政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/54596
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113325/144300 (79%)
Visitors : 51167408      Online Users : 892
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/54596


    Title: 脫退率模型之建構與應用―台灣壽險資料
    Establishment and Application of Lapse Rate Model
    Authors: 彭文慧
    Peng,Wen Hui
    Contributors: 黃泓智
    彭文慧
    Peng,Wen Hui
    Keywords: 脫退率
    保單年度
    利差
    準備金
    lapse rate
    policy year
    interest rate difference
    reserve
    Date: 2011
    Issue Date: 2012-10-30 11:24:36 (UTC+8)
    Abstract: 本研究以保險事業發展中心之資料分析各種不同因子如年度、性別、保額、有無體檢、保費繳別、保單年度及利差、利率等對脫退率之影響，並將其中較具顯著影響的因子納入脫退率模型之建立，期望能藉此模型準確估計台灣壽險公司生死合險、終身壽險以及定期壽險之脫退率，進而幫助壽險公司之財務規劃。
    自本研究之分析發現其中最具影響力之因子為保單生效後之保單年度，因此以此為主軸建立脫退率模型，接著，亦考量利差以及利率所呈現的趨勢於其中分別建立保單年度利差模型以及保單年度利率模型，此外，更完整考量本研究中脫退率相關因素，以羅吉斯迴歸方法建立模型。最後將此四種模型應用於壽險公司準備金之提存，以生死合險為例模擬公司現金流量，發現準備金之分配如同
    Tsai et al.(2002)受利率風險影響甚鉅，而加入本研究所建立之四種脫退率模型模擬後，反而減少了公司未來所須面臨的利率風險，其中又以保單年度模型影響最大，而第四種脫退率模型不同於Tsai et al.根據台灣壽險經驗加入所有具影響之因素，其模擬結果介於保單年度模型以及保單年度利率模型間，可發現考量因素之不同對脫退率影響甚鉅，繼而影響準備金之提存。
    In this article, we focus on the causes and the features of lapse rate including year, sex, size, underwriting method, premium payment mode, policy year, interest rate and interest rate difference by collecting and analyzing the empirical data of endowment, whole life insurance and term life insurance in Taiwan from Taiwan Insurance Institute. Then we take factors that have effect with lapse rate into account to establish model, and we hope to accurately estimate the lapse rate of endowment, whole life insurance and term life insurance in Taiwan by these models, and assist the life insurance companies’ financial decision making.
    After analyzing, we find the most effective factor of this study is the policy year, which means the year after issuing, so we take this one as our primary consideration of our lapse rate model. Then we add the interest rate difference and interest rate in the further two models. Beside this, we further consider the important factors in the part of analysis and put it in the fourth model by using Logistic Regression Model. Finally, we apply these four models to the policy reserve of life insurance company by taking endowment policy as an example simulating the cash flow. We find that the results was same as Tsai et al. (2002) that distribution of policy reserve is strongly affected by interest rate risk, but can decrease interest rate risk the company have to face in the future by adding our lapse rate models, especially the policy year model, and the fourth lapse rate model which count into most factors was not the same as Tsai et al. producing result between policy year model and the policy- interest rate model. From the results of all the lapse rate model. We can know that considering different factors in the model will bring such distinct contribution amount of reserve for life insurance company.
    Reference: 1. Buck, N. F. 1960. First Year Lapse and Default Rates. Transactions, of the Society of Actuaries 12(33): 258–93; Discussions:294–314.
    2. Cox, S. H., P. D. Laporte, S. R. Linney, and L. Lombardi, 1991, Single-Premium Deferred Annuity Persistency Study, Transactions of Society of Actuaries Reports,281-332.
    3. Cathy Ho, Nancy S. Muise, 2011, U.S. Individual Life Insurance Persistancy, Life Insurance Marketing and Research Association.
    4. Cox, S. H., and Y. Lin, 2006, Annuity Lapse Rate Modeling: tobit or not tobit?, Society of Actuaries
    5. Cummins, J.D., 1975, An Econometric model of The Life Insurance Sector in The U.S. Economy, Lexington Books, Lexington, MA.
    6. Dar, A., and C. Dodds, 1989, Interest Rates, the Emergency Fund Hypothesis and Saving through Endowment Policies: Some Empirical Evidence for the U.K., Journal of Risk and Insurance, 56(3):415–433.
    7. Hanming Fangy, Edward Kungz, 2011, Why Do Life Insurance Policyholders Lapse?The Roles of Income, Health and Bequest Motive Shocks, working paper.
    8. Kagraoka, Y., 2005, Modeling Insurance Surrenders by the Negative Binomial Model, Working paper.
    9. Kim, C., 2005a, Modeling Surrender and Lapse Rates with Economic Variables, North American Actuarial Journal, 9(4):56–70.
    10. Kim, C., 2005b, Report to the policyholder behavior in the tail subgroups project, Society of Actuaries.
    11. Kiesenbauer, D., 2012, Main determinants of lapse in the German life insurance industry, North American Actuarial Journal.
    12. Martin Eling, Dieter Kiesenbauer, 2011, What policy features determine life insurance lapse? An analysis of the German market. Working paper on risk management and insurance.
    13. Outerville, J. Francois, 1990, Whole-life Insurance Lapse Rates and the Emergency Fund Hypothesis. Insurance: Mathematics and Economics, 9, 249-255.
    14. Richardson, C. F. B., and J. M. Hartwell. 1951. Lapse Rates.Transactions of the Society of Actuaries 3(7): 338–74; Discussions:375–96.
    15. Renshaw, A. E., and S. Haberman, 1986, Statistical Analysis of Life Assurance Lapses, Journal of the Institute of Actuaries, 113:459–497.
    16. Renshaw, A. E., and S. Haberman, 1996, Generalized linear models and actuarial science, The Statistician, 45(4):407–436.
    17. Samuel H. COX, Paul D. Laporte, Steven R. Linney, and Lucian Lombardi, Single-premiun differed-annuity persistancy study, Transactions of Society of Actuaries Reports,281-332.
    18. Tsai, C. , W. Kuo, and W. Chen, 2002, Early Surrender and the Distribution of PolicyReserves, Insurance: Mathematics and Economics, 31(3), 429-445.
    19. Tsai, C. , W. Kuo, and W. Chen, 2003, An Empirical Study on the Lapse Rate: the Cointegration Approach, The Journal of Risk and Insurance, 70(3), 489–508.
    20. Tsai, C., W. Kuo, and D. Mi-Hsiu Chiang, 2009, TheDistribution of Policy ReservesConsidering The Policy-Year Structures of Surrender Rates and Expense Ratios, TheJournal of Risk and Insurance, 76(4), 909-931.
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    99358006
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0099358006
    Data Type: thesis
    Appears in Collections:[Department of Risk Management and Insurance] Theses

    Files in This Item:

    File SizeFormat
    800601.pdf1052KbAdobe PDF2666View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    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 ©   - Feedback