博碩士論文 104428013 詳細資訊




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姓名 邱煜修(Yu-Hsiu Chiu)  查詢紙本館藏   畢業系所 財務金融學系
論文名稱 Solvency II 量化分析──以反向抵押貸款為例
(Quantitative Analysis of Solvency II - The Example of Home Reverse Mortgage)
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摘要(中) 本文探討保險清償監理制度Solvency II的量化分析,並以反向抵押貸款做為例子。非負權益保證是反向抵押貸款契約到期時,累積負債低於房價產生的差額。此差額通常由金融公司或政府承擔,是此商品的主要風險。本文聚焦在房價與死亡率對此風險的影響,並以英國的資料進行量化分析。本文首先以ARMA-GARCH及VAR模型來模擬房價報酬走勢、預測房價走勢,並比較配適度狀況。接著以Lee-Carter (1992)當作死亡率模型,此模型可以衡量壽命延長的現象。最後結合房價模型與死亡率模型進行量化分析,探討不同性別、不同年紀、不同貸款乘數對於最適估計、邊際風險與清償資本要求的影響或趨勢。本研究主要有四個結論:第一,未考慮壽命延長現象會低估量化數字;第二,清償資本要求主要來自房價衝擊的影響;第三,女性的量化數字會略大於男性;第四,不同房價模型對於量化數字有顯著的差異。
摘要(英) The thesis study on quantitative analysis of solvency II in insurance liquidation supervision system - taking home reverse mortgage for example. No negative equity guarantees (NNEG) is the difference which outstanding liability is lower than housing price when the home reverse mortgage contract expires. This difference is usually borne by a financial company or government and is a major risk for this contract. The thesis focus on the impact of housing prices and mortality on this risk, and use UK data for quantitative analysis. In the thesis, the ARMA-GARCH and VAR models are first used to simulate the trend of housing price return, forecast the trend of housing price, and compare the fitness of these two models with each other. Second, Lee-Carter (1992) model is used as a mortality model. This model can measure the phenomenon of prolonged life. Finally, the thesis combines the housing price model with the mortality model for quantitative analysis, analyzing the impact or trend of different gender, age, and loan to reverse on best estimate, risk margin and solvency capital requirement. There are four main conclusions of this study. First, not considering the phenomenon of prolonged life will underestimate the quantitative number. Second, solvency capital requirement is mainly from the impact of housing price shock. Third, quantitative numbers on female are slightly higher than numbers on male. Fourth and last, different housing price models have significant differences in quantitative number.
關鍵字(中) ★ 反向抵押貸款
★ 非負權益保證
關鍵字(英) ★ Solvency II
★ home reverse mortgage
★ no negative equity guarantees
論文目次 摘要 i
Abstract ii
目錄 iii
圖目錄 iv
表目錄 v
第一章 前言 1
第二章 制度介紹及文獻回顧 3
2.1. 反向抵押貸款制度 3
2.2. Solvency II制度 5
2.3. 相關文獻 9
第三章 房價模型設定與分析 13
3.1. 房價模型設定 13
3.2. 房價資料 15
3.3. 房價模型配適與估計結果 17
3.4. 不同房價模型結果比較 24
第四章 死亡率模型設定與分析 26
4.1. 死亡率模型設定 26
4.2. 死亡率資料 27
4.3. 死亡率模型估計結果 28
4.4. 死亡率預測 30
第五章 反向抵押貸款風險與Solvency II量化 32
5.1. 量化方式 32
5.2. 分析結果 34
第六章 結論與建議 41
第七章 參考文獻 43
參考文獻

王儷玲、王正偉、劉文彬 (2011)〈臺灣實施反向房屋抵押貸款對提升退休所得之影響〉《風險管理學報》13(1):109-125。

林左裕、楊博翔 (2011)〈逆向房屋抵押貸款在臺灣推行之需求分析〉《住宅學報》20(1):109-125。

財團法人事保險事業發展中心,〈國際保險業清償能力監理制度之研究〉,民國一百零二年

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指導教授 楊曉文(Sharon S. Yang) 審核日期 2017-6-23
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