Default Analysis of Structured Life Insurance Policies under Stochastic Volatility

• Main Authors: Chen, Yi Chieh, 陳毅潔
• Other Authors: Chang, Shih Chieh
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/33734333665295200394

碩士 === 國立政治大學 === 風險管理與保險研究所 === 104 === 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.