(54.236.62.49) 您好!臺灣時間:2021/03/08 02:44
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:何冠廷
研究生(外文):Ho, Kuan-Ting
論文名稱:應用 Copula 模型於附保證投資型保險商品多資產標的之研究
論文名稱(外文):Research on Applying Copula Model to Investment Guarantee with Multi-Asset Target
指導教授:楊曉文楊曉文引用關係
指導教授(外文):Yang, Sharon S.
口試委員:楊曉文林士貴陳芬英
口試委員(外文):Yang, Sharon S.Lin, Shih-KueiChen, Fen-Ying
口試日期:2020-07-03
學位類別:碩士
校院名稱:國立政治大學
系所名稱:金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2020
畢業學年度:108
語文別:中文
論文頁數:37
中文關鍵詞:關聯結構附保證投資型商品準備金風險值條件尾端期望值資產負債管理保險蒙地卡羅
外文關鍵詞:CopulaInvestment GuaranteeReserveVaRCTEALMInsuranceMonte Carlo
相關次數:
  • 被引用被引用:0
  • 點閱點閱:38
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
本文使用 2010 至 2019 年之 S\&P500 及 費城半導體指數作為標的,以幾何布朗運動及四種 Copula 結構: Gaussian 、 Student-t 、 Clayton 、 Gumbel 進行模型配適後,以蒙地卡羅法針對配適之結果進行投資情境模擬。並且針對 10 年期及 20 年期下 GMDB 保本 、 GMMB 保證年化報酬率及 GMDB + GMMB 雙重保證三種附保證投資型商品,分析不同的資產配置策略下資產模型對風險值、準備金及期末帳戶價值的影響。

實證結果顯示 Student-t Copula 對標的資產之配適度最佳,而非一般常用的多元常態 Gaussian Copula。並且相較於其他 Copula ,以 Student-t Copula 做為模型之投資策略於後續計算之風險值及準備金較低。並且,於全期固定投資組合下,相較於考慮帳戶報酬率,選擇夏普比率較高的策略能使準備金最小。
This article use the price of S&P500 and Philadelphia Semiconductor Index from 2010-01-01 to 2019-12-31 as the target asset, and use Geometric Brownian Motion as the marginal distribution of two index with four types of copula as the joint distribution. After fitting above models, use Monte Carlo method to simulate the scenario of asset returns.

We use 10-year and 20-year GMDB, GMMB, and GMMB+GMDB product as the target and analyze the relation between investment strategy and the VaR, reserve and account value at maturity under different model.

