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    题名: 壽險責任準備金公平價值之評價分析 ─ 以強制分紅保單為例
    作者: 葉典嘉
    贡献者: 蔡政憲
    葉典嘉
    关键词: 公平價值
    最佳估計值
    風險邊際
    日期: 2007
    上传时间: 2009-09-14 09:41:36 (UTC+8)
    摘要: 本文主要目的是探討壽險責任準備金公平價值之評價分析，根據台灣的利率市場，用符合財務經濟學的原則，計算出準備金的公平價值（Fair Value）。而準備金之公平價值是以準備金之最佳估計值（Best Estimate）加上風險邊際（Risk Margin）為原則。目前國內準備金之現行制度對於法定準備金僅假設未來利率固定，並未考量利率變化情形，本文將採用隨機利率的方式來評估國內強制分紅保單準備金的公平價值。隨機利率之模型本文採用無套利模型中的Ho-Lee model，利用此模型求得準備金之最佳估計值。並以主成分分析法（Principle Component Analysis）模擬未來之利率情境，求得準備金之風險邊際及公平價值。另外，由於國內尚無足夠資料建立合適之解約率模型，本文僅參考過去文獻額外假設二種與利率相關之解約率模型，及二種不同於原保單之分紅策略，探討準備金公平價值之變動。
    本文之研究結果分析如下：
    1.死差、利差可互抵之分紅策略，雖降低了保險公司之負債，但仍遠不及忽視隨機利率所造成的嚴重虧損。
    2.取兩年定期儲蓄利率之前三年算術平均值作為分紅標準會降低紅利價值，此結果支持選擇權價值與波動率之正向關係。
    3.利率敏感型之解約行為會使得紅利價值高於固定解約行為之紅利價值。而考慮隨機利率雖會造成市場上該強制分紅保單之負債大幅提昇，然而考量利率敏感型之解約行為使得保戶容易因為市場利率的走高而解除保險契約，此舉反而解救了保險公司。
    參考文獻: Albizzati, M., Geman, H., 1994. Interest rate risk management and valuation of the surrender option in life insurance policies. Journal of Risk and Insurance 61, 616–637.
    Brennan, M. J., and Schwartz, E. S. (1976). The pricing of equity-Linked life insurance policies with an asset value Guarantee. Journal of Financial Economics, 3, 195-213.
    Bernard, C., Le Courtois, O., and Quittard-Pinon, F. 2005. Market value of life
    insurance contracts under stochastic interest rates and default risk. Insurance:
    Mathematics and Economics, 36, 499-516.
    Bacinello, A. R. 2001. “Fair pricing of life insurance participating polices with a minimum interest Rate guaranteed,” ASTIN Bulletin 31(2): 275-97.
    Bacinello, A. R. 2003a. “Fair valuation of a guaranteed life insurance participating contract embedding surrender option,” Journal of Risk and Insurance 70(3):461-87
    Bacinello, A. R. 2003b. “Pricing guaranteed life insurance participating policies with annual premiums and surrender option” North American Actuarial Journal ; Jul 2003; 7, 3.
    Babble, D.F. Gold, J. and Merrill, C. B.2002. “Fair value of liabilities : The financial economics perspective,” North American Actuarial Journal; Jan 2002; 6, 1; ABI/INFORM Global pg. 1
    Lai, S.L. & Fress, E. W., 1995, “Examining changes in reserves using stochastic interest models”, Journal of risk and Insurance, 62, 535-574.
    Grosen, A., Jorgensen, P.L., 1997. Valuation of early exercisable interest rate guarantees. Journal of Risk and Insurance 64, 481–503.
    Grosen, A., Jorgensen, P.L., 2000. Fair valuation of life insurance liabilities: the impact of interest guarantees, surrender options, and bonus policies. Insurance: Mathematics and Economics 26, 37–57.
    Grosen, A., Jorgensen, P.L., 2002. “Life insurance liabilities at market value: An analysis of insolvency risk, bonus policy, and regulatory intervention rules in a barrier option framework,” Journal of Risk and Insurance 69(1):63-91.
    Jensen, B., Jørgensen, P., and Grosen, A. 2001. A finite difference approach to the
    valuation of path dependent life insurance liabilities. The Geneva Papers on Risk and Insurance Theory, 26, 57-84.
    Parker, G., 1994a. Moments of the present value of a portfolio of policies. Scandinavian Actuarial Journal 1, 53–67.
    Parker, G., 1994b. Stochastic analysis of a portfolio of endowment insurance policies. Scandinavian Actuarial Journal 2, 119–130.
    Parker, G., 1994c. Limiting distribution of the present value of a portfolio. ASTIN Bulletin 24, 47–60.
    Parker, G., 1996. A portfolio of endowment policies and its limiting distribution. ASTIN Bulletin 26, 25–33.
    Parker, G., 1997. Stochastic analysis of the interaction between investment and insurance risks. North American Actuarial Journal 1, 55–84.
    Panjer, H.H., Bellhouse, D.R., 1980. Stochastic modeling of interest rates with applications to life contingencies. Journal of Risk and Insurance 47, 91–110.
    Tsai, C., W. Kuo, and W.K. Chen, 2002. Early surrender and the distribution of policy reserves. Insurance: Mathematics, and Economics, 31(3), 429-445.
    Tanskanen, A., and Lukkarinen, J. (2003). Fair valuation of path-dependent participating life insurance contracts. Insurance: Mathematics and Economics, 33, 595-609.
    顏尚琴，「利率變動型年金保險解約率的估計」，大同技術學院學報，第十三期，2004，第29-47頁。
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    94358022
    96
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094358022
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

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