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| Title: | 隨機利率下可解約利率變動型壽險評價分析
The Valuation Analysis of Floating-rate Life Insurance under Stochastic Interest Rates |
| Authors: | 林靜吟
Lin, Ching-Yin |
| Contributors: | 林士貴
蔡政憲
Lin, Shih Kuei
Tsai, Cheng-Hsien
林靜吟
Lin, Ching-Yin |
| Keywords: | 條件期望值
利變型保單
Hull and white
Conditional expectation
CRR
Floating-rate insurance policy |
| Date: | 2018 |
| Issue Date: | 2018-07-03 17:26:44 (UTC+8) |
| Abstract: | 本文在Hull and White隨機利率模型之下計算利率變動型壽險的公平保費及其隱含之解約選擇權。本文提出遞迴公式並逆向計算保單價值，應用條件期望值的方法，建構二維樹狀結構計算利變型壽險的保費。利用本文提出的二維樹狀結構評價，不但具有精確性與收斂特性，計算上也十分有效率。本文也同時分析影響公平保費與解約選擇權價值之各項因子，包含利率波動度，資產波動度，利率和資產相關係數等。分析指出當利率波動劇烈時，利率變動型壽險價值與解約選擇權價值會隨著增加；區隔資產帳戶價值波動度劇烈時，利率變動型壽險價值會隨著減少而解約選擇權價值會隨著增加；最後，利率和區隔資產帳戶價值相關係數越高，利率變動型壽險價值越低，而解約選擇權價值越高。本文提出之評價方法與數值分析結果可供於保險公司評價利率變動型商品之參考。
This paper provides the fair valuation of a floating-rate life insurance policy embedded with surrender options under Hull and White stochastic interest rate models. This paper proposes a recursive formula to implement the backward computation and a two dimensions tree structure is constructed by the Conditional Expectation method to value the fair premiums of floating-rate life insurance policy. By using the proposed algorithm, we analyze the factors affecting the value of premiums and surrender options. Numerical analysis indicates that high interest rate volatility enhances both the premiums and surrender options values entitled to the policyholder. Moreover, when the value of segregate asset account has a high degree of volatility, the premiums of floating-rate life insurance will decrease and the value of surrender options will increase. Finally, the higher the correlation coefficient between the interest rate and the value of segregate asset account, the lower the premiums of floating-rate life insurance, conversely, the higher the value of the surrender options. These results present some suggestions for insurance companies to issue a floating-rate life insurance contract embedded with surrender options. |
| Reference: | 一、 中文文獻
[1] 李明黛. (2002). 利率風險對公司經營之影響:台灣壽險市場之實證研究. 政治大學風險管理與保險學系碩士學位論文.
[2] 林士貴, 張智凱, & 廖四郎. (2008). 可解約分紅保單之遞迴評價公式. 財務金融學刊, 16(3), 107-147.
[3] 賴詩婷. (2011). 隨機利率模型下分紅保單之解約選擇權評價. 逢甲大學統計與精算學系碩士學位論文.
[4] 王禕鴻. (2015). 利率變動型壽險探討. 中央大學財務金融學系碩士在職專班學位論文.
二、 英文文獻
[1] Bacinello, A. R., & Ortu, F. (1993). Pricing equity-linked life insurance with endogenous minimum guarantees. Insurance: Mathematics and Economics, 12(3), 245-257.
[2] Bacinello, A. R. (2001). Fair pricing of life insurance participating policies with a minimum interest rate guaranteed. ASTIN Bulletin: The Journal of the IAA, 31(2), 275-297.
[3] Bacinello, A. R. (2003a). Fair valuation of a guaranteed life insurance participating contract embedding a surrender option. Journal of Risk and Insurance, 70(3), 461-487.
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[11] Hilliard, J., A. Schwartz, and A. Tucker (1996). Bivariate binomial options pricing with generalized interest rate processes. The Journal of Financial Research, 19, 585-602.
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[14] Huang, H. C. & Lee, Y. T. (2008). The risk management of interest rate sensitivity policies: Interest rate declaring strategies and investment. 保險專刊, 24, 1-28.
[15] Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. The Review of Financial Studies, 3(4), 573-592.
[16] Hull, J., & White, A. (1993). One-factor interest-rate models and the valuation of interest-rate derivative securities. Journal of Financial and Quantitative Analysis, 28(2), 235-254.
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[18] Hull, J., & White, A. (2008). Dynamic models of portfolio credit risk: A simplified approach. Journal of Derivatives, 15(4), 9.
[19] Nelson, D. and K. Ramaswamy (1990). Simple binomial processes as diffusion approximations in financial models, The Review of Financial Studies, 3, 393-430.
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[21] Wei, J. (1993). Valuing American equity options with a stochastic interest rate: A note, The Journal of Financial Engineering, 2, 195-206. |
| Description: | 碩士
國立政治大學
金融學系
105352028 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0105352028 |
| Data Type: | thesis |
| DOI: | 10.6814/THE.NCCU.MB.001.2018.F06 |
| Appears in Collections: | [金融學系] 學位論文
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