| Summary: | 碩士 === 國立政治大學 === 風險管理與保險學系 === 105 === Once IFRS 9 and IFRS 17 are officially launched simultaneously, the insurance contract liabilities and most financial assets should be measured at fair value. The objective of this article is to analyze how life insurers do the asset allocation that aims to get high returns and lower deviation of profit and loss and equity in response to the whole-life insurance contracts under IFRS 9 and IFRS 17.
This article based on the GARCH model to simulate the path of stock price. In addition, we use the parameters implied by Svensson interest rate model to fit VAR model in order to simulate the path of interest rate. Furthermore, the liability comprises whole life insurance. We simulate the path of asset and liability for 3 years and then focus on the distribution of asset and liability in 3rd year. We compare the values from different weight set like returns on assets, standard deviation of returns on assets, standard deviation of equity and default risk. Moreover, we design the object function that can help us understand how the weight will change given different goals.
One of the result shows that investing all assets on stocks creates the highest probability of default risk. The combination of 20% stock and 80% bond creates the highest return on assets. Besides, if one of the component in the object function is standard deviation of equity, it will drive weight to bond investment so that asset can offset part of liabilities because the change of bond value and whole-life insurance both connected to interest rate. If the component includes standard deviation of returns on assets, it will drive weight to other comprehensive income or amortization cost. All of these are the dynamic effects that can help life insurers for decision of asset allocation.
|
|---|
