權變投資組合保險策略於附保證變額年金之應用

Abstract

摘要 在現今的金融環境及台灣邁向高齡化社會狀況下，附保證變額年金應是相當適合一般民眾作為退休理財規劃的金融商品。對一般大眾而言，保險公司提供最低退休生活保障並同時享有參與資本市場多頭之機會。另一方面，對保險司而言，此商品也是一個全新的挑戰，因其風險性質顯然與過去商品截然不同，是以如何建立此類型保單投資組合之管理策略即成關鍵。附保證變額年金商品之特性，即保留參與資本市場多頭的機會，因此在適當時期須將資產配置於高風險高報酬之部位，同時因附保證條款之故，又須謹慎的控制投資組合的下檔風險，否則保險公司將會面臨巨大的金額支出。因為提供附保證條款，所以保險公司會在每個月的帳戶價值部分多收一筆附保證費用(即避險成本)用來因應未來可能不夠的保險金額支出。目前市面上有提供附保證商品的公司並不多，且大多有限制投資人的投資標的選擇，以用來控制未來不夠的保險金額支出的機率。避險成本與帳戶投資報酬率有密切之關係，本文引用投資組合保險理論，搭配濾嘴法則與動態風險乘數，試著從避險成本、期末帳戶價值以及違約機率的觀點去比較各策略之優劣，並對各參數進行敏感性分析。 對照傳統投資組合保險，採用動態調整風險乘數之投資組合保險，的確可以有效降低避險成本，適度提升期末帳戶價值。而搭配濾嘴法則之投資組合保險，隨著濾嘴比率之上升，避險成本與期末帳戶價值皆隨之下降。整體而言，採用權變投資組合保險其績效優於傳統投資組合保險。

關鍵詞：投資組合保險、濾嘴法則、避險成本、期末帳戶價值、 動態風險乘數

Abstract VA with guarantee is tailor made for people who plan their future retirement life under nowadays’ financial environment and state of aging society. For investor, the insurance company provide the minimum retirement guarantees and opportunity to profit in bull market. In the other hand, this product has whole new challenge toward the insurance company. It is because the risk、characteristic of this product is totally different from the past product. Therefore, how to construct strategy of asset allocation is the main key. The characteristic of VA with guarantee is to have the chance to share the bull market. At the same time, because of the with-guarantee, the insurance company should control the downside risk carefully. Otherwise, the insurance company will face numerous amount loss. Because of with-guarantee, the insurance company will charge guarantee expense at the start of a month in case of numerous amount loss in the future. The hedge cost has great relationship with the portfolio return, so this study quote portfolio insurance、filter rule、dynamic m multiplier and try to analyze、compare every different strategy from the point of view of hedge cost、final account value、default probability. At the end of this study, we also do the scenario analysis by the different setting of parameter.

Compared with traditional portfolio insurance, the portfolio insurance with dynamic m multiplier do great low the hedge cost and enhance final account value. And the portfolio insurance with filter rule, with the rise of filter rate, the hedge cost and the final account value both fall. As a whole, the performance of contingent portfolio insurance is better than the traditional portfolio insurance.

key words: portfolio insurance、filter rule、hedge cost、final account value、dynamic m multiplier