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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/134433

    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
    Kuo, Yueh-Chun
    Keywords: 風險保費
    Risk premium
    Barrier options
    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.
    Reference: 一、中文文獻
    (一) 學術文獻
    (二) 網路資料
    保險局,109年10月保險市場重要指標,上網日期2021年1月19日,檢自:https://www.ib. gov.tw/ch/home.jsp?id=48&parentpath=0,4
    財團法人保險事業發展中心,保險業安定基金累積提撥統計表,上網日期2020年1月3日,檢自:https://www.tii.org.tw/tii/information/ information1
    富邦金控,109年上半年法說會簡報,上網日期2020年12月27日,檢自:https://www.ircloud.com/taiwan/2881/irwebsite_c/conference .php?year=2020

    (一) 學術文獻
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    Kling, A., Richter, A., & Ruß, J. (2007). The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies. Insurance: Mathematics and Economics, 40(1), 164-178.
    Lee, S. C., Lee, J. P., & Yu, M. T. (2005). Bank capital forbearance and valuation of deposit insurance. Canadian Journal of Administrative Sciences/Revue Canadienne des Sciences de l'Administration, 22(3), 220-229.
    Oxera. (2007). Insurance Guarantee Schemes in the EU: Comparative Analysis of Existing Schemes, Analysis of Problems and Evaluation of Options.
    Setser, Brad W. and S.T.W. (2019). Shadow FX intervention in Taiwan: Solving a USD 100+ bn enigma. Council on Foreign Relations.
    Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of financial economics, 5(2), 177-188.
    Yang, S. Y., Hwang, Y. W., & Chang, S. C. B. (2012). The bankruptcy cost of the life insurance industry under regulatory forbearance: An embedded option approach. North American Actuarial Journal, 16(4), 513-523.
    (二) 網路資料
    Federal Reserve Economic Data, Retrieved Jan 15 2021, from: https://fred.stlouisfed.org
    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0108358009
    Data Type: thesis
    DOI: 10.6814/NCCU202100403
    Appears in Collections:[風險管理與保險學系 ] 學位論文

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