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| Title: | 資產配置、監理寬容對人壽保險安定基金 保費之影響
Asset allocation and capital forbearance on the fair premium of ex-ante life insurance guarantee fund scheme |
| Authors: | 蕭聿恩
Hsiao, Yuan |
| Contributors: | 張士傑
蕭聿恩
Hsiao, Yuan |
| Keywords: | 資產配置
資本寬容
公平保費
risk-based premium
asset allocation
capital forbearance |
| Date: | 2011 |
| Issue Date: | 2013-03-01 09:24:57 (UTC+8) |
| Abstract: | 本篇論文主要探討不同風險因子對於壽險業安定基金保費之影響。首先建立一個評價安定基金保費之機制，此模型考慮壽險公司投資決策、負債組合、監理寬容以及市場不確定性。接著使用蒙地卡羅模擬不同風險因子變動之下的公平保費。其數值分析顯示壽險公司之權益組合占資產比例、槓桿、監理寬容期間以及監理標準皆對公平保費有正向之影響。
In this study, a valuation model is derived to price the fair premium in the insurance guarantee fund incorporating investment selection, liability portfolio, regulatory forbearance and market uncertainty. Then, Monte Carlo method is employed to measure the fair premium based on various important pricing factors. Finally, the numerical experiments and sensitivity analysis are conducted to investigate their impacts on the premiums. The results of our study indicate that the equity shares in the asset portfolio, the leverage ratio of the firm, the grace period and the tolerance of the capital threshold have the positive impacts on the risk-based premiums in the proposed ex-ante insurance guarantee fund scheme. |
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| Description: | 碩士
國立政治大學
風險管理與保險研究所
99358020
100 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0099358020 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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