Default Analysis of Structured Life Insurance Policies under Stochastic Volatility

資本市場之系統性風險加劇時，對於保險公司所持有之標的資產將出現大幅波動，影響保險公司之獲利表現，本研究透過建立資產負債表之隨機模型，檢視系統性風險下對於人壽保險業違約風險之變化。本研究採用Heston (1993)模型來描述標的資產的隨機波動過程，並依據結構型人壽保險之現金流量建立壽險公司之資產負債模型，藉由資產與負債的變化衡量壽險公司違約風險，同時分析影響違約風險之各項因子，包含解約、死亡、保本與清償能力之關聯性。本研究使用違約機率、風險值及條件尾端期望值作為風險衡量指標，經實證分析證明違約風險會隨著解約率的增加而下降，解約費用之設定亦會影響公司之淨值變化，另外，當壽險公司初始資本額愈高，其承保能力愈穩定，則未來違約機率愈低。When systematic risk in capital market is increasing, the underlying asset for structured life insurances will fluctuate sharply and affect the profit the performance of insurance companies. In this paper, we survey the variation of default value for life insurance industry under systematic risk. We establish the balance model for insurance companies based on the cash flow of structured life insurance and measure default risk of insurance companies by the changes in assets and liabilities. In addition, we analysis factors affecting default risk, including surrender, death, value at risk and conditional tail expectation as risk measure index. Through empirical analysis, we proved that as the surrender rate rises, the default risk will decrease and the expected equity value is affected by surrender fees. In addition, as the capital of insurance company become higher, its underwriting capacity will be more stable, then the probability of default will be lower