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    题名: 隨機波動下利率變動型人壽保險之違約風險分析
    Default AnalysisofInterestSensitiveLifeInsurance Policies underStochasticVolatility
    作者: 曾暐筑
    Tseng, Wei Chu
    贡献者: 張士傑
    Chang, Shih Chieh
    曾暐筑
    Tseng, Wei Chu
    关键词: 區隔資產負債表
    現金流量
    解約
    資產配置
    Heston模型
    segment balance sheet
    cash flow
    surrender
    asset allocation
    Heston model
    日期: 2016
    上传时间: 2016-07-11 17:05:36 (UTC+8)
    摘要: 資本市場之系統性風險加劇時，對於利率變動型人壽保險所持有之區隔資產將出現大幅波動，進而影響保險公司之清償能力，本研究透過建立區隔資產負債表之隨機模型，檢視系統性風險下對於人壽保險業違約風險之變化，並透過敏感度分析找出對違約風險影響最大的因子。
    本研究依據利率變動型壽險之現金流量建立公司之資產負債模型，預期建立Heston (1993)模型描述標的資產的隨機波動過程，相較於以往Black-Scholes (1973)模型更能反映真實的市場波動。本研究藉由資產與負債的變化，衡量保險公司違約風險，同時分析影響違約風險之各項因子，包含解約、死亡與資產配置策略之關聯性。本研究結果顯示，宣告利率、評價時間長度及資產配置策略等皆會影響保險公司之違約風險及其破產幅度。
    When systemic risk of capital markets exacerbates, the segment assets that held by interest sensitive life insurance policies will fluctuate widely and affect insurer`s solvency. This paper considers the problem of valuating the default risk of the life insurers under systematic risk, by constructing a stochastic model of segment balance sheet.
    In this paper, we establish insurer`s asset-liability model on the basis of interest sensitive life insurance policies` cash flow.In particular, we use Heston(1993) model to simulate stochastic process of assets, which is better reflect market volatility than Black-Scholes(1973) model in reality. And moreover, by means of the variation on asset and liability, this study evaluating the default risk of life insurers and analyze the factors affect default risk, like the correlation between surrender, death and asset allocation. And using the result of sensitivity analysis to determine which factor is more important, like guaranteed rate, time period of valuation and so on.
    參考文獻: Andersen, L. 2008. Simple and efficient simulation of the heston stochastic volatility
    model. Journal of Computational Finance, 11:1-42.
    Black, F. & Scholes, M. 1973. The pricing of options and corporate liabilities. Journal
    of Political Economy, 81:637-654.
    Brigo, D. & Mercurio, F. 2001. Interest Rate Models – Theory and Practice: With Smile, Inflation and Credit. Second edition.
    Bollotta, L., Haberman, S., & Wang, N. 2006. Guarantees in with-profit and unitized with-profit life insurance contracts: Fair valuation problem in presence of the default option. Insurance: Mathematics and Economics, 73.
    Cox, J., Ingersoll, J. & Ross, A. 1985. A theory of the term structure of interest rates. Econometrica, 53:385-407.
    Grosen, A. & Jørgensen P. L. 2000. Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. Insurance: Mathematics and Economics, 26:37-57.
    Grosen, A. & Jørgensen P. L. 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.
    Heston, S. 1993. A closed-form solutions for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6:327-343.
    Huang, H. C. & Lee, Y. T. 2008. The risk management of interest rate sensitivity policies: Interest rate declaring strategies and investment. 保險專刊, 24:1-28.
    Hao, J. C. 2011. The pricing for interest sensitive products of life insurance firms. Scientific Research, 2:194-202.
    Hsuan, W. & Chang, S. C. 2015. Fair insurance guarantee premium: A study of life insurers in taiwan. In Proceedings at the World Risk and Insurance Economics Congress, Munich, Germany.
    Kladıvko, K. 2007. Maximum likelihood estimation of the Cox-Ingersoll-Ross process: the MATLAB implementation. In Technical Computing Prague. Working paper.
    Moodley, N. 2005. The Heston Model：A Practical Approach with Matlab Code. In Technical Computing Prague. Working paper.
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    103358027
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0103358027
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

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