. Currency Uncertainty, Interest Guarantee, and Risk-based Premiums in Life Insurance Guaranty Schemes. Asia-Pacific Journal of Risk and Insurance accepted.
    Chen, A. and M. Suchanecki. 2007. Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities. Insurance Mathematics and Economics 40: 231-255.
    Cummins, J. D. 1988. Risk-based Premiums for Insurance Guaranty Funds. Journal of Finance 43: 823-839.
    Damiano Brigo and Fabio Mercurio. 2001. Interest Rate Models – Theory and Practice With Smile, Inflation and Credit. Springer Finance. Springer Berlin Heidelberg 2001, 2006.
    Duncan, M.P. 1987. Property-Liability Post-assessment Guaranty Funds. In Issues in Insurance, 1987 ed. Vol. 2, pp.239-302. Edited by Randall, E.D. American Institute for Property and Liability Underwriters.
    Grosen, A. and P. L. Jorgensen. 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.
    Han, L. M., G. C. Lai, and R. C. Witt. 1997. A Financial-economic Evaluation of Insurance Guaranty Fund System: An Agency Cost Perspective. Journal of Banking and Finance 21: 1107-1129.
    Hwang Y. W., and S. C. Chang and Y. C. Wu. 2015. Capital Forbearance, Ex Ante Life Insurance Guaranty Schemes, and Interest Rate Uncertainty, North American Actuarial Journal 19(2), 94-115, 2015.
    Jeanblanc M., M. Yor and M. Chesney. 2009. Mathematical Methods for Financial Markets. Springer Finance. Springer London Limited 2009.
    Lee, S. C. J. P. Lee, and M. T. Yu. 2005. Bank Capital Forbearance and Valuation of Deposit Insurance. Canadian Journal of Administrative Sciences 22: 220-229.
    Lee, Y., 2016, Uncharted territory: how life insurance companies can navigate the era of negative interest rates, PineBridge Investments, Hong Kong.
    Oxera. 2007. Insurance guarantee schemes in the EU: Comparative analysis of existing schemes, analysis of problems and evaluation of options.
    描述: 碩士
    國立政治大學
    風險管理與保險學系
    107358027
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0107358027
    数据类型: thesis
    DOI: 10.6814/NCCU202001480
    显示于类别:[風險管理與保險學系] 學位論文

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