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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/64606

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题名:	壽險保單準備金之有效存續期間分析
其它题名:	Effective Duration Analyses on the Policy Reserves of Life Insurance
作者:	詹芳書;蔡政憲 Chan, Linus Fang-Shu;Tsai, Chenghsien
贡献者:	風管系
关键词:	effective duration;policy reserve;aggregate reserves
日期:	2012-03
上传时间:	2014-03-12 16:03:50 (UTC+8)
摘要:	Life insurers need to employ effective duration to measure the interest rate risk of policy reserves because the surrender rate depends on interest rates, which makes cash flows interest-rate-sensitive. This study uses a general surrender rate model and CIR interest rate model, besides assuming different interest rate sensitivities according to product characteristics. Products analyzed include term life insurance, endowment and pure endowment. We first calculate the effective durations of these products’ reserves by policy years. Then we calculate effective durations of reserves aggregated by products, and across products. Our results identify a new pattern of effective durations of policy reserves with time to maturity on three types of policies not reported by Tsai (2009). Furthermore, the gap between duration of usingTreasury bonds to match policy reserves broadens as the interest rate falls.
關聯:	財務金融學刊, 20(1), 33-62
数据类型:	article
DOI 連結:	http://dx.doi.org/10.6545/JFS.2012.20(1).2
DOI:	10.6545/JFS.2012.20(1).2
显示于类别:	[風險管理與保險學系] 期刊論文

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