Allocating overseas: Risk assessment of currency hedging in Taiwan life insurance industry
學年 107
學期 2
出版（發表）日期 2019-04-02
作品名稱 Allocating overseas: Risk assessment of currency hedging in Taiwan life insurance industry
作品名稱（其他語言）
著者 Shih-Chieh Chang; Yen-Kuan Lee; Wei Hsuan; Chang-ye Tu
單位
出版者
著錄名稱、卷期、頁數 Asia-Pacific Journal of Risk and Insurance 14(1)
摘要 A persistent low-interest-rate environment has had a notable impact on the life insurance industry. For reducing the negative interest-rate spread problems, Taiwan life insurer’s asset allocation shift to international diversifies. In this paper, overseas investment is incorporated into the asset portfolio to reflect the growing practice of life insurers taking offshore risks for yield enhancement. We calibrate contract parameters and surplus distribution is investigated through feasible hedge strategies. Foreign-exchange volatility reserves, forward hedge, and basket hedge are compared based on the shortfall measures under risk-neutral valuation. The shareholder’s claim and default put options are compared. The numerical results show that FX volatility reserves are the most effective instrument for controlling currency risk, followed by basket hedge. By contrast, fully forward hedge is cost enhanced and might not generate the advantage of carry trade.
關鍵字 overseas investment;interest-sensitive;foreign-exchange reserves;non-deliverable forward;basket hedging;shortfall
語言 en
ISSN 2153-3792;2194-606X
期刊性質 國外
收錄於 EconLit NotTSSCI
產學合作
通訊作者
審稿制度 否
國別 DEU
公開徵稿
出版型式 ,電子版,紙本
相關連結

機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/122863 )