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| Title: | 升息循環下人壽保險公司匯率避險有效性
The Effectiveness of Currency Hedging of Life Insurance Companies Under the Environment of Rising Interest Rates |
| Authors: | 邱子恩
Chiu, Tzu-En |
| Contributors: | 張士傑
邱子恩
Chiu, Tzu-En |
| Keywords: | 利變型壽險商品
匯率避險策略
資產負債比
虧損風險
ISL
Currency hedging strategies
Asset-liability ratio
Shortfall risk |
| Date: | 2023 |
| Issue Date: | 2023-08-02 14:23:43 (UTC+8) |
| Abstract: | 為釐清在升息的市場情況下，不同匯率避險策略之有效性，本研究建立資本市場情境且納入匯率模型。假設壽險公司以銷售市占率最高的利率變動型壽險商品為主，基於資產負債管理並加入避險工具，於不同避險情境模擬保險公司的現金流並計算股東權益。透過10,000次模擬之數值進行分析，估算在不同避險策略下，壽險公司發行利變型壽險商品之虧損風險，並進行差異說明。
研究考慮換匯交易避險工具並試算成本，分析降低避險比率對於壽險業匯率風險之影響，並評估不同匯率避險策略之有效性。結果顯示：
1. 在升息的市場情況下，降低直接避險比率不會讓壽險業之虧損機率及虧損嚴重程度增加。
2. 關於避險策略，研究證實滾動式避險是更彈性的避險方式，同時在直接避險成本高昂時，以美元指數相關貨幣組成替代避險工具可減少壽險公司之違約風險。
3. 除調整避險策略外，研究發現在升息的市場情況下，降低資產負債比或提高匯兌損失沖抵準備金的比率可降低虧損風險。
In order to clarify the effectiveness of the variance currency hedging strategies under rising interest rates, this study incorporate the exchange rate into the capital market model. It assumes that life insurance companies mainly sell interest-sensitive life (ISL) insurance policies, which have the highest market share. By incorporating hedging tools into asset-liability management, cash flow simulations are conducted for varying hedging scenarios and shareholders` equity is calculated. Through 10,000 simulations, this study estimates the shortfall risk associated with various hedging strategies, demonstrating the effectiveness of currency hedging.
This study considers the costs associated with foreign exchange swaps and aims to investigate whether reducing the hedging ratio indeed increases the currency risk faced by life insurance companies. The simulation results indicate:
1. By reducing the hedging ratio under rising interest rates does not increase the shortfall risk of the life insurance companies.
2. Regarding the hedging strategy, this study confirms that rolling hedging is a more flexible approach, such that when the cost of direct hedging is high, one can consider the use of US dollar index-related currencies as an alternative hedging tool to reduce the shortfall risk.
3. In addition to adjusting the hedging strategy, this study finds that under rising interest rates, reducing the asset-liability ratio or increasing the exchange loss reserve’s offset ratio is beneficial for reducing the shortfall risk. |
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網路資料
金管會保險局網頁，111年1月至12月保險業損益、淨值，以及兌換損益、避險損益與外匯價格變動準備金情形。檢自https://www.ib.gov.tw/ch/home.jsp?id=239&parentpath=0,2,238&mcustomize=news_list.jsp（2023年5月21日）。
金管會保險局網頁，金管會近日將發布修正「人身保險業外匯價格變動準備金應注意事項」第二點、第三點。檢自https://www.ib.gov.tw/ch/home.jsp?id=239&parentpath=0,2,238&mcustomize=news_view.jsp&dataserno=202303160004&toolsflag=Y&dtable=News（2023年5月21日）。
政府資料開放平台，銀行間市場新臺幣對美元收盤匯率。檢自https://data.gov.tw/en/datasets/7232（2023年5月21日）。
財金M平方網頁，美國-BBB級公司債實際收益率。檢自：https://www.macromicro.me/charts/14165/us-corporate-bbb-effective-yield （2023年5月21日）。
Investing.com. Taiwan 10-Year Bond Yield. Retrieved from https://www.investing.com/rates-bonds/taiwan-10-year-bond-yield (May 21, 2023).
Investing.com. United States 10-Year Bond Yield. Retrieved from https://www.investing.com/rates-bonds/u.s.-10-year-bond-yield (May 21, 2023).
Investing.com. US Dollar Index (USDX). Retrieved from https://www.investing.com/currencies/us-dollar-index (May 21, 2023).
Investing.com. USD/TWD - US Dollar Taiwan Dollar. Retrieved from https://cn.investing.com/currencies/usd-twd-historical-data (May 21, 2023). |
| Description: | 碩士
國立政治大學
風險管理與保險學系
110358014 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110358014 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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