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題名：巨災債券及退休金保險之選擇權評價研究
作者：李君屏 引用關係
作者(外文)：Jin-Ping Lee
校院名稱：國立中央大學
系所名稱：財務管理研究所
指導教授：俞明德
學位類別：博士
出版日期：2001
主題關鍵詞：巨災債券；道德風險；基差風險；隨機利率過程；選擇權評價；確定給付；資本寬容；CAT bonds；moral hazard；basis risk；stochastic interest rate；option pricing model；defined benefit；capital forbearance
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本研究主要利用選擇權評價分析法，探討巨災債券及退休金保證保險之訂價問題。本研究分成三個部份，第一部份探討巨災債券之訂價問題；第二個部份探討一年期退休金保證保險之訂價與契約終止條件間的關聯；第三個部份則著重於多期退休金保證保險之訂價與資本寬容成本之探討。
第一部份探討巨災債券訂價的課題，我們建立一般化的隨機利率模型以及隨機巨災損失模型，同時我們也考慮違約風險、道德風險以及基差風險，利用蒙地卡羅模擬分析法，首先計算不考慮違約風險下巨災債券的價格，再分別計算考慮違約風險、道德風險以及基差風險下巨災債券的價格。結果我們發現違約風險、道德風險以及基差風險均明顯地降低巨災債券的價格。
第二部份我們建立薪資基礎下退休金保證保險的訂價模型，同時探討企業發生財務危機、退休金保證保險人主動介入以及提早脫退等三種退休金終止條件對退休金保證保險保費之影響。結果我們發現提早脫退對退休金保證保險評價之影響最為顯著。另外，勞動者的服務年資也是影響退休金保證保險評價的重要因素。
第三個部份我們建立多期退休金保證保險的評價模型，在隨機利率模型、隨機退休基金報酬模型、隨機應付退休金模型以及企業的財務狀況亦為隨機的情況下，加入資本寬容的條件，分別估計不同承保期間之保險費，同時也估計延長承保期間之資本寬容成本。另外，我們也納入道德風險及退休基金資產負債配置不當所產生之利率風險，估計這些因素對退休金保證保險保費之影響。結果我們發現退休金保證保險之保費會受到企業之財務狀況、退休基金提存水準的影響。另外，延長承保期間、退休基金資產負債配置不當及道德風險均會造成保費和資本寬容成本的增加。
Essay 1 :
Abstract
We develop a contingent claim model to price a default-risky, catastrophe-linked bond. Our model incorporates stochastic interest rates and more generic loss processes and allows for practical considerations of moral hazard, basis risk and default risk. We compute default-free and default-risky CAT bond prices by using the Monte Carlo method. Our results show that both moral hazard and basis risk drive down the bond prices substantially and these effects should not be ignored in pricing the CAT bonds. We also show how the bond prices are related to catastrophe occurrence intensity, loss volatility, trigger level, issuing firm''s capital position, debt structure and interest rate uncertainty.
Essay 2 :
Abstract
We employ the contingent claim analysis to value salary-based premiums for pension benefit guarantees by simultaneously considering three practical termination scenarios: corporate bankruptcy, regulatory intervention and early lapse of participants. We also improve the previous models by estimating the premiums in a economy with stochastic interest rate and stochastic pension fund liabilities. Although a closed-form solution cannot be derived, we can compute the premiums using the Monte Carlo simulations. Our results show how the fairly-priced premiums are related the termination conditions, participant''s years of service, funding ratio of the plan, net worth of the sponsoring firm and other important factors.
Essay 3 :
Abstract
A multi-period model is developed to measure the cost of pension guarantees for pension benefit insurers by incorporating interest rate risk, plan closure rule and moral hazard. Since not all inadequately funded plans are resolved immediately and these plans continue to operate under the coverage of the pension benefit insurance and increase the costs of the industry. The criterion of resolution, which depends on the pension benefit insurer''s closure policy, determines the effective maturity of the plan. From this respective, the pension benefit insurance contract can be viewed as a put option with stochastic strike price and extendible maturity in which moral hazard behavior is possible. Although a closed-form solution can not be derived, their values can be computed using Monte Carlo simulation method. Our results show how the fair premium rate can be affected by number of extendible periods, termination policy, moral hazard, funding level, sponsor''s leverage ratios, interest rate uncertainty and other parameters.
Essay 1 :new window
American Academy of Actuaries, 1999, Bibliographic Report to the National Association Insurance Commissioners - Insurance Securitization Working Group.
