附保證投資連結型商品之資本要求與避險策略

Hedging and Reserving for Guaranteed Equity-Linked Life Insurance.

賴彥豪(Yen-Hau Lai)

指導教授 ： 周國端

國立臺灣大學/管理學院/財務金融學研究所/碩士(2005年)

https://doi.org/10.6342/NTU.2005.10271

摘要

本研究將焦點放在附有最低保證給付的投資連結型商品，針對其定價與準備金做分析，目的是讓大家認識投資連結型商品以及發行者的風險。定價部分乃是藉由修正B-S賣權評價公式經計算獲得，而準備金部分則是參考英國精算協會所發展的精算準備金法(Actuarial Reserving Method)，透過隨機模擬技術找出負債分配後，再依賴可靠的風險衡量值來估算所需之資本。經由本研究模擬的數據顯示，台灣股市相較於其他海外的股市其波動性更大，在投資人帳戶金額多半選擇投資於台股的條件下，更加考驗發行公司的風險管理能力，因此本研究在後半段提出了動態避險策略，作為保險公司降低風險的參考工具。另外本研究根據附保證投資連結型保單的資本要求，做了一連串的敏感度分析，結果可以給大家作為參考。

關鍵字

附保證投資連結型商品 ； 資本要求 ； 精算準備金法 ； 動態避險策略

並列摘要

This paper examines the pricing of and reserving for certain guarantees that are associated with some insurance contracts. Specifically we deal with death and maturity guarantees, which provide a minimum level of benefits when the policy matures or when the policyholder dies, if earlier. Under actuarial reserving method using
stochastic simulation techniques, we provide numerical estimates of the reserves required. The results suggest a higher level of reserve of investment guarantees in Taiwan. It highlights the risks associated with insurance products with investment guarantees in Taiwan. Further we describe hedging strategies which allow underwriting companies to reduce their risk exposure to these contracts. Since we do the calculations realistic by basing our numerical work on plausible parameter values and taking into account items such as expenses, transaction costs and the impact of lapses, our work has implications for current practice.

並列關鍵字

Equity-Linked Insurance ； Capital Requirement ； Actuarial Reserving Method ； Dynamic Hedging Strategy

參考文獻

1.Antoon Pelsser, (2003), Pricing and Hedging Guaranteed Annuity Options via Static Option Replication.

2.Bacinello, A. R., and Ortu, F. (1993). Pricing Equity-linked Life Insurance with Endogenous Minimum Guarantees, Insurance: Mathematics and Economics.

3.Black, F., and Scholes, M., (1973). The pricing of options and corporate liabilities. Journal of Political Economy.

5.Boyle, P. P., and Hardy, M.R. (1997). Reserving for maturity guarantees: Two approaches. Insurance: Mathematics and Economics.

6.Boyle, P. P., and Schwartz, E. S. (1977). Equilibrium Prices of Guarantees under Equity-Linked Contracts. Journal of Risk and Insurance.