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    题名: 附保證給付投資型商品之收費定價
    A Framework to Charge for Unit-linked Contracts when Considering Guaranteed Risk
    作者: 李永琮　
    贡献者: 黃泓智
    楊曉文


    李永琮　
    关键词: 投資型商品
    收費
    隨機現金流量
    Unit-linked policy
    Charging
    Stochastic cash flows
    日期: 2003
    上传时间: 2009-09-18
    摘要: 保險人發行投資型商品之收費主要來自於基金管理費用。本研究旨在提供一個架構，以作為此基金管理費用定價之依據。在此一架構下，保險人提撥準備金以因應附保證給付所帶來的風險；並可區分因保證給付所衍生之收費以及非因保證給付所衍生之收費。
    簡單的說，我們的步驟如下：首先模擬未來的投資報酬率，藉以建構保險人發行投資型商品之現金流量分配。其次，在既定的內部報酬率(Internal Rate of Return)以及規範之準備金提存標準下，計算相對應之費率。
    在本研究中，我們提供以滿期保證給付為例之相關數值結果。任何保證形態之投資型商品其基金管理費用皆可依此架構定價。
    This paper proposes a framework to charge for unit-linked contracts when considering guaranteed risk. The charge is determined by two criteria of meeting the target internal rate of return and simultaneously reserving standard. The framework is built on the stochastic cash-flow analysis. Thus, we first model the cash flow for unit-linked contracts by means of simulation, using a stochastic model for future dynamics of the rate of return. In the cash flow model, we consider the reserves for the guaranteed risk. The reserving standard for the guaranteed risk is based on quantile risk measure. In our framework, we work out the charges in reverse.

    For illustrative purposes, we investigate a unit-linked policy with maturity guarantees. However, our framework would apply to other types of contacts and guarantees. Some sensitivity analyses are also carried out in this research.
    參考文獻: Boyle, P. P., and Schwartz, E. S. (1977): ”Equilibrium Prices of Guarantees under Equity-Linked Contracts” Journal of Risk and Insurance 44(4): 639-660.
    Boyle, P. P., and Hardy, M. R. (1997): ”Reserving for Maturity Guarantees: Two approaches” Insurance: Mathematics and Economics 21:113-127.
    Boyle, P. P., and Hardy, M. R. (2003): “Guaranteed Annuity Options”, Astin Bulletin, 33, 2, 125-152.
    Brennan, M.J., and Schwartz, E. S. (1976): ”The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee” Journal of Financial Economics 3: 195-213.
    Grosen, A. and Jørgensen, P.L. (2000): ”Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options, and Bonus Policies” Insurance: Mathematics and Economics, 26, 37-57
    Hansen, M and K. R. Miltersen (2002): “Minimum Rate of Return Guarantees: The Danish Case” Scandinavian Actuarial Journal, 4, 280-318.
    Hardy, M. R. (2000): ”Hedging and Reserving for Single-Premium Segregated Fund Contracts” North American Actuarial Journal, 4, 2, 63-74.
    Hardy, M. R. (2003): Investment Guarantees: The Science Modeling and Risk Management for Equity-Linked Life Insurance, Wiley.
    Hare D .J. P., Dickson J. A., Mcdade P. A. P., Morrison D., Priestley R. P. and Wilson G. J. (1999): “A market-based approach to pricing with-profits guarantees” Presented to the Faculty of Actuaries.
    Maturity Guarantees Working Party (MGWP) (1980): ”Report of the Maturity Guarantees Working Party” Journal of the Institute of Actuaries, 107, 102-212.
    Miltersen, K.R. and Persson, S. -A. (1999): “Pricing Rate of Return Guarantees in a Health-Jarrow-Morton Framework” Insurance: Mathematics and Economics, 25(3), 307-325.
    Pelsser, A. (2002): “Pricing and Hedging Guaranteed Annuity Options via Static option Replication” Working Paper, Erasmus University at Rotterdam, Netherlands.
    Persson, S. -A. and Aase, K.K. (1997): ”Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Contracts” Journal of Risk and Insurance, 64, 4, 599-617.
    Wilkie, A.D., (1986): “A Stochastic Investment Model for Actuarial use” Transactions of the Faculty of Actuaries 39:341-391.
    Wilkie, A.D., (1995): “More on a Stochastic Asset Model for Actuarial Use” British Actuarial Journal 1(V):777-964.
    Wilkie, A.D., Waters, H. R., and Yang, S. (2003): “Reserving, Pricing and Hedging for Policies with Guaranteed Annuity Options” British Actuarial Journal, Vol. 9, 2, 263-391.
    Wirch, J.L. and Hardy, M. R.（1999）, “A synthesis of risk measures for capital adequacy”, Insurance: Mathematics and Economics, 25：337-347
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    91358023
    92
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0091358023
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

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