政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/152789

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/152789

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政大機構典藏 > 商學院 > 風險管理與保險學系 > 學位論文 > Item 140.119/152789

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題名:	Lee-Carter模型下動態解約率模型建構—以生死合險為例 Modelling for Dynamic Surrender Rate of Life Insurance Policy under Lee-Carter Modell
作者:	黃詩雅 Huang, Shih-Ya
貢獻者:	蔡政憲黃詩雅 Huang, Shih-Ya
關鍵詞:	解約率 Lee-Carter模型 APC模型保單年度世代效果 surrender rate Lee-Carter model APC model policy year cohort effects
日期:	2024
上傳時間:	2024-08-05 14:02:53 (UTC+8)
摘要:	本研究使用台灣某壽險公司1982年至2018年間生死合險保單資料，以Lee-Carter（LC）模型與Age-Period-Cohort（APC）模型建立保單解約率模型。實證結果顯示，APC模型考量了世代效果，較基本的LC模型對解約率的配適能力較佳。本研究結果顯示保單解約率受到保單年度、年份以及世代效果的影響，提供保險公司在保單解約率管理方面之參考依據。 In this study, we utilizes endowment insurance policy data from a Taiwanese life insurance company spanning from 1982 to 2018 to model dynamic surrender rate of life insurance policy under Lee-Carter (LC) model and Age-Period-Cohort (APC) model. The empirical results indicate that the APC model, which takes cohort effects into account, provides a better fit for surrender rates compared to the basic LC model. The findings of this study demonstrate that policy surrender rates are influenced by policy year, period, and cohort effects, offering a reference for insurance companies in managing policy surrender rates.
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Interest-Rates, the Emergency Fund Hypothesis and Saving through Endowment Policies - Some Empirical-Evidence for the Uk. Journal of Risk and Insurance, 56(3), 415-433. https://doi.org/Doi 10.2307/253166 DeAngelo, H., DeAngelo, L., & Gilson, S. C. (1996). Perceptions and the politics of finance: Junk bonds and the regulatory seizure of first capital life. Journal of financial economics, 41(3), 475-511. https://doi.org/10.1016/0304-405X(95)00866-D European Comission (2010). QIS5 Technical Specifications. Eling, M., & Kiesenbauer, D. (2014). What Policy Features Determine Life Insurance Lapse? An Analysis of the German Market. Journal of Risk and Insurance, 81(2), 241-269. https://doi.org/10.1111/j.1539-6975.2012.01504.x Eling, M., & Kochanski, M. (2013). Research on lapse in life insurance: what has been done and what needs to be done? Journal of Risk Finance, 14(4), 392-413. https://doi.org/10.1108/JRF-12-2012-0088 Fang, H. M., & Kung, E. (2021). 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Insurance Mathematics & Economics, 9(4), 249-255. https://doi.org/Doi 10.1016/0167-6687(90)90002-U Pinquet, J., Guillén, M., & Ayuso, M. (2011). Commitment and Lapse Behavior in Long-Term Insurance: A Case Study. The Journal of risk and insurance, 78(4), 983-1002. https://doi.org/10.1111/j.1539-6975.2011.01420.x Reck, L., Schupp, J., & Reuß, A. (2023). Identifying the determinants of lapse rates in life insurance: an automated Lasso approach. European Actuarial Journal, 13(2), 541-569. https://doi.org/10.1007/s13385-022-00325-1 Renshaw, A. E., & Haberman, S. (1986). Statistical analysis of life assurance lapses. Journal of the Institute of Actuaries, 113(3), 459-497. https://doi.org/10.1017/S0020268100042566 Renshaw, A. E., & Haberman, S. (2006). A cohort-based extension to the Lee-Carter model for mortality reduction factors. Insurance Mathematics & Economics, 38(3), 556-570. https://doi.org/10.1016/j.insmatheco.2005.12.001 Russell, D. T., Fier, S. G., Carson, J. M., & Dumm, R. E. (2013). An Empirical Analysis of Life Insurance Policy Surrender Activity. Journal of insurance issues, 36(1), 35-57. Tsai, C. H., Kuo, W. Y., & Chiang, D. M. H. (2009). The Distributions of Policy Reserves Considering the Policy-Year Structures of Surrender Rates and Expense Ratios. Journal of Risk and Insurance, 76(4), 909-931. https://doi.org/10.1111/j.1539-6975.2009.01324.x Tsai, C. S., Kuo, W. Y., & Chen, W. K. (2002). Early surrender and the distribution of policy reserves. Insurance Mathematics & Economics, 31(3), 429-445. https://doi.org/Pii S0167-6687(02)00188-9 Wilmoth, J. R. (1993). Computational methods for fitting and extrapolating the Lee–Carter model of mortality change. Technical Report. Department of Demography, University of California, Berkeley Yu, L., Cheng, J., & Lin, T. T. (2019). Life insurance lapse behaviour: evidence from China. Geneva Papers on Risk and Insurance-Issues and Practice, 44(4), 653-678. https://doi.org/10.1057/s41288-018-0104-5
描述:	碩士國立政治大學風險管理與保險學系 111358025
資料來源:	http://thesis.lib.nccu.edu.tw/record/#G0111358025
資料類型:	thesis
顯示於類別:	[風險管理與保險學系] 學位論文

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