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    Title: 各險種經驗死亡率之分析與期保費高低估之探討
    The analysis of empirical mortality rates for different insurance products and the estimations of insurance premiums
    Authors: 呂政治
    Contributors: 黃泓智
    呂政治
    Keywords: 平均餘命
    高齡化社會
    Whittaker修勻
    Gompertz法則
    Lee-Carter模型
    Date: 2008
    Issue Date: 2010-04-09 14:48:18 (UTC+8)
    Abstract: 隨著台灣經濟的大幅提升與保險的觀念在國內越來越盛行,許多的人都會選擇去投保,本研究採用的資料是從保險事業發展中心所獲得,其收集台灣各個保險公司所銷售的保單,包含定期險、生死合險和終身壽險的資料。我們藉由此資料來分析具有何種特質的人會去購買何種保單,哪些因素會造成死亡率之間的差異。近些年來,台灣的生活水準和醫療水平有顯著的進步,台灣人口的死亡率也因此大幅地下降,男女間的平均餘命也隨之增加,台灣逐步地邁向高齡化社會。但隨著死亡率的改善,保險公司之前所銷售的較長年期的保險商品,有可能會造成保險公司低估或高估其保費,使公司未來的現金流量不穩定。而且以前公司通常是使用生命表的死亡率為基礎,但這樣並不能真正反映有保險人口的死亡機率,因此,我們將使用實際投保的資料,透過Whittaker修勻和Gompertz法則,計算其死亡率,並利用Lee -Carter模型去對未來的死亡率做預測,探討死亡率的下降,會對保險公司造成何種衝擊與其影響到底會有多大。
    Reference: 英文部分
    Cairns, A. J.G., Blake, D., Dowd ,K., Coughlan, Guy D., Epstein, D., Ong, A., and Balevich, I. (2007). A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. Department of Actuarial Mathematics and Statistics, School of Mathematical and Computer Sciences.
    Cairns, A.J.G., Blake, D., and Dowd, K. (2006b). A Two-Factor Model for Stochas-
    tic Mortality with Parameter Uncertainty: Theory and Calibration," Journal of
    Risk and Insurance, 73: 687-718.
    Currie I.D., Durban, M. and Eilers, P.H.C. (2004). Smoothing and forecasting
    mortality rates," Statistical Modelling, 4: 279-298.
    Currie, I.D. (2006). Smoothing and forecasting mortality rates with P-splines.
    Talk given at the Institute of Actuaries, June 2006.
    See http://www.ma.hw.ac.uk/»iain/research/talks.html
    Eckart, C. and Young, G. (1936). The Approximation of One Matrix by Another of Lowe Rank. Psychometrika 1:211-218.
    Gompertz, B. (1825). On the nature of the function expressive of the law of human mortality, and on the mode of determining the value of life contingencies. Phil. Trans. Roy. Soc. 115:513-585.
    Koissi, M.C., and Shapiro, A.F. (2008). The Lee-Carter Model Under the Condition of
    Variables Age-Specific Parameters. Presented at the 43rd Actuarial Research Conference, Regina, Canada
    Lee, R.D., Carter, L. R. (1992). Modeling and forecasting US mortality. Journal of the American Statistical Association 87 (419), p.659-675.
    Renshaw, A.E., and Haberman, S. (2006). A cohort-based extension to the Lee-
    Carter model for mortality reduction factors. Insurance: Mathematics and Eco-
    nomics, 38:556-570.
    Yue, C. J. (2002). Oldest-Old Mortality Rates and the Gompertz Law: A Theoretical and Empirical Study Based on Four Countries. Journal of Population Studies (TSSCI), vol. 24, 33-57.
    中文部分
    余清祥(1997),「修勻-統計在保險的應用」,雙葉書廊
    余清祥與連宏銘(1999),「台灣地區死亡率現況的實證研究」, 壽險季刊, vol. 111, 2-16.
    余清祥與曾奕翔(2005),Lee-Carter模型分析:台灣地區死亡率推估之研究,2005年台灣人口學會學術研討會論文。
    陳文琴(2008),「死亡率改善模型的探討及保險商品自然避險策略之應用」,政治大學風險管理與保險學系碩士論文
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    96358022
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0096358022
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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