選擇權評價方法於人壽保險公司清償能力預警系統建立之運用

The Application of Option Valuation Method in Establishing the Warning System of Life Insurance Company Solvency

王毓鍵(Yu-Chien Wang)

指導教授 ： 張傳章

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2011年)

摘要

有鑑於台灣保險監理法令愈趨嚴謹之要求，及逐步與國際相關會計制度(IFRS4)與風險管理制度(SolvencyⅡ)之接軌，台灣的人壽保險業經營正面臨著極大挑戰。由於保險商品定價、精算簽證、清償能力預警到整體風險管理等各個作業分由不同部門掌管，其使用管理方法的差異，除可能造成各部門間溝通上之障礙，亦可能使得保險經營無法達到最大效益，因此本文嘗試以選擇權之評價方法建立可與精算簽證制度、國際會計準則（IFRS4）及歐盟SolvencyⅡ具有相同理論基礎之清償能力預警方法。
本文所採用之研究方法係以美式選擇權評價理論架構之觀點切入，將人壽保險公司之資產部位視為一連動標的債券並將其導入美選擇權之評價方法中，其中以最小平方蒙地卡羅法（Least-Squares Monte Carlo Method）、單因子隨機利率模型及多變數模擬方法為建構清償能力預警系統之基礎。本文最後並提供於建構過程中用以建立程式碼之有效流程。

關鍵字

清償能力

並列摘要

There are more challenges of operating in the life insurance industry because of the more strict requirements in overseeing, the developments in the account system such as “IFRS4” and the risk management system such as “Solvency Ⅱ”. For a life insurance company, the various departments are responsible for policies valuation, preparation of actuarial overseeing documentation, early warning of solvency and risk management in using the different methods, thus to communicate with each other and to make the largest profit are difficult. In this article, to establish the early warning system of solvency which is based on the equivalent theoretical methods with preparation of actuarial overseeing documentation, “IFRS4” and “Solvency Ⅱ” is the principal attempt.
The research method in this article is based on how to take the valuation of American-Option. First, the assets of a life insurance company are regarded as gearing sign bond. Second, Least-Squares Monte Carlo Method, single factor stochastic interest rate model and multi-variable simulation procedure are used to construct the early warning system of solvency. Finally, the efficient processes for coding is supplied.

並列關鍵字

Solvency

參考文獻

周國端等5人，”RBC相關議題之研究”，行政院金融監督管理委員

Abramowitz, W. and I. Stegun., Handbook of Mathematical

Functions with Formulas, Graphs, and Mathematical

Boyle, P., “Options：A Monte Carlo Approach”, Journal of

Financial Economics, Vol. 4, pp.323~338., 1977