Risk Assessment of the Life Insurer in Taiwan: An Examination of the Interest Sensitive Life Insurance Policies

台灣壽險保險人之風險評估：利率變動型壽險之檢視

張士傑(Shih-Chieh Chang) ； 宣葳(Wei Hsuan)

《風險管理學報》 20卷1期 (2018/06) Pp. 5-28

摘要

In this study we 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. All model parameters in this paper are estimated through actual Taiwanese market data. The fair valuation and risk measures of these interest sensitive life insurance policies are computed via Monte Carlo simulations.

關鍵字

interest sensitive life insurance ； stochastic volatility ； CIR interest rate model ； Monte Carlo simulation

並列摘要

本文檢視在台灣地區銷售之典型利率變動型壽險之公平定價問題。假設資產過程滿足Heston隨機變動模型、利率過程為CIR模型，保險給付將為一系列遠期起點期權之總和。本文就台灣財務市場之資料進行模型參數估計，再利用蒙地卡羅法計算契約公平價格，同時計算風險值（VaR, ES）。

並列關鍵字

利率變動型壽險 ； Heston隨機變動模型 ； CIR利率模型 ； 蒙地卡羅模擬

參考文獻

Andersen, L. (2008). Simple and efficient simulation of the Heston stochastic volatility model. Journal of Computational Finance, 11, 1-42.

Bacinello, A. (2001). Fair pricing of life insurance participating policies with a minimum interest rate guaranteed. ASTIN Bulletin, 31, 275-297.

Bacinello, A., & Ortu, F. (1996). Fixed income linked life insurance policies with minimum guarantees: pricing models and numerical results. European Journal of Operational Research, 91, 235-249.

Bakshi, G., & Madan, P. (2000). Spanning and derivative-security valuation. Journal of Financial Economics, 55, 205-238.

Barbarin, J., & Devolder, P. (2005). Risk measure and fair valuation of an investment guarantee in life insurance. Insurance: Mathematics and Economics, 37, 297-323.