壽險業系統性風險與其影響之研究

Abstract

臺灣壽險業近幾年總資產不斷增加，於2014年底達到18.6兆新台幣，在資產增加趨勢之下，保險公司必須審慎資產配置的策略以避免資產與負債不相匹配的情況發生。從歷史資料可發現，保險業淨值與股票市場有相當高的連動性，系統性風險無法透過資產組合而分散且具有事件觸發之特性，因此在研究中加入Hanson and Westman (2003)所提出的跳躍擴散過程以模擬股價動態過程，在負債面採利變型養老保險為例，透過模型的建構以做負債適足性測試來評估系統性風險對壽險公司所造成的破產機率與其破產價值。 研究結果顯示: (1)與B-S模型相比之下，跳躍擴散過程使資產得變動增加，因此跳躍過程之下的破產機率以及違約價值的絕對值越高。(2)壽險公司槓桿比例越高、股價平均參數上升或是負債風險溢酬上升時，會使得破產機率以及違約價值絕對值上升。

In Taiwan, the total assets of the life insurance markets have reached NT18.6 billion at the end of 2014. Following this trend, an insurer should maintain prudent asset allocation strategies to prevent the mismatch from asset and liability. From the historical data, the net value of the life insurance company has high correlation with stock market, called systematic risk. Systematic risk cannot be removed by asset portfolio and has “event-trigger” property. In this research, we add the jump diffusion process to model the stock price dynamic process. We use a sample retirement insurance to fit in the liability side. With asset and liability models, we can do the liability adequacy test to find out the probability and default value when life insurance companies face systematic risk. The research shows that: (a) Compared to the B-S model, the jump diffusion process shows higher default probability and absolute value of default value. (b) Higher leverage, the mean of the stock, higher risk premium of the liability, and higher elasticity of the interest rate on the liability will cause higher default probability and absolute value of default value.