Bantwal, V. J. and H. C. Kunreuther, 1999, A Cat Bond Premium Puzzle?, Working paper, Financial Institutions Center, The Wharton School, University of Pennsylvania.
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Bouzouita, R. and A. J. Young, 1998, Catastrophe Insurance Options, Journal of Insurance Regulation 16(3), 313-326.
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Briys, E., M. Bellalah, H. M. Mai and F. de Varenne, 1998, Options, Futures and Exotic Derivatives, Wiley, 230-233.
Canter, M. S., J. B. Cole and R. I. Sandor, 1997, Insurance Derivatives: A New Asset Class for the Capital Markets and a New Hedging Tool for the Insurance Industry, Journal of Applied Corporate Finance 10, 69-83.
Chang, C., J. Chang and M.-T. Yu, 1996, Pricing Catastrophe Insurance Futures Call Spreads: A Randomized Operational Time Approach, Journal of Risk and Insurance 63, No. 4, 599-617.
Cox, J., J. Ingersoll and S. Ross, 1985, The Term Structure of Interest Rates, Econometrica 53, 385-407.
Cox, J. and S. Ross, 1976, The Valuation of Options for Alternative Stochastic Processes, Journal of Financial Economics 3, 145-166.
Cox, S. H. and R. G. Schwebach, 1992, Insurance Futures and Hedging Insurance Price Risk, The Journal of Risk and Insurance 59, 628-644.
Cummins, J. D., 1988, Risk-Based Premiums for Insurance Guarantee Funds, Journal of Finance 43, 593-607.
Cummins, J. D. and H. Geman, 1995, Pricing Catastrophe Futures and Call Spreads: An Arbitrage Approach, Journal of Fixed Income, March, 46-57.
Davidson, R. J., 1998, Working Toward a Comprehensive National Strategy for Funding Catastrophe Exposures, Journal of Insurance Regulation 17(2), 134-170.
Doherty, N. A., 1997, Financial Innovation in the Management of Catastrophe Risk, Journal of Applied Corporate Finance10, 84-95.
Duan J. C., A. Moreau and C. W. Sealey, 1995, Deposit Insurance and Bank Interest Rate Risk: Pricing and Regulatory Implication, Journal of Banking and Finance19, 1091-1108.
Harrison, J. M. and S. R. Pliska, 1981, Martingales and Stochastic Integrals in the Theory of Continuous Trading, Stochastic Processes and Their applications 11, 215-260.
Hull, J. and A. White, 1995, The Impact of Default Risk on the Prices of Options and Other Derivative Securities, Journal of Banking and Finance 19, 299-232.
Jarrow, R. and A. Rudd, 1982, Approximate Option Valuation for Arbitrary Stochastic Processes, Journal of Financial Economics 10,347-369.
Kalotay, A. J., G. O. Williams and F. J. Fabozzi, 1993, A Model for the Valuation of Bonds and Embedded Options, Financial Analyst Journal, May-June, 35-46.
Laurezano, V. L., 1998, Securitization of Insurance Risk: A Perspective for Regulator, Journal of Insurance Regulation 17(2), 179-185.
Litzenberger, R. H., D. R. Beaglehole and C. E. Reynolds, 1996, Assessing Catastrophe Reinsurance-Linked Securities as a New Asset Class, Journal of Portfolio Management, Special Issue, 76-86.
Louberge, H., E. Kellezi and M. Gilli, 1999, Using Catastrophe-Linked Securities to Diversify Insurance Risk: A Financial Analysis of CAT Bonds, Journal of Insurance Issues 22(2), 125-146.
Merton, R., 1977, An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantee, Journal of Banking and Finance 1, 3-11.new window
Nielsen, J. and K. Sandmann, 1996, The Pricing of Asian options under Stochastic Interest Rate, Applied Mathematical Finance 3, 209-236.
Turnbull, S. and L. Wakeman, 1991, A Quick Algorithm for Pricing European Average Options, Journal of Financial and Quantitative Analysis 26, 377-389.
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Zajdenweber, D., 1998, The Valuation of Catastrophe-Reinsurance-Linked Securities, American Risk and insurance Association Meeting, Conference Paper.
Essay 2:
Britt, S., 1991, Greater of Benefits: Member Options in Defined Benefit Superannuation Plans, Transactions of the Institute of Actuaries of Australia, 77-118.
