海外股價指數連動式變額壽險之評價與分析：以國內某壽險公司之產品為例

A Case Study On The Overseas Equity Index Linked Variable Life Insurance

邱青秀(Ching-Hsiu,Chiu)

指導教授 ： 陳達新

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2008年)

摘要

近年來，由於國內經濟處於結構性的轉變，利率持續維持在低檔，在這種情況下，金融機構積極設計研發各式以固定收益商品搭配衍生性金融商品之資產組合商品。而投資人在購買壽險公司所銷售之投資型保險商品可能面臨到不同的投資陷阱，針對研究國內某壽險公司之商品來評價出此商品是否為合理價格，故希望藉由研究該商品，讓投資人更能了解投資型保險商品的產品特性及架構便引發了本文研究的動機。
本研究以蒙地卡羅模擬法進行評價發現此連動式債券評價結果，其價差幅度為發行面額之3.4%左右，可視為發行機構承擔避險成本與預期避險誤差等不確定性下之合理報酬，其對投資人來說為一個合理的債券價格；另再加入三種投資組合報酬型態模擬，以簡單點對點法型態之最高報酬率有機會達到107%，最低報酬率則四種報酬型態有99%以上機率可達到本研究商品保證最低外幣收益40%報酬率。在輔以過去日股、港股歷史資料進行回溯測試，結果發現以每年重設法之最高報酬率有機會達到60%，而在報酬機率分配的情況下與蒙地卡羅模擬出來的機率相當，顯示其模擬出來的報酬分配和歷史資料測試結果可合理解釋。在敏感度分析方面，隱含選擇權的價值的變化對指數債券總價值並無太大影響因佔比重非常小，另外幣保證收益率、參與率變化對指數債券期初理論價值呈正向關係，而折現率的變化則呈現反向關係。

關鍵字

股價指數連動式債券 ； 變額壽險 ； 蒙地卡羅模擬法 ； 回溯測試 ； 敏感度分析

並列摘要

In recent years, since domestic economy is undergoing structural transition, the market rates of interest remain low for a sustained period. Under these circumstances, financial institutions have been actively developing structured products combining fixed-income securities with various options. However, investors could face numerous traps when buying these products. This research focuses on a product of a life insurance company in Taiwan to see whether its price is reasonable. The motivation under this research is, thus, intended to help investors understand more about the characteristics and structure of these kinds of investment-linked product.
This research uses Monte Carlo simulation to evaluate the structure note in our case study and finds that it is priced with a premium of around 3.4% of its face amount. The premium could be deemed as the fair return to the issuer for paying the hedge costs and assuming uncertainties such as those associated with expected hedging error. We add additional 3 kinds of indexation design to simulate their returns. Of these three additional designs, the point-to-point contract can achieve a return as high as 70%. All four indexation designs are able to achieve the minimum guaranteed foreign currency return of 40% with a probability of more than 99%. By using the historical data of Nikkei and Hang Seng Index to conduct back testing, we found that the annual ratchet contract has the opportunity to achieve a return of 60%, and the return distribution is about the same as that of the Monte Carlo simulation, which indicates that the historical return variation can be explained by the simulated results. With respect to the sensitivity analysis, the variation in the embedded option value does not have a significant effect on the value of the contract as a whole, since it only accounts for a small fraction of the contract value. Besides, variations of the guaranteed foreign currency returns and the participation rate have a positive relationship with the initial theoretical value of the contract, while the relationship between the discount rate and the initial theoretical value are negative.

並列關鍵字

Stock Indexed Structured Note ； Variable Life Insurance ； Monte Carlo Simulation ； Back Testing ； Sensitivity Analysis

參考文獻

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