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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/132441


    Title: 保險公司生死合險保單匯率風險避險分析：考量無本金遠期匯率及匯率選擇權
    Hedging Currency Risk for the Life Insurance Company with Endowment Policies: the use of Non-deliverable Forwards and Currency Options
    Authors: 呂學翰
    Lu, Hsueh-Han
    Contributors: 楊曉文
    呂學翰
    Lu, Hsueh-Han
    Keywords: 匯率避險
    資產負債管理
    生死合險保單
    利率風險
    死亡風險
    Exchange rate hedging
    Asset-liability management
    Endowment policy
    Interest rate risk
    Mortality risk
    Date: 2020
    Issue Date: 2020-11-03 11:26:55 (UTC+8)
    Abstract: 為處理保險公司面臨之匯率風險，本研究建構保險公司的資產、負債以及盈餘模型，假設保險公司發行生死合險保單、設定要保人每期繳納平準保費。在分析保險公司盈餘時同時考慮死亡風險、利率風險。為因應近年來保險公司進行國外投資之趨勢，本研究更考慮保險公司執行國外投資的情況，且利用其引入保險公司的匯率風險，並對風險進行管理。本研究注重於比對國內投資、國外投資以及國外投資後各種避險方式之盈餘表現、對盈餘以及盈餘拆解項做一連串的透析與檢視。本研究之相關分析方法可應用於更廣泛的議題以及更深入之探討，希望藉由本研究之啟發，能夠引起更多專業人士投入此方面的研究。
    To deal with the exchange rate risk faced by the life insurance company, this paper constructs the asset model, liability model and the surplus model of it. Assumed that the life insurance company issued endowment policies that policyholders pay level premium each year. We consider the mortality risk and interest rate risk at the same time while analyzing the surplus of the life insurance company. Apart from this, with the trend of international investment among the retails and legal entities, we must consider the currency risk, too. We induce the currency risk by making foreign bonds investment of the company, and perform the analysis of the hedging efficiency of different methods. This paper puts an emphasis on the comparison of the surplus outcome of different portfolio, including domestic investment and foreign investment, and a series of studying the surplus and the surplus decomposition of the life insurance company. We hope this paper would be the inspiration of some expert to conduct the survey in related to this domain.
    Reference: 一、中文文獻
    1.林靜吟(2018)。隨機利率下可解約利率變動型壽險評價分析。國立政治大學金融學系碩士學位論文。
    2.胡明憶(2016)。保險業外匯價格變動準備金之研究。國立中央大學財務金融學系碩士學位論文。

    二、英文文獻
    1.Aliber, R. Z. (1973). The interest rate parity theorem: A reinterpretation. Journal of Political Economy, 81(6), 1451-1459.
    2.Bernal, V. (2016). Calibration of the Vasicek model: An step by step guide.
    3.Brandt, M. W., & Santa‐Clara, P. (2006). Dynamic portfolio selection by augmenting the asset space. The Journal of Finance, 61(5), 2187-2217.
    4.Brenner, R. J., & Kroner, K. F. (1995). Arbitrage, cointegration, and testing the unbiasedness hypothesis in financial markets. Journal of Financial and Quantitative Analysis, 23-42.
    5.Cadenillas, A., & Zapatero, F. (1999). Optimal central bank intervention in the foreign exchange market. Journal of Economic Theory, 87(1), 218-242.
    6.Cox, S. H., Lin, Y., & Wang, S. (2006). Multivariate exponential tilting and pricing implications for mortality securitization. Journal of Risk and Insurance, 73(4), 719-736.
    7.Croghan, J., Jackman, J. K., & Min, K. J. (2017). Estimation of geometric Brownian motion parameters for oil price analysis.
    8.Dash, M., Kodagi, M., & Babu, N. (2008). An empirical study of forex risk management strategies. Indian Journal of Finance, 2(8).
    9.Frees, E. W. (1990). Stochastic life contingencies with solvency considerations. In Proceedings di 2nd Conference in Actuarial Science and Finance on Samos, Karlovassi (Grecia), http://www. stat. ucl. ac. be/Samos2002/proceedSibillo. pdf.
    10.Garman, M. B., & Kohlhagen, S. W. (1983). Foreign currency option values. Journal of International Money and Finance, 2(3), 231-237.
    11.Ngai, A., & Sherris, M. (2011). Longevity risk management for life and variable annuities: The effectiveness of static hedging using longevity bonds and derivatives. Insurance: Mathematics and Economics, 49(1), 100-114.
    12.Nolde, N., & Parker, G. (2014). Stochastic analysis of life insurance surplus. Insurance: Mathematics and Economics, 56, 1-13.
    13.Lee, R. D., & Carter, L. R. (1992). Modeling and forecasting US mortality. Journal of the American Statistical Association, 87(419), 659-671.
    14.Lin, W. H. (2014). Surplus analysis for endowment contracts considering mortality, interest rate, surrender and liquidity risks. Master’s thesis, department of Money and Banking, National Chengchi University.
    15.Tseng, F. M., Tzeng, G. H., Yu, H. C., & Yuan, B. J. (2001). Fuzzy ARIMA model for forecasting the foreign exchange market. Fuzzy Sets and Systems, 118(1), 9-19.
    16.Thornton, D. L. (1989). Tests of covered interest rate parity. Federal Reserve Bank of St. Louis Review, 71(4), 55-66.
    17.Tzeng, L. Y., Wang, J. L., & Soo, J. H. (2000). Surplus management under a stochastic process. Journal of Risk and Insurance, 451-462.
    18.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
    金融學系
    107352033
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0107352033
    Data Type: thesis
    DOI: 10.6814/NCCU202001753
    Appears in Collections:[Department of Money and Banking] Theses

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