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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

隨機波動下利率變動型人壽保險之違約風險分析 / Default AnalysisofInterestSensitiveLifeInsurance Policies underStochasticVolatility

曾暐筑, Tseng, Wei Chu Unknown Date (has links)
資本市場之系統性風險加劇時,對於利率變動型人壽保險所持有之區隔資產將出現大幅波動,進而影響保險公司之清償能力,本研究透過建立區隔資產負債表之隨機模型,檢視系統性風險下對於人壽保險業違約風險之變化,並透過敏感度分析找出對違約風險影響最大的因子。 本研究依據利率變動型壽險之現金流量建立公司之資產負債模型,預期建立Heston (1993)模型描述標的資產的隨機波動過程,相較於以往Black-Scholes (1973)模型更能反映真實的市場波動。本研究藉由資產與負債的變化,衡量保險公司違約風險,同時分析影響違約風險之各項因子,包含解約、死亡與資產配置策略之關聯性。本研究結果顯示,宣告利率、評價時間長度及資產配置策略等皆會影響保險公司之違約風險及其破產幅度。 / When systemic risk of capital markets exacerbates, the segment assets that held by interest sensitive life insurance policies will fluctuate widely and affect insurer's solvency. This paper considers the problem of valuating the default risk of the life insurers under systematic risk, by constructing a stochastic model of segment balance sheet. In this paper, we establish insurer's asset-liability model on the basis of interest sensitive life insurance policies' cash flow.In particular, we use Heston(1993) model to simulate stochastic process of assets, which is better reflect market volatility than Black-Scholes(1973) model in reality. And moreover, by means of the variation on asset and liability, this study evaluating the default risk of life insurers and analyze the factors affect default risk, like the correlation between surrender, death and asset allocation. And using the result of sensitivity analysis to determine which factor is more important, like guaranteed rate, time period of valuation and so on.

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