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    题名: 資產負債管理之模型風險分析
    其它题名: Model Risks of Surplus Management under a Stochastic Process
    作者: 王儷玲
    贡献者: 國立政治大學風險管理與保險學系
    行政院國家科學委員會
    关键词: 資產負債管理;風險管理;盈餘管理;風險分析
    Asset and liability management;Risk management;Earnings management;Risk analysis
    日期: 2001
    上传时间: 2012-10-22 15:43:24 (UTC+8)
    摘要: 在保險公司的經營管理中，利率風險是影響公司財務健全非常重要的因素，為了避免利率風險，資產負債管理經理人經常採用傳統的免疫理論來降低此風險。然而傳統免疫理論模型假設利率是平行移動的，而後續研究文獻已將傳統免疫理論模型推廣到利率變動是一個隨機過程。然而，過去的文獻並未考慮由於利率的期間結構可能遵循不同的模型，因此保險公司在作資產負債管理時將可能面臨模型風險。本研究探討在不同利率期間結構模型下保險公司免疫策略的不同，更進一步以模擬分析方式衡量保險公司模型風險的可能損失。我們的模擬分析結果顯示，忽略模型風險的重要性將使保公司錯估淨值，因此也會造成公司資產與負債期間的錯置(mismatch)，如此將對保險公司的淨值造成重大衝擊。我們發現當利率變異性較高、長期利率水準較低以及利率回速率(drift rate)較低時，保險公司的模型風險較高。另外，模擬分析結果也顯示不管是短期或長期的財務規畫，都不應該忽略模型風險的重要性。
    It is well known that insurance companies can adopt a so-called classical immunization strategy to hedge the interest rate risk against a firm’s surplus. With certain adjustments, this strategy has been proven to be applicable even when the interest rate is under a stochastic process. However, the literature has recognized various models for interest rate and has proposed different interest rate paths under alternative models. This paper explores and measures the model risks for surplus management in an insurance company. We show that mismodeling the interest rate could not only misevaluate a firm’s surplus but could also cause the mismatch of a firm’s assets and liabilities and further create a negative shock on the firm’s surplus. The results of our simulation demonstrate that the cost of failing to recognize model risks can be extremely high. Furthermore, we find that a high volatility in the interest rate, a low level of long-term interest rate, and a low momentum in the drift rate increase the model risks for surplus management. Our simulation results also suggest that asset-liability managers should not ignore the possible impacts of the model risks no matter when they undertake short-term or long-term financial planning.
    關聯: 應用研究
    學術補助
    研究期間:9008 ~ 9107
    研究經費:287仟元
    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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