English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113303/144284 (79%)
Visitors : 50807482      Online Users : 798
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/140.119/67484


    Title: 建構台灣壽險業解約率期限結構
    Modeling the Term Structures of Lapse Rates in Taiwan.
    Authors: 杜於叡
    Contributors: 蔡政憲
    杜於叡
    Keywords: 解約率
    主成分分析
    ARMA模型
    期限結構
    lapse rate
    principle component analysis
    ARMA model
    term structure
    Date: 2013
    Issue Date: 2014-07-14 11:32:19 (UTC+8)
    Abstract: 　　過去有相當多的文獻針對解約率建立模型，但由於資料取得之困難，鮮少文獻針對不同保單年度之解約率進行分析，本研究將以台灣壽險業資料分析不同保單年度之解約率行為，期望能找出解約率之期限結構，提供壽險業者訂價或風險管理之參考依據。
    　　本研究使用台灣壽險業1987年至2011年間之生死合險及終身壽險資料，透過資料分析顯示兩險種之解約率關聯性不大，且應將繳別分為三類進行分析，分別為不分繳別、月繳及年繳和半年繳及季繳三類，針對各保單年度進行主成分分析，結果顯示皆需6至8個主成分方可達到90%之解釋力，並透過ARMA模型檢驗選定之主成分與總體經濟變數間之關聯性，進而觀察是否符合利率假說及緊急資金假說，最後透過VAR模型或ARMA模型模擬總體經濟變數和各主成分之分數，並利用主成分分析之結果將主成分分數轉換回保單年度變數，完成各保單年度解約率之模擬，建構出台灣壽險業解約率之期限結構。
    Reference: Bai, J., Ng, S., 2004. A PANIC attack on unit roots and cointegration. Econometrica 72, 1127-1177.
    Belth, J.M., 1968. The Impact of lapse rates on life insurance prices. The Journal of Risk and Insurance 35, 17-34.
    Carson, J.M., Dumm, R.E., 1999. Insurance company-level determinants of life insurance product performance. Journal of Insurance Regulation 18, 195-206.
    Cox, S.H., Laporte, P.D., Linney, S.R., Lombardi, L., 1992. Single-premium deferred annuity persistency study. Transactions of Society of Actuaries Reports, pp. 281–332.
    Dar, A., Dodds, C., 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, 415-433.
    Fier, S.G., Liebenberg, A.P., 2013. Life insurance lapse behavior. North American Actuarial Journal 17, 153-167.
    Jiang, S., 2010. Voluntary termination of life insurance policies. North American Actuarial Journal 14, 369-380.
    Kiesenbauer, D., 2012. Main determinants of lapse in the German life insurance industry. North American Actuarial Journal 16, 52-73.
    Kim, C., 2005a. Modeling surrender and lapse rates with economic variables. North American Actuarial Journal 9, 56-70.
    Kim, C., 2005b. Report to the policyholder behavior in the German life insurance industry. North American Actuarial Journal.
    Kuo, W., Tsai, C., Chen, W., 2003. An empirical study on the lapse rate: the cointegration approach. The Journal of Risk and Insurance 70, 489-508.
    Outreville, J.F., 1990. Whole-life insurance lapse rates and the emergency fund hypothesis. Insurance: Mathematics and Economics 9, 249–255.
    Renshaw, A. E., Haberman, S., 1986. Statistical analysis of life assurance lapses. Journal of the Institute of Actuaries 113, 459-497.
    Richardson, C.F.B., Hartwell, J.M., 1951. Lapse rates. Transactions of Society of Actuaries 3, No.7.
    Russell, D.T., Fier, S.G., Carson, J.M., Dumm, R.E., 2013. An empirical analysis of life insurance policy surrender activity. Journal of Insurance Issues 36, 35-57.
    Schott, F.H., 1971. Disintermediation through policy loans at life insurance companies. Journal of Finance 26, 719-729.
    Tsai, C., Kuo, W., Chen, W., 2002. Early Surrender and the distribution of policy reserves. Insurance: Mathematics and Economics 31, 429-445.
    Tsai, C., Kuo, W., Chiang, D. M., 2009. The distribution of policy reserves considering the policy-year structures of surrender rates and expense ratio. The Journal of Risk and Insurance 76, 909-931.
    楊奕農. 2009. 時間序列分析：經濟與財務上之應用
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    101358024
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101358024
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

    Files in This Item:

    File SizeFormat
    802401.pdf3202KbAdobe PDF2220View/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