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    题名: 人壽保險公司之最適盈餘管理(Optimal Surplus Management for Life Insurance)
    作者: 黃美慧
    Mei-Hui Silvia Huang
    贡献者: 張士傑
    黃美慧
    Mei-Hui Silvia Huang
    关键词: 盈餘
    多期最適投資
    動態控制理論
    資產負債管理
    日期: 2002
    上传时间: 2009-09-12 12:15:54 (UTC+8)
    摘要: 人壽保險機構為中長期經營之投資者，盈餘或是淨值定義為資產市值減除法定負債之餘額，本研究探討保險人於投資評估期限內，欲達到最適盈餘目標之投資策略，於給定之負債組合及預估現金流量，同時考量保險人之風險接受程度、市場隨時間變化程度與財務收益評估目標，求得每期之最適資產組合及報酬後，檢視公司最適盈餘之分佈狀況。為充分說明模型內容及結果，本文以經營達二十年之某人壽保險公司為例，商品類別包括終身壽險、定期險、定期養老險及終身養老險，依據精算模型預估未來各期之現金流量及準備金，以動態控制理論發展之多期最適投資組合模型運算投資不同年期之債券及股票之資產配置，以檢視最適盈餘數值。經由模擬運算歸納分析結果：（1）資產配置差異的重要因素在於公司對風險趨避程度的不同，因此長期而言，公司盈餘的穩定性也不同；（2）投資期間影響債券年期之配置比例，多期投資模型可定期調整資產配置組合，當投資期間愈長，長年期債券配置比例較高，到期績效較佳，（3）由於壽險商品定價利率於商品銷售已訂定，準備金提存利率愈大於市場利率時，盈餘值為負值之機率愈大。預測壽險公司之清償力，除今年七月份即將實行保險法之風險資本額（RBC）制度，亦可參考本研究之動態財務模型，建立公司內部資產負債管理模型，以提供管理者之財務決策參考及經營決策管理工具。
    目 錄

    第一章 緒論……………………………………………………………1
    第一節 研究動機…………………………………………………….1
    第二節 本文架構…………………………………………………….2

    第二章 文獻回顧.……………………………………………………...3

    第三章 研究方法.……………………………………………………...6
    第一節 研究架構…………………………………………………….6
    第二節 準備金計算………………………………………………….8
    第三節 現金流量計算….……………………………………….….12
    第四節 多期最適投資配置………………………………………...14

    第四章　研究資料.…………………………………………………..18
    第一節 負債假設…………………………………………………..18
    第二節 資產假設…………………………………………………..24
    第三節 研究資料…………………………………………………..27

    第五章　結論與建議.………………………………………………..36

    參考文獻.……………………………………………….……………..39
    附錄.…………………………………………………….……………..44

    表目錄
    表3-1 各險種 計算公式
    表4-1. 保費附加費用率
    表4-2. 商品總保費表(35歲男性，保額10萬元)
    表4-3. 公司費用率
    表4-4a. 躉繳佣金率
    表4-4b. 年繳佣金率
    表4-5. 解約率
    表4-6. 商品組合明細表
    表4-7. 商品繳別佔率
    表4-8. 壽險業資產負債表
    表4-9. 準備金預估數額
    表4-10. 現金流量預估數額
    表4-11. 模擬商品組合之準備金平均年增加率

