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    Title: 國外投資與匯率避險對於人壽保險公司履約能力之分析
    The Analysis of Foreign Investment and Currency Hedging on the Solvency Assessment of the Life Insurers
    Authors: 許祐瑄
    Hsu, Yu-Hsuan
    Contributors: 張士傑
    Chang, Shih-Chieh
    許祐瑄
    Hsu, Yu-Hsuan
    Keywords: 風險保費
    國外投資
    匯率避險
    波動度
    Risk premium
    Foreign investment
    Currency hedging
    Volatility
    Date: 2021
    Issue Date: 2021-07-01 18:22:26 (UTC+8)
    Abstract: 台灣壽險業資產快速累積下,受限國內固定收益市場規模小、利率持續下降,加上國外投資上限不斷放寬,使壽險公司紛紛轉往國外投資,以追求更高收益,整體壽險業於2018年國外投資比例高達68.65%,創下歷史新高。近期新冠肺炎擴大,在全球低利率環境、台幣升值下,壽險業面臨莫大的匯率、利率風險。
    故本文研究安定基金的風險保費,以衡量保險公司的違約風險所得出,在此考量匯率、利率風險因子,並加入匯率避險工具,以及匯率、利率相關性,分析各因子對風險保費的影響,詳細釐清:(1)國外投資上限對風險保費影響;(2)利率、匯率與風險保費關係;(3)避險比例對風險保費的關聯性。
    研究結果顯示:(1)若國外投資上限放寬,隨國外投資比例增加,受匯率、利率波動影響下,使保費增加;(2)匯率、國外利率波動度增加,使保費增加,且國外利率風險大於國內利率風險;此外,三者間相關係數增加,亦使保費增加。(3)匯率避險效果顯著降低匯率風險與利率風險。因此,建議國外投資比重、匯率與利率、匯率避險等因子應納入安定基金風險保費的計算,以確保壽險公司之履約能力。
    With the rapid accumulation of assets in Taiwan’s life insurance industry, the restricted domestic fixed-income market is small, interest rates continue to fall, and foreign investment ceilings continue to be relaxed, causing life insurance companies to invest abroad for higher returns. In 2018, the proportion of foreign investment reached 68.65%. In addition, the recent expansion of the COVID-19, the life insurance industry is facing enormous exchange rate and interest rate risks under the global low interest rate environment and the appreciation of the TWD.
    This paper studies the risk premium of life insurance guaranty schemes, which can be reflected the default risk of life insurers. We consider exchange rate and interest rate risk factors, and adds exchange rate hedging tools, as well as the correlation between exchange rate and interest rate, to analyzes the impact of each factor on risk premiums. The main research is: (1) the impact of foreign investment ceiling on risk premiums; (2) the relationship between interest rates, exchange rates and risk premiums; (3) the impact of currency hedging on risk premiums.
    The research results show that: (1) With foreign investment ratio increases, the premium increases; (2) The volatility of exchange rate and interest rate increases, the premium increases; and the foreign interest rate risk is greater than the domestic interest rate risk; in addition, the correlation coefficient between interest rate and exchange rate will increase premiums; (3) The exchange rate hedging effect significantly reduces exchange rate risk and interest rate risk. Therefore, We recommend that the factors of foreign investment ratios, exchange rate and interest rate, currency hedging should be included in the calculation of the risk premiums to ensure the performance of life insurance companies.
    Reference: 一、中文文獻
    (一)學術文獻
    李伊濘,2017,《債券發行與交易之實務作業管理—外幣計價國際板債券(寶島債券)》。出版地:證券櫃檯買賣中心。
    梁正德、謝明華、郭維裕、蔡政憲,2009,《監理機關評估保險業國外投資風險之模型》。出版地:金融監督管理委員會。
    陳芝宇,2003,風險資本制度實施後對壽險業投資行為及業務的影響,國立政治大學風險管理與保險學系所碩士論文。
    黃雅文、張士傑,2011,《保險業資產配置之決定及其影響》,出版地:財團法人保險安定基金。
    劉怡君,2006,實施RBC制度對台灣壽險公司資產配置與投資風險之影響,國立政治大學風險管理與保險學系所碩士論文。
    鄭嘉青,2009,台灣壽險業風險資本額制度之研究,國立臺灣大學社會科學院經濟系所碩士論文。

