| Summary: | 碩士 === 國立中央大學 === 財務金融學系 === 104 === Since Financial Supervisory Commission in Taiwan has gradually broadened the limit on percentage of investment in foreign countries, insurance companies increase their capital in foreign diversified investments in order that the return can be higher than the actuarial assumption of interest rate. However, these investment behaviors expose the exchange risk, and it is important for insurance companies to establish the exchange rate risk management. To avoid the fluctuation of income and value of companies by the exchange rate, in addition to hedging, insurance companies can amortize the foreign exchange valuation reserve in case of the appreciation of New Taiwan dollars. In this thesis, ten-year U.S. treasury yield is modeled by the interest model developed by American Academy of Actuaries (AAA), the S&P500 index is modeled by the equity model developed by the Casualty Actuarial Society and the Society of Actuaries (CAS-SoA) and the exchange rate is modeled by the Brownian motion . The stochastic cash flow testing shows that the assets’ scenarios offered by Taiwan Insurance Institute (TII) are more optimistic than AAA and CAS-SoA model, so the CTE65 (conditional tail expectation) of TII is highest. Besides, the amortization of foreign exchange valuation reserve need to be accorded with the amount of foreign investment and its risk so that the system of the reserve can be put into effect.
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