    圖目錄
    圖3-1. 最適化公司盈餘流程
    圖3-2. 修正制準備金表示圖
    圖4-1. 十年期中央政府公債次級市場利率與商品預定利率
    圖4-2. 不同風險趨避程度股票之配置比例(二十年投資期間)
    圖4-3. 投資期間與各年期債券投資比例(Gamma=2)
    圖4-4. 投資限制與資產配置狀況(Gamma=1, 投資期間十年)
    圖4-5. 負債金額預定利率佔率
    圖4-6. 最適化盈餘模擬(投資期間十年, Gamma = 1, 股票投資限制50%)
    圖4-7. 模擬資產投資十年末金額分佈圖
    圖4-8. 資產報酬率分佈(十年投資期間, 模擬次數400)
    圖4-9. 模擬最適盈餘分佈
    參考文獻: 參考文獻
    中文文獻
    1. 蔡政憲、吳佳哲；“保險法中之投資限制對保險業投資績效影響之實證研究”，風險管理學報第二卷第二期（2000），p1-36。
    2. 鄒治華；“壽險保單之存續期間分析”，政大經營管理碩士論文，91年。
    3. 張士傑、杜昌燁、鄧昌俗，“最適跨期投資策略之套利與避險分析”，保險專刊第十九卷第一期（2003），(即將出刊)。
    4. 陳勤明；“壽險商品利率風險之探討”，壽險管理第十六期（2003），p72-105。
    英文文獻
    1. Ambrose, Jan M. and Anne M. Carrol. 1994. “Using Best’s Rating in Life Insurer Insolvency Prediction.” Journal of risk and Insurance 61: 317-327.
    2. BarNiv, Ran and Robert A. Hershbarger. 1990. “Classify Financial Distress in the Life Insurance Industry.” Journal of Risk and Insurance 57: 110-136.
    3. Borch, K.1963. “Recent Developments in Economic Theory and Their Application to Insurance.“ ASTIN Bulletin 2(3): 322-341.
    4. Bowers, N. L., JR., H. U. Gerber, J. C. Hickman, D. A. Jones, C. J. Nesbitt. 1997. Actuarial Mathematics, 2nd ed. Schaumburg, IL: Society of Actuaries.
    5. Boyle, P. and H. Yang. 1997. “Asset Allocation with Time Variation in Expected Returns.” Insurance: Mathematics and Economic 21: 201-218.
    6. Brennan, M. J. 1998. “The Role of Learning in Dynamic Portfolio Decisions.” European Finance Review 1: 295-306.
    7. Brennan, M. J. and E. S. Schwartz. 1982. “Equilibrium Model of Bond Pricing and a Test of Market Efficiency.” Journal of Finance and Quantitative analysis 17: 301-329.
    8. Brennan, M. J. and E. S. Schwartz. 1998. “The Use of Treasury Bill Futures in Strategic Asset Allocation Programs.” In Worldwide Asset and Liability Modeling, J. M. Mulvey and W. T. Ziemba, eds. Cambridge University Press: 205-230.
    9. Brennan, M. J., E. S. Schwartz and R. Lagnado. 1997. “Strategy Asset Allocation.” Journal of Economics, Dynamics and Control 21: 1377-1403.
    10. Brennan, M. J. and Walter N. Torous. 1999. “Individual Decision Making and Investor Welfare.” Economic Notes by Banca Monte dei Paschi di Siena SpA 28: 119-143.
    11. Browne, Mark J., James M. Carson, and Robert E. Hoyt. 1999. “Economic and Market Predictors of Insolvencies in the Life-Health Insurance Industry.” Journal of risk and Insurance 66: 643-659.
    12. Browne, Mark J., James M. Carson, and Robert E. Hoyt. 2001. “Dynamic Financial Models of Life Insurers.” North American Actuarial Journal 5: 11-26.
    13. Cairns, A. J. G. 1995. “Pension Funding in A Stochastic Environment: The Role of Objectives in Selecting An Asset-Allocation Strategy.” Proceedings of the 5th AFIR International Colloquium 1: 429-453.
    14. Cairns, A. J. G. 1996. “Continuous-Time Stochastic Pension Funding Modeling.“ Proceedings of the 6th AFIR International Colloquium 1: 609-624.
    15. Cairns, A. J. G. 2000. “Some Notes on The Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time.” ASTIN Bulletin 30: 19-55.
    16. Carson, James M. and Robert E. Hoyt. 1995. “Life Insurer Financial Distress: Classification Models and Empirical Evidence.” Journal of risk and Insurance 62: 764-775.
    17. Chang, S. C. 1999. “Optimal Pension Funding Through Dynamic Simulations: The Case of Taiwan Public Employees Retirement System.” Insurance: Mathematics and Economics 24: 187-199.
