隨機匯率波動下人壽保險公司之風險及清償能力評估

台灣金融市場利率近年來持續走低，對壽險業者來說單靠購買國內資產無法達到要求報酬率，故不得不增加國外投資部為比例。根據保險事業發展中心統計，截至西元2018年第一季，壽險公司之國外投資高已達65.94%。因此壽險必須尋求匯率避險策略以做好匯率之風險管理，本研究將以資產負債模型進行模擬，並考慮納入不同種類之避險工具以及我國法性之外惠價格變動準備金，衡量壽險公司未來之清償能力。資產部份將以CIR雙因子模型模擬國內外短期利率，匯率則是引用無拋補平價理論以建構其模型，再以Heston模型模擬資產之動態隨機過程；負債部份則假設利率變動型壽險作為壽險公司之所售商品，其中包含宣告利率之設定，以及死亡率與解約率之風險因子的考量；此外，本研究亦考慮匯率避險策略，包含自然避險(Natural Hedge)、無本金交割遠期外匯(Non-Delivery Forward)、外匯價格變動準備金(Foreign Exchange Valuation Reserve)以及一籃子貨幣避險(Currency Basket Hedge)；而在參考現行壽險公司之資金運用表後決定本文的投資策略，於風險中立測度下進行10000次之模擬，並以盈餘價值之VaR,CTE及股東買權價值及為約賣權價值分析壽險業未來可能須面臨之清償風險。

關鍵字

匯率風險；匯率避險策略；利率變動型壽險商品

並列摘要

The financial market in Taiwan has been suffered from the low interest rate for a long time recently. To achieve higher rate of return, life insurance companies should invest in foreign assets. According to the statistics from Taiwan Insurance Institude,as of the first quarter of 2018, the proportion of overseas investment for all life insurance companies has reached 65.94%, so life insurance companies should consider currency hedging strategies to manage the risk of exchange rate . Thus, we will perform simulation of assets and liabilities, and different types of currency hedging strategies including currency reserve to measure the future solvency capacities of life insurance companies. Consider assets, we simulate the short-term interest rate based on two-factor CIR model, establish the exchange rate model by Uncovered Interest Rate Parity, and adopt Heston model to simulate stochastic process of assets. As for liabilities, we take interest sensitive life policies into account, including some risk factors, such as mortality and surrender rate. Moreover, we also use some currency hedging strategies, like Natural Hedge, Non-Delivery Forward, Foreign Exchange Valuation Reserve and Currency Basket Hedge. Then we determine our investment strategies on the basis of the current life insurance industry. Finally, we analyze the future solvency capacities of life insurance companies by using VaR and CTE of surplus, call option value of equity ,and default option value through 10000 simulations under risk-neutral measurement.