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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/98860


    Title: 隨機波動下利率變動型年金保險之違約風險分析
    Default risk of interest sensitive life annuity under stochastic volatility
    Authors: 江旻樺
    Chiang, Min Hua
    Contributors: 張士傑
    Chang, Shih Chieh
    江旻樺
    Chiang, Min Hua
    Keywords: 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
    Date: 2016
    Issue Date: 2016-07-11 17:05:21 (UTC+8)
    Abstract: 資本市場之系統性風險加劇時,對於利率變動型年金保險所持有之區隔資產將出現大幅波動,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。
    本研究在資產部分是以Cox et al. (1985) 模型模擬利率的動態,並以Heston (1993) 模型描述標的資產的隨機波動過程。而負債面則是以利率變動型年金為例,除了宣告利率外,還加入解約率的因子作討論,藉由資產與負債的變化衡量保險公司違約風險。
    此外,本研究以蒙地卡羅法模擬50,000 次,來分析影響違約風險之各項因子,包含解約、利率與資產配置策略之關聯性,並以違約機率、風險值以及條件尾端期望值作為保險公司清償能力之衡量指標。根據研究結果顯示:
     1. 提高預定利率時,亦影響宣告利率下限,其破產機率越高。
     2. 當期初資產負債之槓桿比例越高時,其破產機率明顯提升。
     3. 提高投資股票之權重時,受股票波動影響,破產機率提高。
     4. 延長評價時點,受到解約費用影響也越大,破產機率增加。
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    J. Cox, J. Ingersoll, and S. Ross. A theory of the term structure of interest rates. Econometrica, 53:385–407, 1985.
    B. Dumas, J. Fleming, and B. Whaley. Implied volatility functions:Empirical tests. Journal of Finance, 53:2059–2106, 1998.
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    A. Grosen and P. L. Jørgensen. Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies. Insurance: Mathematics and Economics, 26:37–57, 2000.
    S. Heston. A closed-form solutions for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 6:327–343, 1993.
    W. Hsuan and S.C. Chang. Fair insurance guarantee premium: A study of life insurers in taiwan. In Proceedings at the World Risk and Insurance Economics Congress, Munich, Germany, August 2015.
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    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    103358024
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103358024
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系 ] 學位論文

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