| Reference: | 英文文獻
1. Bacinello, A.R. and Ortu, F.（1993b）“Pricing Guaranteed Securities-linked Life Insurance under Interest Rate Risk”, Actuarial Approach for Financial Risks, Transactions of the 3rd AFIR International Colloquium, 35-55.
2. Bacinello, A.R. and Ortu, F.（1994）“Single and Periodic Premiums for Guaranteed Equity-linked Life Insurance under Interest Rate Risk: the Lognormal＋Vasicek Case” Financial Modeling, L. Peccati and M. Viren (Eds.), Physica-Verlag, Heidelberg, Germany, 1-25.
3. Ballotta L., Esposito G., and Haberman S.（2006）“The IASB Insurance Project for life insurance contracts: Impact on reserving methods and solvency requirements” Insurance: Mathematics and Economics, 39, 356-375
4. 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.
5. Black, F. and Scholes, M.（1973）“The Pricing of Options and Corporate Liabilities” Journal of Political Economy, 81, 637-654.
6. Boyle, P.P.（1976）“Rates of Return as Random Variable”, The Journal of Risk and Insurance, Vol. 43, No. 4, 693-713.
7. 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.
8. Cox J.C., Ingersoll J.E. and Ross S. A.（1985）“A Theory of the Term Structure of Interest Rates” Econometrica, Vol. 53, No. 2, 385-407
9. Denis D. and Jacques L.D.（2008）“The IASB Discussion Paper on Insurance: A CFO Forum Perspective” The Geneva Papers on Risk and Insurance - Issues and Practice, 33, 41-53
10. Heath, D., Jarrow, R., Morton, A.,（1992）“Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation” Econometrica 60, 77–105.
11. 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.
12. J. Barbarin, P. Devolder,（2005）“Risk measure and fair valuation of an investment guarantee in life insurance” Insurance: Mathematics and Economics, 37, 297–323
13. K Dowd, D Blake（2006）“After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures” The Journal of Risk and Insurance, Vol. 73, No. 2, 193-229
14. Lai, S.W. and Frees, E.W.（1995）“Examining Changes in Reserves Using Stochastic Interest Models”, The Journal of Risk and Insurance, Vol. 62, No. 3, 535-574.
15. Linder U and Ronkainen V.（2004）“Solvency II - Towards a New Insurance Supervisory System in the EU” Scandinavian Actuarial Journal, 6, 462-474
16. Milevsky, M.A. and Posner, S.（2001）“The Titanic Option: Valuation of Guaranteed Minimum Death Benefits in Variable Annuities and Mutual Funds” The Journal of Risk and Insurance Vol.68 No.1, 93-128
17. Milevsky, M.A. and Promislow, S.D.（2001）“Mortality derivatives and the option to annuities” Insurance: Mathematics and Economics, 29, 299-318
18. Mudavanhu B. and Zhuo, J.（2002）“Valuing Guaranteed Minimum Death Benefits in Variable Annuities and The Option to Lapse” - Submitted to the North American Actuarial Journal for publication.
19. Nielsen J. A. and Sandmann K.（1995）“Equity-linked life insurance: A model with stochastic interest rates” Insurance: Mathematics and Economics, 16, 225-253
20. Pfeifer D. and Strassburger D.（2008） “Solvency II: stability problems with the SCR aggregation formula” Scandinavian Actuarial Journal, 1, 61-77
21. CEA(Comitè Europèen des Assurances), “Solvency II, Cost of Capital”, 2006
22. CEIOPS, “QIS2Technical Specification”, 2006
23. CEIOPS, “QIS3Technical Specifications Part I: Instructions”, 2007
24. CEIOPS, “QIS3-QandA”, 2007
25. CEIOPS, “QIS3Technical Specifications Annexes”, 2007
26. CRO Forum(The Chief Risk Officer Forum) and CEA, “Solutions to major issues for Solvency II”, 2005
27. CRO Forum, “A Market Cost of Capital Approach to Market Value Margins”, 2006
28. Financial Services Commission “Implementation Of The Solvency I Directives(2002/12/EC And 2002/13/EC)” Consultation Paper, 2003
29. FOPI, “White Paper of the Swiss Solvency Test”, 2004
30. FOPI, “The Swiss Experience with Market Consistent Technical Provision - the Cost of Capital Approach”, 2006
31. FOPI, “A Primer for Calculating the Swiss Solvency Test “Cost of Capital ” for a Market Value Margin”, 2006
32. Swiss Re, “Solvency II”, sigma No.4, 2006
中文文獻
一. 林永和，「Solvency II 與風險管理」，風險與保險雜誌，中央再保險公司2007出版，No.12, 7-13
二. 張士傑，「Solvency II：整合型態風險管理的保險監理架構」，風險與保險雜誌，中央再保險公司2007出版，No.12, 2-6
三. 張少彥，「變額年金投資保證之風險評估：Lee-Carter模型之應用」，2007
四. 黃芳文，「歐盟Solvency II 監理制度」，保險財務評估與監理，財團法人保險事業發展中心2007出版，241-264
五. 楊曉文，張孝旭，「勞退新制下變額年金保險之收益保證風險評估與資本適足性研究」，風險管理學報，第七卷第三期2005，301-329
六. 葉典嘉，「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」，2007 |