The empirical result shows that Student-t Copula fit two stock index the most. Moreover, the investment strategy under student-t copula yield the lowest VaR and reserve compared to other copula include the common assumption of financial engineerring, Gaussian copula. On the other hand, we found that the investment strategy with higher sharpe ratio has the lowest VaR and reserve, instead of the highest annual return.
致謝 i
中文摘要 ii
Abstract iii
目錄 iv
表目錄 vi
圖目錄 vii
第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究流程 2
第二章 文獻回顧 3
第一節 關聯結構 3
第二節 資產配置策略及財務模型 3
第三節 投資型商品 4
第三章 附保證投資型商品 6
第一節 商品介紹 6
第二節 監理規範 7
第四章 研究方法 9
第一節 資產模型 9
第二節 蒙地卡羅模擬法 13
第三節 商品假設及現金流、準備金計算方式 13
第四節 實驗設計 14
第五章 實證分析及結果 18
第一節 分析結果 18
第六章 結論及展望 22
第一節 結論 22
第二節 未來研究方向建議 22
附錄A 各項圖表 24
A.1 各投資組合之年化平均報酬、波動度及夏普比率 24
A.2 60 歲各投資組合下之分析指標 24
參考文獻 35
Ballotta, L., & Haberman, S. (2003). Valuation of guaranteed annuity conversion options. Insurance: Mathematics and Economics, 33(1), 87–108. doi: 10.1016/S0167­6687(03) 00146­X
Bauer, D., Kling, A., & Russ, J. (2008). A universal pricing framework for guaranteed minimum benefits in variable annuities. ASTIN Bulletin, 38(2), 621–651. doi: 10.1017/ s0515036100015312
Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of political economy, 81(3), 637–654. doi: 10.1086/260062
Brennan, M. J., & Schwartz, E. S. (1976). The pricing of equity­linked life insurance policies with an asset value guarantee. Journal of Financial Economics, 3(3), 195–213. doi: 10.1016/0304­405x(76)90003­9
Brennan, M. J., & Schwartz, E. S. (1979). Alternative investment strategies for the issuers of equity linked life insurance policies with an asset value guarantee. The Journal of Business, 52(1), 63. doi: 10.1086/296034
Brown, R. (1828). A brief account of microscopical observations made in the months of june, july and august 1827, on the particles contained in the pollen of plants; and on the general existence of active molecules in organic and inorganic bodies. The Philosophical Magazine, 4(21), 161–173. doi: 10.1080/14786442808674769
Doan, B., Papageorgiou, N., Reeves, J. J., & Sherris, M. (2018). Portfolio management with targeted constant market volatility. Insurance: Mathematics and Economics, 83, 134– 147. doi: 10.1016/j.insmatheco.2018.09.010
Guo, N., Wang, F., & Yang, J. (2017). Remarks on composite bernstein copula and its application to credit risk analysis. Insurance: Mathematics and Economics, 77, 38–48. doi: 10.1016/ j.insmatheco.2017.08.007
Heston, S. L. (2015). A Closed­Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The Review of Financial Studies, 6(2), 327­ 343. doi: 10.1093/rfs/6.2.327
Hull, J. C. (2017). Options, futures, and other derivatives, global edition. Pearson. Retrieved from https://www.ebook.de/de/product/33013067/john_c_hull_options_futures_and_other_derivatives_global_edition.html
Itô, K. (1944). Stochastic integral. Proceedings of the Imperial Academy, 20(8), 519–524. doi: 10.3792/pia/1195572786
Li, D. X. (2000). On default correlation: A copula function approach. The Journal of Fixed Income, 9(4), 43–54. doi: 10.2139/ssrn.187289
Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77­91. doi: 10.1111/ j.1540­6261.1952.tb01525.x
Milevsky, M. A., & Posner, S. E. (2001). The titanic option: Valuation of the guaranteed minimum death benefit in variable annuities and mutual funds. The Journal of Risk and Insurance, 68(1), 93. doi: 10.2307/2678133
Milevsky, M. A., & Salisbury, T. S. (2006). Financial valuation of guaranteed minimum withdrawal benefits. Insurance: Mathematics and Economics, 38(1), 21–38. doi: 10.1016/j.insmatheco.2005.06.012
Ng, A. C.­Y., & Li, J. S.­H. (2011). Valuing variable annuity guarantees with the multivariate esscher transform. Insurance: Mathematics and Economics, 49(3), 393–400. doi: 10.1016/j.insmatheco.2011.06.003
Schönbucher, P. J., & Schubert, D. (2001). Copula­dependent default risk in intensity models.In Working paper, department of statistics, bonn university.
Sklar, A. (1959). Fonctions de reprtition an dimensions et leursmarges. Publ. inst. statist. univ.Paris, 8, 229–231.
Wang, C.­W., & Huang, H.­C. (2017). Risk management of financial crises: An optimal investment strategy with multivariate jump­diffusion models. ASTIN Bulletin: The Journal of the International Actuarial Association, 47(02), 501–525. doi: 10.1017/ asb.2017.2
Wang, C.­W., Yang, S. S., & Huang, J.­W. (2017). Analytic option pricing and risk measures under a regime­switching generalized hyperbolic model with an application to equity­ linked insurance. Quantitative Finance, 17(10), 1567­1581. doi: 10.1080/14697688.2017.1288297
Wei, J., & Wang, T. (2017). Time­consistent mean–variance asset–liability management with random coefficients. Insurance: Mathematics and Economics, 77, 84–96. doi: 10.1016/ j.insmatheco.2017.08.011
中華民國精算學會. (2019). 保險合約負債公允價值評價精算實務處理準則 (108 年版草案). Retrieved 2020­5­1, from http://www.airc.org.tw/rule/202
徐英豪. (2019). 附保證投資型保險商品資產配置之研究. 國立政治大學風險管理與保險學系碩士論文. Retrieved from https://hdl.handle.net/11296/83r94x
李振綱. (2007). 探討股票市場與債券市場的關聯結構­動態Copula 模型. 國立交通大學財務金融學系碩士論文. Retrieved from http://hdl.handle.net/11536/ 39361
林展源. (2019). 反向型 ETF 與波動型 ETF 之避險績效 ── 應用 Copula­-GJR-­GARCH模型. 國立政治大學國際經營與貿易學系碩士論文. Retrieved from https:// hdl.handle.net/11296/542phs
詹惟淳. (2013). 考慮保戶行為下對附保證投資型商品準備金之評估. 國立中央大學財務金融學系碩士論文. Retrieved from https://hdl.handle.net/11296/ jd3c3z
金管保一字第 09702503741 號. (2008). 人身保險業經營投資型保險業務應提存之各種準備金規範. Retrieved 2020­5­1, from https://law.fsc.gov.tw/law/ LawContent.aspx?id=FL046367
電子全文 電子全文(網際網路公開日期:20250716)
連結至畢業學校之論文網頁點我開啟連結
註: 此連結為研究生畢業學校所提供,不一定有電子全文可供下載,若連結有誤,請點選上方之〝勘誤回報〞功能,我們會盡快修正,謝謝!
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