The Study on Duration Gap of Insurance Companies in Taiwan

• Main Authors: Shao-Ying Wang, 王韶瑩
• Other Authors: Chin-Ming Chen
• Format: Others
• Language: zh-TW
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/02365630649239629957

碩士 === 國立高雄第一科技大學 === 金融研究所 === 99 === The financial crisis happened like a tsunami in 2008. The lower market rate led to the operating crisis in so many insurance companies in Taiwan. The main topic of this thesis is to discuss the duration gap of life insurance companies in Taiwan. To comprehend the structure of asset and the liability management for companies through measuring the duration gap of the insurance companies is good for making the operating strategy to avoid the interest risk. This thesis measures the duration gap by adopting the combination of insurance policies and the asset portfolio in the insurance companies. We discover the duration gap of every insurance company is smaller than zero. In order to let duration gap be zero, there are more feasible solving ways：(1) Adjusting the asset portfolio to suite the market and invest in the investment tools which have longer duration. (2) Changing the selling strategy of the insurance policies and reduce the sales of the insurance policies which have longer duration. We hope these ways can reach the target which can maintain debt-paying ability and sustainable operation of the life insurance companies.