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    Title: 動態解約率對壽險業保費及準備金之影響
    The Impact of Dynamic Surrender Rates on Life Insurance Premiums and Reserves
    Authors: 徐宇喬
    Hsu, Yu Chiao
    Contributors: 蔡政憲
    Tsai, Cheng hsien
    徐宇喬
    Hsu, Yu Chiao
    Keywords: 解約率
    共整合
    主成分分析
    保費
    準備金
    surrender rate
    cointegration
    principle component analysis
    premium
    reserve
    Date: 2015
    Issue Date: 2015-07-13 11:09:37 (UTC+8)
    Abstract: 解約風險為壽險公司承保風險中最重要之風險,文獻指出若於保單定價時忽略解約率可能為動態,將影響壽險公司損益、資產配置、資金流動性及風險管理計畫。本研究將以保費及準備金試算進行實證研究,觀察以傳統精算方式定價(忽略解約率為動態)將對保費及準備金之計算造成多少誤差。

    本研究首先使用台灣壽險業1987年至2011年之生死合險、終身壽險解約率資料,並透過主成分分析、模擬主成分分數並將其轉回各保單年度解約率,以完成動態解約率之模擬。接著以30歲男性為對象,計算不同情境下之保費及準備金。最後比較不同情境下之保費及準備金差異以了解忽略隨機解約率對保單定價之影響程度。

    實證結果顯示,考量隨機解約率與否對生死合險保費計算稍有影響但不明顯,但若長期累積觀察,是否考量隨機解約率對生死合險準備金有顯著影響。本研究使用之終身壽險解約率模型與利率無關、僅受其自身隨機效果影響,故是否考量隨機解約率對終身壽險保費及準備金之影響程度皆不大。
    Reference: [1] Belth, J.M., 1968. The impact of lapse rates on life insurance prices. The Journal of Risk and Insurance 35, 17-34.
    [2] Cerchiara, R. R., Edwards, M., Gambini, A., 2008. Generalized Linear Models in Life Insurance: Decrements and Risk factor analysis under Solvency II. In 18th International AFIR Colloquium.
    [3] Cox, S.H., Laporte, P.D., Linney, S.R., Lombardi, L., 1992. Single-premium deferred annuity persistency study. Transactions of Society of Actuaries Reports, 281-332.
    [4] Cox, S. H., Lin, Y., 2006. Annuity lapse rate modeling: Tobit or not tobit? Working Paper. Society of Actuaries.
    [5] 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.
    [6] Eling, M., Kiesenbauer, D., 2011. What policy features determine life insurance lapse: An analysis of the German market. Journal of Risk and Insurance 81, 241-269.
    [7] Eling, M., Kochanski, M., 2012. Research on lapse in life insurance-What has been done and what needs to be done? The Journal of Risk Finance 14, 392-413.
    [8] Kagraoka, Y., 2005. Modeling insurance surrenders by the negative binomial model, pp. 06-03. Working paper.
    [9] Kim, C., 2005a. Modeling surrender and lapse rates with economic variables. North American Actuarial Journal 9, 56-70.
    [10] Kim, C., 2005b. Report to the policyholder behavior in the German life insurance industry. North American Actuarial Journal.
    [11] 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.
    [12] Milhaud, X., Loisel, S., Maume-Deschamps, V., 2010. Surrender triggers in life insurance: Classification and risk predictions. HAL Working Papers.
    [13] Outreville, J. F., 1990. Whole-life insurance lapse rates and the emergency fund hypothesis. Insurance: Mathematics and Economics 9, 249-255.
    [14] Renshaw, A. E., Haberman, S., 1986. Statistical analysis of life assurance lapses. Journal of the Institute of Actuaries 113, 459–497.
    [15] EIOPA, 2011. EIOPA Report on the fifth Quantitative Impact Study (QIS5) for Solvency II.
    [16] Tsai, C., Kuo, W., Chen, W., 2002. Early Surrender and the distribution of policy reserves. Insurance: Mathematics and Economics 31, 429-445.
    [17] 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.
    [18] 杜於叡,2014。建構台灣壽險業解約率期限結構,政治大學,風險管理與保險研究所,台北。
    [19] 李家泉、陳淑娟, 2012。簡明壽險數學。台北:滄海書局。
    [20] 陳忠興,台灣壽險業發展簡史及經營現況。上網日期2015年6月17日,檢自:http://www.tw-insurance.info/article.cfm?ct=5241
    [21] 黃智聰,時間序列模型之運用。上網日期2015年4月30日,檢自:www.nccu.edu.tw/~jthuang/class16b.ppt
    [22] 楊芙宜,2011。「保險滲透度世界第一」 背後的真相。台灣光華雜誌,第48頁。
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    102358017
    103
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0102358017
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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