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| 題名: | 匯率風險下壽險公司再保險安排之避險效益評估
Evaluating the Hedging Efficiency of Reinsurance Arrangements under Exchange Rate Volatility |
| 作者: | 盧承濤
Lu, Cheng-Tao |
| 貢獻者: | 張士傑
曾毓英
盧承濤
Lu, Cheng-Tao |
| 關鍵詞: | 匯率風險
共同保險
壽險業
避險工具
風險移轉
Foreign exchange risk
Coinsurance
Life insurance
Hedging instruments
Risk transfer |
| 日期: | 2025 |
| 上傳時間: | 2025-09-01 16:03:29 (UTC+8) |
| 摘要: | 台灣壽險業長期面臨資產與負債間幣別錯配問題，在國際財務報導準則第九號（IFRS 9）實施下，匯率波動對財務報表造成顯著影響，而現行匯率避險工具使用上仍存有限制與成本負擔，本文探討共同保險合約作為匯率風險移轉與避險機制之可行性與經濟效益。
本研究建構可同時移轉保險風險與匯率風險的共同保險合約架構，協助分出公司鎖定換匯成本，並採用 Sweeney（2006）提出之同時迴歸估計法（Seemingly Unrelated Regression, SUR），驗證匯率資料之均值回歸特性。在模型建立基礎上進行蒙地卡羅模擬，進而推導出再保險人所應承擔風險的最適附加費用率。模擬結果顯示，該共同保險合約可有效轉移匯率風險與保險風險，惟其定價對市場波動程度與政策不確定性高度敏感，並存在盈餘分配比例之非線性臨界值，超出臨界值將導致定價失衡。整體而言，本文所提出之共同保險架構可作為壽險業匯率避險的替代方案，惟其應用涉及資本適足與風險移轉之監理判斷，尚需審慎評估與規範。
Taiwan life insurance industry has faced currency mismatches between assets and liabilities, leading to significant impacts on financial statements under International Financial Reporting Standard 9 (IFRS 9) due to exchange rate fluctuations. Existing hedging instruments are constrained by usage limitations and cost inefficiencies. This study explores whether coinsurance contracts can serve as effective tools for transferring and hedging foreign exchange risk and evaluates their practical feasibility and economic implications.
We propose a coinsurance structure that simultaneously transfers insurance and
currency risk, enabling ceding insurers to lock in foreign exchange costs. Based on the Seemingly Unrelated Regression (SUR) model developed by Sweeney (2006), we validate a mean-reverting exchange rate process and conduct Monte Carlo simulations to derive the optimal loading rate for reinsurers undertaking such risks. Simulation results indicate that the proposed structure can effectively transfer both insurance and currency risks. However, its pricing is highly sensitive to market volatility and policy uncertainty. Furthermore, we identify a nonlinear threshold in the profit-sharing ratio, beyond which the pricing logic collapses. Overall, the proposed coinsurance arrangement presents a viable alternative for foreign exchange risk management in the life insurance sector, though it raises supervisory concerns regarding significant risk transfer and financial engineering. |
| 參考文獻: | 蕭景元、許永明（2019）。衍生性金融商品、再保險與風險－以英國壽險業為例。經濟論文，47(2)，253-295。https://www.airitilibrary.com/Article/Detail?DocID=1018161x-201906-201906280006-201906280006-253-295
Diebold, F. X., & Rudebusch, G. D. (1991). Forecasting output with the composite leading index: a real-time analysis. Journal of the American Statistical Association, 86(415), 603-610.
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Faust, J., Rogers, J. H., & Wright, J. H. (2003). Exchange rate forecasting: the errors we’ve made. Journal of International Money and Finance, 22(1), 1-31.
Kilian, L. (1999). Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions? Journal of Monetary Economics, 43(3), 519-547.
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Meese, R. A., & Rogoff, K. (1983). Empirical exchange rate models of the seventies: do they fit out of sample? Journal of International Economics, 14(1-2), 3-24.
Orphanides, A. (2001). Monetary policy rules based on real-time data. The American Economic Review, 91(4), 964-985.
Sweeney, R. J. (2006). Mean Reversion in G-10 Nominal Exchange Rates. Journal of International Money and Finance, 25(2), 236-258. |
| 描述: | 碩士
國立政治大學
風險管理與保險學系
112358025 |
| 資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0112358025 |
| 資料類型: | thesis |
| 顯示於類別: | [風險管理與保險學系] 學位論文
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