降低附生存保證給付型變額年金準備金：目標波動度法

On Reducing Reserve of Variable Annuities with Guaranteed Living Benefits: Target Volatility Approach

研究目的：將附生存保證給付型變額年金連結目標波動度投資組合，探討是否有助減少提存準備金。
研究設計／方法：以O-GARCH模型建模並生成隨機情境，建立目標波動度投資組合。分析保單連結於不同波動度資產的提存準備金。
研究結果：透過控制連結資產波動度，有助減少提存準備金。
研究限制／啟發：過去公司多以衍生性商品避險，本研究直接管理連結標的之波動度。
理論／實務／社會意涵：本研究提供保險公司相較以往更有效率之避險方向，也為監理機構開放相關商品之發行提供參考。
創見／價值：開創以波動控制方法應用於管理附生存保證給付保險商品的風險，對於學術界與實務界均有所貢獻。

Purpose–This study aims to explore the effectiveness of reducing statutory reserve requirements under VM-21 regulation through linking target volatility portfolios with the Variable Annuities with Guaranteed Living Benefits.
Design/methodology/approach–We adopt the Orthogonal GARCH to model the assets return and generate stochastic scenarios, then constructed target volatility portfolios based on the methodology with Volatility Control Index provided by asset management firm. Then compared the statutory reserve requirements based on VM-21 methodology for case policy linked to assets with controlled versus uncontrolled volatility.
Findings–The numerical results indicate that the reserve requirements could be reduced by managing the volatility of linked asset to the VAGLB policies.
Research limitations/implications–While financial derivatives have traditionally been the go-to approah for hedging risk with the insurers, this study introduces an innovative approach by focusing on the management of volatility in assets associated with policies.
Practical implications/Social implications–Our results introduce a more efficient approach for insurers to manage risk compared to conventional practices. Furthermore, the results provide regulatory authorities with essential perspectives for the approval and issuance of relevant products.
Originality/value–This study pioneers the application of target volatility portfolio in managing risks for insurance products with guaranteed living benefits, contributing to both academic and practical fields.