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DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 洪茂蔚 | |
dc.contributor.author | Chia-I Lin | en |
dc.contributor.author | 林佳儀 | zh_TW |
dc.date.accessioned | 2021-06-15T13:28:48Z | - |
dc.date.available | 2018-03-08 | |
dc.date.copyright | 2016-03-08 | |
dc.date.issued | 2016 | |
dc.date.submitted | 2016-02-05 | |
dc.identifier.citation | 1. Deloitte, IFRS 4 (Phase II) for Insurance Contracts Revised exposure draft explained through an illustrative example.
2. Duan,J.C.and Yu,M.T., (2005) , Fair Insurance Guaranty Premia In The Presence Of Risk-Based Capital Regulations ,Stochastic Interest Rate And Catastrophe Risk, Journal of Banking and Finance 29:2435-2454. 3. F.B.Hanson and J.J. Westman (2003),Jump-Diffusion Stock Return Models in Finance: Stochastic Process Density with Uniform-Jump Amplitude, in proceedings of the 15th International Symposium on Mathematical Theory of Networks and Systems, D.S. Gilliam and J. Rosenthal, eds., University of Notre Dame, South Bend,pp:1-7. 4. John C.Cox and Stephen A.Ross.,(1976),The Valuation of Options For Alternative Stochastic Processes, Journal of Financial Economics 3 :145-166. 5. International Accounting Standards Board (2014) International Financial Reporting Standard—Insurance Contract. 6. Kevin Dowd and David Blake, (2006), After VAR: The Theory, Estimation, and Insurance Applications of Quantile-based Risk Measures, The Journal of Risk and Insurance 73: 193-229. 7. Kim, J. H. T. and Hardy, M. R., (2007). Quantifying and correcting the bias in estimated risk measures, ASTIN Bulletin, 37(2): 365–386. 8. Kou,S.G.,(2002),A Jump-Diffusion Model for Option Pricing, Management Science Informs Vol.48 , No.8 , August 2002.pp.1086-1101. 9. Merton, Robert C.,(1976),Option Pricing When Underlying Stock Returns Are Discontinuous, Journal of Financial Economics, 3: 125-144. 10. Vasicek, Oldrich A.(1977), An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, 5(2):177-188 11. Hwang Y.W. and Chang S.C. (2011),The Decision of Asset Allocation and it’s Effects of Insurance Company, Taiwan Insurance Fund. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/51260 | - |
dc.description.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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T13:28:48Z (GMT). No. of bitstreams: 1 ntu-105-R02724056-1.pdf: 1129802 bytes, checksum: b27cb6b06773d498438732e2812283e6 (MD5) Previous issue date: 2016 | en |
dc.description.tableofcontents | Contents
口試委員會審定書…………………………………………………………i 中文摘要…………………………………………………………………….ii Abstract…………………………………………………………………….iii Contents…………………………………………………………………….iv List of Figures……………………………………………………………….v List of Tables………………………………………………………………..vi Chapter1 Introduction ………………………………………………………1 Chapter2 Regulation background………………………………………….5 Chapter3 Model Construction……………………………………………8 3.1 Asset model……………………………………………………….8 3.2 Liability model…………………………………………………14 Chapter4 Simulation ……………………………………………………….15 4.1 Parameter estimation………………………………………………16 4.2 Numerical Result…………………………………………………18 Chapter5 Conclusion……………………………………………………….23 Reference …………………………………………………………………..24 | |
dc.language.iso | en | |
dc.title | 壽險業系統性風險與其影響之研究 | zh_TW |
dc.title | A Study on the Systematic Risk and its Impact on the Life Insurance Market | en |
dc.type | Thesis | |
dc.date.schoolyear | 104-1 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 馮詩蘋,蔡佳芬,邱琦倫 | |
dc.subject.keyword | 跳躍過程,系統性風險,負債適足性測試, | zh_TW |
dc.subject.keyword | Jump Diffusion Model,Systematic Risk,Liability Adequacy Test, | en |
dc.relation.page | 24 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2016-02-06 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
顯示於系所單位: | 國際企業學系 |
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