風險基礎資本額制度下壽險公司之最適投資決策

Abstract

在資產面，以風險性與較不具風險性兩樣資產來構成壽險公司的投資策略。由於我們股價報酬率與市場利率變動並非獨立，故以Cholesky decomposition模擬此兩項資產的未來報酬率。以十年期躉繳生死合險的分紅保單與生死合險的不分紅保單這兩種保險商品以不同比例組成的負債結構。除此之外，解約率將隨市場利率而變動。從保單的角度出發，保單資產面的投資組合與負債面的結構在年底會為保險公司所帶來的風險基礎資本總額ACLC，但同時其為股東帶來的獲利也可以增加計算RBC資本適足率中的自有資本，於是我們可以算出由保單角度出發的資本適足率。本論文思考在不同的負債結構下，從股東的角度來看，保險公司如何從事其資產配置在符合風險基礎資本額制度下最大化股東報酬。可得論文如下: (一) 考慮RBC，風險性資產的投資受限，會使股東所得金額小於0的機率要比未考慮RBC來的低，風險也降低。 (二) RBC的風險係數制定會影響公司的資產配置 : 1.當C1風險係數降低時，保險公司投資更積極，反之亦然；2. 調降法定資本適足率使保險公司投資更積極。 (三) 未來環境的改變也是壽險公司改變最適投資策略的因素之一：1. 因為股票報酬波動率的下降，保險公司的投資策略趨較為保守。反之當股票報酬率波動度上升時，風險性資產的比重也會增加；2, 利差損對保險公司會加重保險公司在C3利率風險必需提列的風險基礎資本額，且因為投資報酬率過低，股東難有獲利，對自有資本有不利的影響。市場利率要比分紅及不分紅保單的預定利率低，在這種情形下，股東如想獲得較高的報酬理應把資產配置在風險性資產上。但本研究因為加入RBC的考量，發行較多分紅保單者會找不到最適解，發行較少分紅保單者則會把資金都投資在無風險性資產上；3. 市場利率大於不分紅保單的預定利率時，會造成不分紅保單大量解約的現象。在不分紅保單大量解約的情形下，剩下的保單多為分紅保單，所以在此情形中，保險公司多會投資在無風險性資產以求穩定的資產報酬率及符合法定資本適足率的規範。

We assume that the insurance company issues participating policies and nonparticipating policies, and then invest money in risky assets and riskless assets. In our assumption, interest rates and stock returns are not independent, so we use Cholesky decomposition to simulate returns of risky assets and riskless assets. Besides, the lapse rates are related to interest rates. The asset allocation and the product mix (different combinations of participating policies and nonparticipating policies) will have an impact on RBC ratio of the insurance company. In this article, we will change the risk weight of RBC, the expected value of long term interest rate, the volatility of stock returns, and participation level to find the best investment strategy in the presence of RBC standards. The results are as follows: 1. Since risky assets have highest risky weight, the insurance company will conserve its capital by allocating fewer assets to risky assets. 2. When the risky weight of asset risk (C1) decreases, the insurance company will invest more money in risky assets. 3. It would be better for the insurance company to invest more money in risky assets if the volatility of stock returns increases. 4. If the the expected value of long term interest rate is much higher than the pricing rate of nonparticipating policies, the lapse rate of nonparticipating policies will be high. So the proportion of participating policies in product mix is high. The insurance company will invest more money in riskless assets to obtain stable asset returns. 5. If the expected value of long term interest rate is much lower than the pricing rate of nonparticipating policies and participating policies, it would make negative impacts on profits of the insurance company. The insurance company will invest more money in riskless assets in order to meet risk-based capital requirements.