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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/131517

    Title: 新冠肺炎下匯率與利率風險對於人壽保險安定基金風險保費之研究
    Currency Uncertainty, Interest Guarantee and Risk-Based Premiums in Life Insurance Guaranty Schemes under the Impact of the COVID-19 Pandemic
    Authors: 高子媛
    Kao, Tzu-Yuan
    Contributors: 張士傑
    Chang, Shih-Chieh
    Kao, Tzu-Yuan
    Keywords: 安定基金
    insurance guaranty fund
    fair premium
    interest rate volatility
    exchange rate volatility
    Date: 2020
    Issue Date: 2020-09-02 11:51:20 (UTC+8)
    Abstract: 壽險業為高財務槓桿的產業,確保能夠支應保單持有人有長期給付義務,公司多投資至市場的長年期固定收益,但近年來國內市場利率低靡,轉向國外債券市場,又因新冠肺炎疫情爆發,導致全球經濟萎縮,壽險業投資佔比最高的美國利率調降至0%~0.25%,嚴重影響投資收益,顯示出利率風險和匯率風險對壽險業的資產的影響。
    The life insurance industry is a highly financially leveraged industry. To ensure Taiwan life insurance companies can support policyholders with long-term payment obligations, they choose to invest in the long-term fixed income in the market. Due to the low interest rate environment in Taiwan, they increase their investments in offshore assets to reach their financial goal. However, the coronavirus outbreak is dramatically increasing all over the world. The economy of many countries is impacted. The Fed have lowered the federal funds rate to 0%-0.25%. The profit of life insurance companies is strongly affected, which implies that the life insurance companies are in the strong effects on the risk of interest and exchange rate.
    This paper studies the fair premiums in life insurance guaranty schemes. We value the asset and liability of the company with a stochastic model, considering the impacts of each factor on the fair price of the guaranty fund. We want to figure out the default risk for a life insurance company under different asset allocations and regulatory standards.
    We find that: (1) Due to coronavirus outbreak, the premium increases. (2) With the increase of foreign interest rate volatility and exchange rate volatility, the premium increases. (3) The sensitivity of the premium to the ratio of foreign investment increases as the ratio of foreign investment increases. (4) The sensitivity of the premium to the exchange volatility and foreign rate volatility increase, respectively, when the exchange rate volatility increases.
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    Chang. S. C. and Y. K. Lee. 2020. Currency Uncertainty, Interest Guarantee, and Risk-based Premiums in Life Insurance Guaranty Schemes. Asia-Pacific Journal of Risk and Insurance accepted.
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0107358027
    Data Type: thesis
    DOI: 10.6814/NCCU202001480
    Appears in Collections:[風險管理與保險學系 ] 學位論文

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