A Study on the Systematic Risk and Corporate Default in Life Insurance Market

• Main Authors: Lin, Chia I, 林佳儀
• Other Authors: Chang, Shih Chieh
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/77564468995845894291

碩士 === 國立政治大學 === 風險管理與保險研究所 === 103 === The goal of the life insurance company is to stabilize the capital because the operation of the life insurance company depends on policyholder’s trust. By the historical data, the net value of the life insurance company has high correlation with the stock market, implying the systematic risk, which can’t be removed by the asset portfolio and has ‘Event trigger’ characteristic. This research is conducted by the internal model approach with the double exponential jump process to model the asset dynamic process. We use a sample retirement insurance to construct the liability side. With asset and liability models, we can find that the probability and the severity when the life insurance company facing the systematic risk. The research shows that: (1) Compared to the B-S model, the double exponential jump process shows higher default probability. (2) Higher leverage, the mean of the stock, risk premium of the liability, and the elasticity of the interest rate on the liability will cause higher default probability and default value.