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    题名: 台灣保險監理之利率模型系統
    其它题名: An interest rate model system for regulator in Taiwan
    作者: 蔡政憲;張士傑;謝明華;郭維裕
    贡献者: 國立政治大學風險管理與保險學系
    行政院金融監督管理委員會保險局
    关键词: 利率模型;保險監理;利率風險
    日期: 2005
    上传时间: 2012-10-22 15:44:04 (UTC+8)
    摘要: 利率模型對保險業是相當重要的，特別是對壽險公司而言。因為壽險公司需要預定利率做保單估價、估計各險種的準備金以及評估公司的利率風險。此外，保險監理官亦需要透過利率模型建立一個適當的法定準備金（類似最低資本額），以規範壽險業者的利率風險。 本計畫的目的在於：發展出一個適用於台灣保險業的利率模型，供保險監理官做為利率風險控管的參考。該利率模型是以台灣利率市場的歷史資料建構，並以計量經濟學及財務工程的預測模型理論為基礎。最後，本計畫將提出兩種類型的利率模型：實証經濟學模型及利率期間模型，並將該模型以EXCEL檔或軟體的形式呈現，供保險監理官做利率情境模擬分析。
    An interest rate model is essential to insurance companies, especially life insurers. A life insurer needs projected interest rates to calculate the price of an insurance product, to estimate the reserves of a product, and to assess the interest rate risk of the company. Insurance supervisors need an interest rate model to set up the statutory reserves as well as the minimum capital requirements for the interest rate risk of a life insurer. The purpose of this project is to develop an interest rate model suitable for the use in the insurance industries, especially for the use in the insurance supervision of Taiwan. The model will be developed using the historical data of the interest rate markets in Taiwan. The theoretical foundation for the estimated model lies on econometrics and/or financial engineering. More specifically, we will probably estimate two types of interest rate models: an empirical econometrical model and a term structure model borrowed from the finance literature and estimated/calibrated using the market data. The output of the project will be a excel file or a software package capable of generating a pre-specified number of interest rate scenarios.
    關聯: 應用研究
    委託研究
    研究期間:9411~ 9509
    研究經費:950仟元
    数据类型: report
    显示于类别:[風險管理與保險學系] 國科會研究計畫

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