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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/135945

    Title: 監理干預對於人壽保險公司違約風險之評估分析
    Analysis of Regulatory Intervention on the Default Risk of Life Insurance Companies
    Authors: 白晴羽
    Pai, Ching-Yu
    Contributors: 張士傑
    Chang, Shih-Chieh
    Pai, Ching-Yu
    Keywords: 安定基金
    Guaranty fund
    Risk premium
    Regulatory intervention
    Capital injection
    Asset allocation
    Date: 2021
    Issue Date: 2021-07-01 18:16:04 (UTC+8)
    Abstract: 我國壽險業在持有大量長期負債的情況下,為獲得足夠的收益率而將大部分資金投資於海外部位,使保險人需承擔極大的匯率風險。近期,由於新冠肺炎的影響,國內外投資利率降低、新台幣升值造成匯損以及IFRS17的引入,皆為壽險業帶來不少影響。為了維持金融體系的穩定,主管機關應謹慎控管保險人的違約風險。故本研究以財團法人保險安定基金(以下簡稱,保險安定基金或安定基金)風險保費作為衡量保險公司違約風險之標準,將利率與匯率的不確定性及相關性納入評價模型,觀察監管干預行為對於提前接管、財務稽核期與監理寬容期間保險人違約風險的影響。本研究將詳細釐清:(1)限期增資計畫對於安定基金風險保費之影響;(2)限縮投資風險對於安定基金風險保費之影響;(3)比較兩項監管干預措施對於不同階段風險保費之影響。
    This study investigates the default risk of insurance companies under the regulatory interventions through the capital injection scheme and the risk constrained asset allocation. In our framework, the risk premium of Taiwan Insurance Guaranty Fund is used to measure the default risk of insurance companies, and the uncertainty and correlation of interest rates and exchange rates are incorporated into the premium rating. Then we analyze the impact of regulatory intervention on the insurers' default risk during the early bankruptcy, the financial audit period and the grace period. The main research is: (1) the impact of the capital injection scheme on the risk premium; (2) the impact of the risk constrained asset allocation on the risk premium; (3) the impact of two regulatory interventions on the risk premium of different stages.
    We find that: (1) in the capital injection scheme, when the amount of injected capital reaches a certain percentage, it will effectively reduce the default risk of the insurer during the financial audit period and grace period; (2) if the risk constrained asset allocation is applied, the insurer's default risk will increase during the financial audit period, but decrease during the grace period; (3) Both regulatory interventions can reduce the total risk premiums of Taiwan Insurance Guaranty Fund. For the risk premium of the financial audit period, the capital injection scheme is more effective than the risk constrained asset allocation. But for the risk premium of the grace period, the risk constrained asset allocation is more effective. Therefore, this study believes that for the control of the default risk of life insurance companies, the supervisory authority should develop appropriate regulatory intervention strategies for insurers based on its financial structure, asset risks, and the impact of different regulatory interventions.
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0108358010
    Data Type: thesis
    DOI: 10.6814/NCCU202100633
    Appears in Collections:[風險管理與保險學系 ] 學位論文

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