三篇關於保險業資產負債管理議題之論文
學年 110
學期 1
出版（發表）日期 2021-10-01
作品名稱 三篇關於保險業資產負債管理議題之論文
作品名稱（其他語言） Essays on Asset and Liability Management Analysis
著者 宣葳
單位
出版者
著錄名稱、卷期、頁數
摘要 This study focuses on the management of the three most challenging topics life insurers in Taiwan currently face, namely the life insurance policy with the highest annual gross premium income, the dominating asset on the life insurer's balance sheet, and the development of a model which faithfully captures the dependency between multiple underlying assets within the life insurer's portfolio. We first examine the fair pricing of interest rate sensitive life insurance policies that are commonly sold in Taiwan. With the reference portfolio following Heston's stochastic volatility process, the payoff function of these policies consists of a series of forward-start options. Although the option to surrender are standard features of these policies, policyholders incur heavy penalties should they exercise such option. Given certain policyholder behaviour, we study the impact of the minimum guaranteed interest rate, and the annually declared bonus rate on the issuing company's solvency. The need for pricing transparency and a reliable source of reference is of utmost importance in view of the sheer volume of the international bonds listed on the Taipei Exchange that the life insurers in Taiwan hold and the lack of a liquid secondary market. We provide the life insurers the means to evaluate the mark-to-market value of these callable bonds without having to rely on third parties to do so. We are able to collate publicly available data and make use of open source software to construct a bespoke system that can independently price the international bonds. The copula concept with its multivariate time-series model generalization, namely the copula-GARCH model, and robust statistical inference procedures based on the empirical processes theory are investigated in depth. A vast majority of existing literature on applications of copula often makes assumptions without justification or conducts inadequate statistical tests for verifications. Here we demonstrate what we believed to be the preferred way of using copula for financial and risk management applications by the detailed valuation of guarantees embedded in variable annuities with multiple underlying assets.
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語言 en
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機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/124690 )