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| Title: | 人壽保險業系統性風險與公司違約之研究
A Study on the Systematic Risk and Corporate Default in Life Insurance Market |
| Authors: | 林佳儀
Lin, Chia I |
| Contributors: | 張士傑
Chang, Shih Chieh
林佳儀
Lin, Chia I |
| Keywords: | 系統性風險
跳躍過程
內部模型法
Systematic risk
Jump process
Internal model approach |
| Date: | 2015 |
| Issue Date: | 2016-08-09 10:46:36 (UTC+8) |
| Abstract: | 人壽保險業之經營來自於對保戶之誠信與責任的承諾，故壽險公司當應以未來穩健為首要經營目標；藉由過去歷史資料觀察，臺灣壽險業淨值與股票市場連動性相當高，由於系統性風險無法透過資產組合而消除，且具有事件觸發(Event trigger)之特性，因此本文使用內部模型法(Internal Model Approach)，藉Kou (2002)所提出的雙指數跳躍擴散過程(Double Exponential Jump Diffusion Model)建構股票資產之動態過程，負債商品以利變型養老保險為例，憑藉資產與負債模型的建構以評估面對系統性風險之下對壽險公司負債適足性所造成的影響，並使用現金流量測試衡量破產之發生機率與其違約價值。
根據研究結果顯示: (1)由於跳躍擴散模型的「跳躍」使資產的變動加大，使股價變動不確定性增加，資產過程變動加大，雙指數跳躍擴散模型與B-S模型的資產配置相較之下，破產機率較高。(2)當壽險公司槓桿比例越高、股價平均參數上升或是負債風險溢酬上升時，破產機率上升。
The goal of the life insurance company is to stabilize the capital because the operation of the life insurance company depends on policyholder’s trust. By the historical data, the net value of the life insurance company has high correlation with the stock market, implying the systematic risk, which can’t be removed by the asset portfolio and has ‘Event trigger’ characteristic. This research is conducted by the internal model approach with the double exponential jump process to model the asset dynamic process. We use a sample retirement insurance to construct the liability side. With asset and liability models, we can find that the probability and the severity when the life insurance company facing the systematic risk.
The research shows that: (1) Compared to the B-S model, the double exponential jump process shows higher default probability. (2) Higher leverage, the mean of the stock, risk premium of the liability, and the elasticity of the interest rate on the liability will cause higher default probability and default value. |
| Reference: | 中文部分
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2. 張士傑，民國99年度。保險契約之評價與風險管理。臺北縣三重市:前程文化。
3. 財團法人保險發展中心，http://www.tii.org.tw/
4. 周俊宇、鍾熾昌、高春元、黃偉豪，民國101年度。Jump Diffusion Model。
5. 黃雅文、張士傑，民國100年度。《保險業資產配置之決定及其影響》。出版地:財團法人保險安定基金。
6. 梁昭銘，民國94年度，保險業資金運用規範之妥適性-以中壽投資開發金衍生之爭議為例。未出版之博(碩)士論文，政治大學，風險管理與保險學系，台北市文山區。
7. 梁正德，民國102年度。《國際保險業清償能力制度之研究》。出版地:財團法人保險事業發展中心。
8. 蔡政憲，民國94年度。《臺灣保險監理之利率模型系統》。出版地 : 金管會保險局。
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10. 臺灣證券交易所，http://www.twse.com.tw/ch/index.php
11. 鄭力瑀，民國100年度，監理寬容下保險安定基金公平費率。未出版之碩士論文，政治大學，風險管理與保險學系，台北市文山區。
12. 證券櫃檯買賣中心 ，http://www.tpex.org.tw/web/?l=zh-tw
13. 連宏銘，民國103年。《2014年保險業國際化菁英人才培訓班出國計畫》。出版地:財團法人保險事業發展中心。
英文部分
1. Daniel Synowiec.,(2008), Jump-Diffusion Models With Constant Parameters For Financial Log-Return Processes, Computers& Mathematics With Applications, Volume 56,Issue 8, October 2008, Pages 2120–2127.
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3. Heathe,D , Jarrow,R. ,and Morton.A.,(1992), Bond Pricing And The Term Of Interest Rates :A New Methodology For Contingent Claims Valuation, Journal Of Econometric Society Vol.60 , No,1 ,January 1992,pp.77-105.
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11. Merton, Robert C.,(1976),Option Pricing When Underlying Stock Returns Are Discontinuous, Journal of Financial Economics, 3: 125-144.
12. Ramezani,C.A.&Zeng,Y.,(2006),Maximum likelihood estimation of the double exponential jump-diffusion process, Annals of Finance, 3,pp.487-507.
13. William F. Sharpe.,(1964),Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk, The Journal Of Finance, Vol.19,No.3.pp425-442. |
| Description: | 碩士
國立政治大學
風險管理與保險研究所
102358024 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0102358024 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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