    18. Chang, S. C. 2000. “Realistic Pension Funding: A Stochastic Approach.” Journal of Actuarial Practice 8: 5-42.
    19. Chang, S. C., C. H. Tsai, C. J. Tien, and C. Y. Tu. 2002. “Dynamic Funding and Investment Strategy for Defined Benefit Pension Schemes: Model Incorporating Asset-Liability Matching Criterions.” Journal of Actuarial Practice 10: 131-155.
    20. Cummins, J. David, Martin F. Grace, and Richard D. Philips. 1999. “Regulatory Solvency Prediction in Property-Liability Insurance: Risk-based Capital, Audit Ratios, and Cash Flow Simulation.” Journal of Risk and Insurance 66: 417-458.
    21. D’Arcy, Stephen P. 1990. “On Becoming an Actuary of the Third Kind.” Proceedings of the Casualty Actuarial Society, 45-76.
    22. Gerber, H. U. 1974. “A Probabilistic Model for (Life) Contingencies and a Delta-Free Approach to Contingency Reserves,” with discussion, Transactions of the Society of Actuaries 28: 127-148.
    23. Karatzas, I., Lehoczky, J. P., Sethi, S. P., and S. E. Shreve. 1986. “Explicit Solution of a General Consumption/Investment Problem.” Mathematics of Operations Research 11: 262-292.
    24. Merton, R. C. 1990. Continuous Time Finance, Blackwell, Oxford.
    25. Merton, R. C. 1971. “Optimum Consumption and Portfolio Rules in A Continuous Time Model.” Journal of Economic Theory 3: 373-413.
    26. Mulvey, J. M., Pauling, W. R., and Madey, R. E. 2003. “Advantage of Multiperiod Portfolio Models.” Journal of Portfolio Management 29(2): 35-45.
    27. O’Brien, T. 1986. “A Stochastic-Dynamic Approach to Pension Funding.” Insurance: Mathematics and Economics 5: 141-146.
    28. O’Brien, T. 1987. “A Two-Parameter Family of Pension Contribution Functions and Stochastic Optimization.” Insurance: Mathematics and Economics 6: 129-134.
    29. Pratt, J. W. 1964. “Risk Aversion in the Small and in the Large.“ Econometrica 32: 122-136.
    30. Runggaldier, W. J. 1998. “Concept and Methods for Discrete and Continuous Time Control Under Uncertainty.” Insurance: Mathematics and Economics 22: 25-39.
    31. Samuelson, P. 1969. “Lifetime Portfolio Selection by Dynamic Stochastic Programming.” Review of Economics and Statistics: 239-246.
    32. Schäl, M. 1998. “On Piecewise Deterministic Markov Control Processes: Control of Jumps and Risk Processes in Insurance.” Insurance: Mathematics and Economics 22: 75-91.
    33. Sorensen, C. 1999. “Dynamic Asset Prices: A theory of Market Equilibrium under Conditions of Risk.” Journal of Finance 19: 425-442.
    34. Sorensen, C. 1999. “Dynamic Asset Allocation and Fixed Income Management.” Journal of Financial and Quantitative Analysis 34(4): 513-531.
    35. Tobin, J. 1958. “Liquidity Preference as Behavior toward Risk.” Review of Economic Studies 25: 65-86.
    36. Young, V. R. and K. S. Moore. 2002. “Optimal Insurance in a Continuous-Time Model.” Working paper, School of Business, University of Wisconsin-Madison.
    37. Young, V. R. and K. S. Moore. 2002a. “Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility.” Scandinavian Actuarial Journal. Forthcoming.
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    描述: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    90932812
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    数据类型: thesis
    显示于类别:[經營管理碩士學程EMBA] 學位論文

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