政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49675
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113324/144300 (79%)
造访人次 : 51122595      在线人数 : 889
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/49675


    题名: 含解約權之附保證變額壽險評價分析
    作者: 林威廷
    贡献者: 張士傑
    林威廷
    关键词: 附保證變額壽險
    BGM利率模型
    解約選擇權
    最小平方蒙地卡羅法
    Variable life insurance with minimum guaranteed amount
    BGM interest rate model
    Surrender option
    Least squares Monte Carlo approach
    日期: 2007
    上传时间: 2010-12-08 16:25:37 (UTC+8)
    摘要: 本文針對躉繳保費的附保證變額壽險進行評價，保單形式為生死合險，假設投保人可將期初的投資金額連結到兩種投資標的：股價指數及債券型基金，並以BGM模型描述利率的動態過程，然後分別計算不含解約權及含解約權的附保證變額壽險躉繳保費，進而求算出隱含在保單中的保證價值和解約權價值。針對含解約權的附保證變額壽險，以Longstaff and Schwartz(2001)提出的最小平方蒙地卡羅法處理解約的問題。最後，我們求算不同年齡下的男性保費，並且在投資比例、起始最低保證、最低保證給付成長率、針對解約的保證給付成長率和第一個允許的解約時點變動下，分別討論對於保證價值和解約權價值的影響。
    結果顯示：(1)當起始最低保證給付等於期初投資金額時，投資在股票的比例越大，越能凸顯保證價值和解約權價值佔保費的比重。以30歲男性為例，保證價值佔不含解約權之附保證變額壽險的比例，由全部投資在債券型基金的0.03%，成長到全部投資在股票的13.86%；而解約權價值佔含解約權之附保證變額壽險的比例，由全部投資在債券型基金的0.05%，成長到全部投資在股票的9.12%。(2)投資比例、起始最低保證給付和最低保證給付成長率越大，保證價值越高。(3)起始最低保證給付和針對解約的保證給付成長率越大，解約權價值越大；而最低保證給付成長率和第一個允許的解約時點越大，解約權價值越小。(4)投資比例隨著最低保證給付不同對解約權價值有不同的影響。

    關鍵字：附保證變額壽險、BGM利率模型、解約選擇權、最小平方蒙地卡羅法
    This study emphasizes on the pricing of variable life insurance with minimum guarantees. As an endowment policy in a single premium form, in this paper, it is assumed that the insured can distribute the initial investment amount into two underlying assets: the stock index fund and bond fund. Simulating the interest rate under a BGM model, computational procedures are performed for the single premium of the variable life insurance policy without surrender option and embedding a surrender option, and further, the guarantee value and surrender value embedded in the insurance policy. For the variable life insurance policy embedding a surrender option, the Least Square Monte-Carlo method proposed by Longstaff and Schwartz (2001) is applied to solve the surrender conditions. Finally, we calculate the premium for a male at different ages, and respectively analyze the variations of the guarantee value and surrender value under the influence of the investment portfolio, the initial minimum guaranteed amount, the growth rate of the minimum guarantee, the growth rate of the minimum guarantee for surrender and the first permitted surrender time.
    The results show that: (1) when the initial minimum guaranteed amount equals the initial investment amount, higher proportion invested in stock will result in larger percentage of the guarantee value and surrender value to total premium. Take a 30-year old male as an example: the percentage of guarantee value to the premium of variable life insurance with minimum guarantee and without a surrender option, which is 0.03% when the initial investment amount thoroughly goes to bond fund, rises up to 13.86% with the entire amount invested in stock index fund. Likewise, the percentage of surrender value to the premium of variable life insurance with minimum guarantee and surrender option is 0.05% with total amount invested in bond fund, while it is 9.12% with the entire amount invested in stock index fund. (2) The higher proportion invested in stock, the initial minimum guaranteed amount and the growth rate of minimum guaranteed amount, the larger guarantee value. (3) Larger initial minimum guaranteed amount and the growth rate of the minimum guaranteed amount for surrender would contribute to a higher surrender value. The higher growth rate of the minimum guaranteed amount and the first permitted surrender time, the lower surrender value. (4) The influence of the investment portfolio to surrender value depends on the initial minimum guaranteed amount.