    (二)網路資料
    中華民國中央銀行全球資訊網,中央銀行年報,上網日期:2021年2月28日,檢自:https://www.cbc.gov.tw/tw/lp-726-1.html。
    全國法規資料庫,保險法,上網日期:2021年2月6日,檢自:https://law.moj.gov.tw/LawClass/LawAll.aspx?pcode=G0390002。
    全國法規資料庫,保險業從事衍生性金融商品交易管理辦法,上網日期:2021年2月10日,檢自:https://law.moj.gov.tw/LawClass/LawAll.aspx?pcode=G0390074。
    全國法規資料庫,保險業資本適足性管理辦法,上網日期:2021年2月27日,檢自:https://law.moj.gov.tw/LawClass/LawAll.aspx?pcode=G0390051。
    全國法規資料庫,保險業辦理國外投資管理辦法,上網日期:2021年2月18日,檢自:https://law.moj.gov.tw/LawClass/LawAll.aspx?pcode=G0390020。
    金融監督管理委員會,保險業損益、淨值,以及兌換損益、避險損益與外匯價格變動準備金情形,上網日期:2021年3月6日,檢自:https://www.ib.gov.tw/ch/home.jsp?id=239&parentpath=0,2,238&mcustomize=news_view.jsp&dataserno=202101280001&dtable=News。
    金融監督管理委員會,推動金融進口替代政策,上網日期:2021年2月6日,檢自:https://www.fsc.gov.tw/ch/home.jsp?id=493&parentpath=0,7。
    金融監督管理委員會,落實人身保險業外匯價格變動準備金機制,上網日期:2021年2月18日,檢自:https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=201202290011&toolsflag=Y&dtable=News。
    金融監督管理委員會,預告「保險業辦理國外投資管理辦法」第15條、第15條之2修正草案,研擬放寬外幣保單限額,並強化匯率風險揭露及招攬人員訓練,上網日期:2021年5月23日,檢自:https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=202103090003&toolsflag=Y&dtable=News。
    金融監督管理委員會,證券暨期貨市場重要指標,上網日期:2021年3月6日,檢自:https://www.sfb.gov.tw/ch/home.jsp?id=622&parentpath=0,4,109&mcustomize=。
    財經M平方官網,上網日期:2021年5月22日,檢自:https://www.macromicro.me/。
    財團法人保險事業發展中心,「109年保險業計算自有資本及風險資本之範圍及計算公式」,上網日期:2021年2月27日,檢自:https://www.tii.org.tw/tii/actuarial/actuarial3/checkReport/index.html。
    財團法人保險事業發展中心,202101保險市場重要指標,上網日期:2021年2月6日,檢自:https://www.tii.org.tw/tii/research/research05/category03/000168.html。
    植根法律網,人身保險業外匯價格變動準備金應注意事項,上網日期:2021年2月18日,檢自:http://www.rootlaw.com.tw/LawContent.aspx?LawID=A040390061025500-1080130。
    證券櫃檯買賣中心,ETF歷史行情統計表,上網日期:2021年3月6日,檢自:https://www.tpex.org.tw/web/etf/historical/etf_statistics.php?l=zh-tw。

    二、英文文獻
    (一)學術文獻
    Boulier, J. F., Huang, S., & Taillard, G. (2001). Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund. Insurance: Mathematics and Economics, 28(2), 173-189.
    Briys, E., & De Varenne, F. (1994). Life insurance in a contingent claim framework: pricing and regulatory implications. The Geneva Papers on Risk and Insurance Theory, 19(1), 53-72.
    Briys, E., & De Varenne, F. (1997). On the risk of insurance liabilities: debunking some common pitfalls. Journal of Risk and Insurance, 673-694.
    Chadburn, R. G. (1998). Controlling Solvency and Maximising Policyholders' Returns: A Comparison of Management Strategies for Accumulating With-profits Long-term Insurance Business. City University, Department of Actuarial Science and Statistics.
    Chang, S. C. & Lee, Y. K. (2020). Currency Uncertainty, Interest Guarantee, and Risk-Based Premiums in Life Insurance Guaranty Schemes. Asia-Pacific Journal of Risk and Insurance, 14(2), 1-30.
    Chang, S. C., Lee, Y. K., H. W., & Tu, C. Y. (2020). Allocating Overseas: Risk Assessment of Currency Hedging in Taiwan Life Insurance Industry. Asia-Pacific Journal of Risk and Insurance, 14(1), 1-16.
    Chen, A., & Suchanecki, M. (2007). Default risk, bankruptcy procedures and the market value of life insurance liabilities. Insurance: Mathematics and Economics, 40(2), 231-255.
    Cummins, J. D. (1988). Risk‐based premiums for insurance guaranty funds. The journal of Finance, 43(4), 823-839.
    Duan, J. C. and M. T. Yu. (2005). Fair Insurance Guaranty Premia in the Present of Risk-based Capital Regulations, Stochastic Interest Rate and Catastrophe Risk. Journal of Banking and Finance, 29(10), 2435-2454.
    Duncan, M. P. (1987). Property-Liability Post-Assessment Guaranty Funds. Issues in Insurance, 2, 239-302.
    Grosen, A., & Jørgensen, P. L. (2002). Life insurance liabilities at market value: an analysis of insolvency risk, bonus policy, and regulatory intervention rules in a barrier option framework. Journal of risk and insurance, 69(1), 63-91.
    Han, L. M., Lai, G. C., & Witt, R. C. (1997). A financial-economic evaluation of insurance guaranty fund system: An agency cost perspective. Journal of Banking and Finance, 21(8), 1107-1129.
    Hwang, Y. W., Chang, S. C., & Wu, Y. C. (2015). Capital forbearance, ex ante life insurance guaranty schemes, and interest rate uncertainty. North American Actuarial Journal, 19(2), 94-115.
    Jeanblanc, M., Yor, M., & Chesney, M. (2009). Mathematical methods for financial markets. London: Springer.
    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.
    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
    Sifma, Retrieved February 28 2021, from: https://www.sifma.org/.
    Description: 碩士
    國立政治大學
    風險管理與保險學系
    108358027
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0108358027
    Data Type: thesis
    DOI: 10.6814/NCCU202100632
    Appears in Collections:[風險管理與保險學系 ] 學位論文

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