保險公司生死合險保單匯率風險避險分析：考量無本金遠期匯率及匯率選擇權

Hedging Currency Risk for the Life Insurance Company with Endowment Policies: The Use of Non-deliverable Forwards and Currency Options

楊曉文(Sharon S. Yang) ； 張安興(An-Hsing Chang) ； 呂學翰(Hsueh-Han Lu) ； 林士貴(Shih-Kuei Lin)

《中國統計學報》 60卷2期 (2022/06) Pp. 125-161

摘要

為處理保險公司面臨之匯率風險，本研究建構保險公司的資產、負債以及盈餘模型，假設保險公司發行生死合險保單、設定要保人每期繳納平準保費。在分析保險公司盈餘時同時考慮死亡風險、利率風險。為因應近年來保險公司進行國外投資之趨勢，本研究更考慮保險公司執行國外投資的情況，且利用其引入保險公司的匯率風險，並對風險進行管理。本研究注重於比對國內投資、國外投資以及國外投資後各種避險方式之盈餘表現、對盈餘以及盈餘拆解項做一連串的透析與檢視。本研究之相關分析方法可應用於更廣泛的議題以及更深入之探討，希望藉由本研究之啟發，能夠引起更多專業人士投入此方面的研究。

關鍵字

匯率風險管理 ； 資產負債管理 ； 生死合險保單 ； 利率風險 ； 死亡風險

並列摘要

To deal with the exchange rate risk faced by the life insurance company, this paper constructs the asset model, liability model and the surplus model of it. Assumed that the life insurance company issued endowment policies that policyholders pay level premium each year. We consider the mortality risk and interest rate risk at the same time while analyzing the surplus of the life insurance company. Apart from this, with the trend of international investment among the retails and legal entities, we must consider the currency risk, too. We induce the currency risk by making foreign bonds investment of the company, and perform the analysis of the hedging efficiency of different methods. This paper puts an emphasis on the comparison of the surplus outcome of different portfolio, including domestic investment and foreign investment, and a series of studying the surplus and the surplus decomposition of the life insurance company. We hope this paper would be the inspiration of some expert to conduct the survey in related to this domain.

並列關鍵字

exchange rate hedging ； asset-liability management ； endowment policy ； interest rate risk ； mortality risk

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