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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/109266


    Title: 壓力測試-利率下降對保單責任準備金之影響
    An investigation on stress testing - the effect of law interest rates on liability reserves
    Authors: 梁皓緯
    Liang, Hao-Wei
    Contributors: 洪福聲
    黃泓智
    Hung, Fu-Sheng
    Huang, Hong-Chih
    梁皓緯
    Liang, Hao-Wei
    Keywords: 壓力測試
    保單責任準備金
    終身壽險
    Stress test
    Policy reserve
    Life insurance
    Date: 2017
    Issue Date: 2017-05-01 11:26:25 (UTC+8)
    Abstract: 本研究之目的在以利用不同之準備金利率來計算保險責任準備金，探討利率對於保單責任準備金之影響。以20年限期繳付、被保險人為30歲男性的終身壽險為例，當責任準備金利率下降時，保單責任準備金將在整個契約有效期間皆增加，而增加的幅度將隨著契約年度的增加而增加，至約19-20年增加幅度最大，而後隨著時間的經過增加的幅度再慢慢減少。我們觀察在不同被保險人性別下，改變繳費期間之敏感度分析，發現在利率不變之下繳費期間越長，則責任準備金最高差額之年齡也較高。
    Reference: Cairns, A. J. G., Blake, D., Dowd, K., 2006. A two-factor model for stochastic mortality with parameter uncertainty: theory and calibration. Journal of Risk and Insurance 73, 687–718.
    European Insurance and Occupational Pensions Authority. (2016). Insurance stress test report.
    International Actuarial Association. (2013). Stress Testing and Scenario Analysis.
    International Association Of Insurance Supervisors. (2011). Insurance core princioles, standards, guidance and assessment methodology.
    International Monetary Fund. (2014). Financial sector assessment program, stress testing- technical note, IMF country report No. 14/69.
    International Monetary Fund. (2015). Financial sector assessment program, stress testing- technical note, IMF country report No. 15/173.
    Monetary Authority of Singapore. (2010). MAS 312 stress testing on financial condition of direct life insurer.
    Office of the Commissioner of Insurance. (2011). Actuarial Guidance Note 7 Dynamic Solvency Testing.
    中國保險監督管理委員會(2015)。保險公司償付能力監管規則(第1號-第17號)。
    李綾(2016)。隨機模型建構在保險業現金流量測試之應用。國立中央大學，財務金融系。
    保險事業發展中心(2016)。105年度產(壽)險業壓力測試參考手冊。
    廖俊男，(2005)。金融體系壓力測試之認識與應用。中央銀行季刊，第27卷第3期，第45-78頁。
    鍾經樊，(2009)。壓力測試的架構。中央銀行季刊，第31卷第2期，第7-34頁。
    Description: 碩士
    國立政治大學
    經濟學系
    103258023
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103258023
    Data Type: thesis
    Appears in Collections:[經濟學系] 學位論文

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