以CIR隨機利率模型下之風險管理 ---反浮動債券與分紅保單應用

Abstract

在CIR隨機利率模型下，以有效存續期間為利率風險衡量指標，模擬反浮動債券、不分紅保單、分紅保單的有效存續期間。研究結果發現: (利率的長期水準)變動對反浮動債券、不分紅保單、分紅保單價格才會有較大的影響，而r(0)(起始利率)、k(均數回歸調整速度)、 (短期利率的波動性)變動對於價格影響較小。所以當 (利率的長期水準)變動時，才會較容易使反浮動債券的有效存續期間大於剩餘到期期間，如果壽險公司在資產面購入反浮動債券，似乎只有在 (利率的長期水準)變動時才有可能會達成將資產面的存續期間拉長的效果。分紅保單的有效存續期間不論在任何狀況下，皆會小於不分紅保單，所以分紅保單的發行能幫助壽險公司分散利率風險。

In this thesis, we employ the CIR stochastic interest model to calculate the effective durations and elasticity of the three main products that we simulate in this study ,inverse FRNs, non-participating policies and participating policies. From the simulation, we discover that when the long-term level, ,changes ,the effective durations of three main products will extend easily. That means the fluctuations of the long-term level affect the prices most .When life insurance companies buy inverse FRNs to extend the duration of asset side to implement immunization strategies ,it will work easily when the long-term level , ,changes. In addition, we find that the effective durations of non-participating policies will be longer than those of participating policies in all circumstances. In other words, issuing participating policies will reduce the interest rate risk of life insurance companies.