Hsieh, S. J., A. H. Chen and K. R. Ferris, 1994, The Valuation of PBGC Insurance Using an Option Pricing Model, Journal of Financial and Quantitative Analysis, 29, 89-99.
Cox, J. C., J. E. Ingersoll and S. A. Ross, 1985, A Theory of the Term Structure of Interest Rates, Econometrica, 53, 385-407.
Kalra, R. and G. Jain, 1997, A Continuous-Time Model to Determine The Intervention Policy For PBGC, Journal of Banking and Finance, 21, 1159-77.
Marcus, A. J., 1987, Corporate Pensions Policy and the Value of PBGC insurance, in Bodie, Z., J. Shoven and D. A. Wise (Eds), Issues in Pension Economics, University of Chicago Press, 49-79.
Pennacchi, G. G. and C. M. Lewis, 1994, The Value of Pension Benefit Guaranty Corporation Insurance, Journal of Money, Credit, and Banking, 26, 735-56.
Sharpe, W.F., 1976, Corporate Pension Funding Policy, Journal of Financial Economics}, 3, 183--93.
Sherris, M., 1995, The Valuation of Option Features in Retirement Benefits, Journal of Risk and Insurance}, 62, 509-34.
Sundaresan, S. Z. and F. Zapatero, 1997, Valuation, Optimal Asset Allocation and Retirement Incentives of Pension Plans, Review of Financial Studies, 10, 631-60.
VanDerhei, J. L., An Empirical Analysis of Risk-Related Insurance Premiums of the PBGC, Journal of Risk and Insurance, 57, 240-59.
Essay 3 :
Bodie, Z., 1996, What the Pension Benefit Guaranty Corporation Can Learn From the Federal Savings anf Loan Insurance Corporation, Journal of Financial Services Research, 10, 83-100.
Bodie, Z. and R. C. Merton, 1993, Pension Benefit Guarantees in the United States: A Function Analysis, In R. Schmit, ed., The Future of Pensions in the United States. University of Pennsylvania Press,194-235.
Bodie, Z., J. O. Light, R. M$ hi $rck and R. A.Taggart, Jr., 1987, Funding and Asset Allocation in Corporate Pension Plans: An Empirical Investigation, in Bodie, Z., J. Shoven and D. A. Wise (Eds), Issues in Pension Economics, University of Chicago Press, 15-47.
Bulow, J. I., 1982, \QTR{it}{What Are Corporation Pension Liabilities?}, Quarterly Journal of Economics, 97, 435-52.
Cox, J. C., J. E. Ingersoll and S. A. Ross, 1985, A Theory of the Term Structure of Interest Rates, Econometrica, 53, 385-407.
Duan, J.-C., A. Moreau and C. W. Sealeyand, 1995, Deposit Insurance and Bank Interest Rate Risk: Pricing and Regulation Implications, Journal of Banking and Finance, 19, 1091-1108.
Hsieh, S. J., A. H. Chen and K. R. Ferris, 1994, The Valuation of PBGC Insurance Using an Option Pricing Model, Journal of Financial and Quantitative Analysis, 29, 89-99.
Kalra, R. and G. Jain, 1997, A Continuous-Time Model to Determine The Intervention Policy For PBGC, Journal of Banking and Finance, 21, 1159-77.
Langetieg, T. C., M.C. Findlay and L. F. J. daMotta, 1982, Multiperiod Pension Plans and ERISA, Journal of Financial and Quantitative Analysis, 17, 603-31.
Marcus, A. J., 1987, Corporate Pensions Policy and the Value of PBGC insurance, in Bodie, Z., J. Shoven and D. A. Wise (Eds), Issues in Pension Economics, University of Chicago Press, 49-79.
Pennacchi, G. G. and C. M. Lewis, 1994, The Value of Pension Benefit Guaranty Corporation Insurance, Journal of Money, Credit, and Banking, 26, 735-56.
Pension Benefit Guaranty Corporation, 1999, The Pension Insurance Data Book.
Sharpe, W.F., 1976, Corporate Pension Funding Policy, Journal of Financial Economics, 3, 183--93.
Treynor, J. L., 1977, The Principles of Corporate Pension Finance, Journal of Finance, 32, 627-38.
U.S. General Accounting Office, 1998, Pension Benefit Guaranty Corporation: Final Condition Improving, but Long-Term Risk Remain, GAO/HEHS-99-5.
 
 
 
 
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