    Key words: Variable life insurance with minimum guaranteed amount, BGM interest rate model, surrender option, least squares Monte Carlo approach.
    參考文獻: 一、中文部份
    財團法人保險事業發展中心，2007，投資型保險商品，第三版，台北市：財團法人保險事業發展中心。
    二、英文部分
    Albizzati, M. O., and H. Geman. 1994, “Interest Rate Management and Valuation of the Surrender Option in Life Insurance Policies,” Journal of Risk and Insurance 61(4): 616-37.
    Bacinello, A. R., and Ortu, F., 1993a, “Pricing Equity-linked Life Insurance With Endogenous Minimum Guarantees,” Insurance: Mathematics and Economics 12(3), 245-257.
    Bacinello, A. R., and Ortu, F., 1993b, “Pricing Guaranteed Securities-linked Life Insurance under Interest Rate Risk,” Actuarial Approach for Financial Risks, 35-55.
    Bacinello, A. R., and S. A. Persson. 2002, “Design and Pricing of Equity-Linked Life Insurance under Stochastic Interest Rate,” Journal of Risk Finance 3(2): 6-21.
    Bacinello, A.R., 2005, “Endogenous Model of Surrender Conditions in Equity-linked Life Insurance,” Insurance: Mathematics and Economics 37:270-296
    Black, F. and M.J. Scholes, 1973, “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy 81:637-659.
    Boyle, P., 1977, “Options: A Monte Carlo Approach,” Journal of Financial Economics 4(3): 323-338.
    Brace, A., D. Gatarek, and M. Musiela, 1997, “The Market Model of Interest Rate Dynamics,” Mathematical Finance 7(2): 127-147
    Brennan, M. J., and E. S. Schwartz, 1976, “The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee,” Journal of Financial Economics 3: 195-213.
    Brennan, M. J., and E. S. Schwartz, 1978, “Finite difference methods and jump processes arising in the pricing of contingent claims: a synthesis,” Journal of Financial and Quantitative Analysis 13(3): 461-474.
    Cox, J. C., J. E. Ingersoll, and S. A. Ross, 1985, “A Theory of the Term Structure of Interest Rates,” Econometrica 53: 385-407.
    Cox, J. C., S. A. Ross, and M. Rubinstein, 1979, “Option Pricing: A Simplified Approach,” Journal of Financial Economics 7:229-63.
    Delbaen, F., 1990, “Equity linked policies,” Bulletin Association Royal Actuaries Belges, 33-52.
    Health, D., R. Jarrow, and A. Morton, 1992, “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation,” Econometrica 60(1): 77-105.
    Hull, J., and A. White, 1990, “Pricing Interest Rate Derivative Securities,” The Review of Financial Studies 3:573-592.
    Longstaff, F.A, and E. S. Schwartz, 2001, “Valuing American Option by Simulation: A simple Least-Squares Approach,” The Review of Financial Studies 14(1): 113-148
    Nielsen, J.A., and K. Sandmann, 1995, “Equity-linked Life Insurance: A Model with Stochastic Interest Rates,” Insurance: Mathematics and Economics 16:225-253.
    Persson, S. A., and K. K. Aase, 1997, “Valuation of Minimum Guaranteed Return Embedded in Life Insurance Products, Journal of Risk and Insurance 64(4): 599-617.
    Rebonato, R., 1999, Volatility and Correlation, Wiley, Chichester.
    Turnbull, S. M., and L. M. Wakeman, 1991, “Quick algorithm for Pricing European Average Options.” Journal of Financial and Quantitative Analysis 26:377-389.
    Vasciek, O., 1977, “An Equilibrium Characterization of the Term Structure.” Journal of Financial Economics 5:177-188.
    Vorst, A. C. F., 1992,”Pricing and Hedge Ratios of Average Exchange Rate Options,” International Review of Financial Analysis 1:179-193.
    Wu, T.P, and S.N Chen, 2007, “Equity Swaps in a Libor Market Model,” The Journal of Futures Markets 27(9): 893-920
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    95358021
    96
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0095358021
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    802101.pdf43KbAdobe PDF2575检视/开启
    802102.pdf82KbAdobe PDF2786检视/开启
    802103.pdf62KbAdobe PDF2637检视/开启
    802104.pdf159KbAdobe PDF2571检视/开启
    802105.pdf188KbAdobe PDF21710检视/开启
    802106.pdf225KbAdobe PDF21022检视/开启
    802107.pdf232KbAdobe PDF21864检视/开启
    802108.pdf308KbAdobe PDF21240检视/开启
    802109.pdf160KbAdobe PDF2743检视/开启
    802110.pdf162KbAdobe PDF2716检视/开启
    802111.pdf196KbAdobe PDF2646检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