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Title:	匯率與利率關聯性下保險安定基金之風險保費 The Relationship Between Exchange Rates and Interest Rates on the Risk-Based Premiums in Life Insurance Guaranty Schemes
Authors:	郭玥均 Kuo, Yueh-Chun
Contributors:	張士傑 Chang, Shih-Chieh 郭玥均 Kuo, Yueh-Chun
Keywords:	風險保費障礙選擇權波動度相關性資產配置 Risk premium Barrier options Volatility Correlation Asset allocation
Date:	2021
Issue Date:	2021-04-01 11:21:34 (UTC+8)
Abstract:	本研究以保險安定基金風險保費衡量保險人之違約風險，考慮匯率、利率波動度與國外資產配置之影響，利用障礙選擇權評價安定基金之風險保費，將匯率與利率相關性加入模型，進一步分析匯率與利率與違約風險之關聯性，詳細釐清：(1) 匯率與利率波動對風險保費影響；(2) 匯率與利率相關程度與風險保費關聯性；(3) 資產配置差異與風險保費之關係。研究結果發現：(1) 風險保費與匯率、利率波動度呈現正相關；(2) 國內外利率正相關性會增加風險保費；(3) 利率與匯率正相關性會增加風險保費。研究同時發現，當固定國外債券比例(65%)，風險保費與權益證券比例呈現正相關，數據顯示當指數型股票基金的投資比例增加100%時，即指數型股票基金的投資比例由0.1增加至0.2，風險保費會增加40%。當匯率波動度增加100%時，即匯率波動度由0.1增加至0.2，匯率風險將高於利率風險。 This study uses the insurance guaranty risk premium to measure the insurer’s default risk, considers the impact of exchange rate and interest rate volatility, uses barrier options to evaluate the risk premium, and adds the correlation between exchange rates and interest rates into the model to further analyze the relationship between default risk. The main research is: (1) the impact of exchange rate and interest rate volatility on risk premiums; (2) the correlation between exchange rate, interest rate and risk premiums; (3) the relationship between asset allocation differences and risk premiums. We find that: (1) risk premiums are positively correlated with exchange rate and interest rate volatility; (2) the positive correlation between domestic and foreign interest rates will increase risk premiums; (3) the positive correlation between interest rates and exchange rates will increase risk premiums. The study also found that the risk premium and the proportion of equity securities are positively correlated. For example, if the investment ratio of index stock funds doubles (0.1 to 0.2), the risk premium will increase by 40% when the proportion of foreign bonds is fixed (65%). As the exchange rate volatility increases by 100% (0.1 to 0.2), the exchange rate risk will be higher than the interest rate risk.
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Description:	碩士國立政治大學風險管理與保險學系 108358009
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0108358009
Data Type:	thesis
DOI:	10.6814/NCCU202100403
Appears in Collections:	[Department of Risk Management and Insurance] Theses

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