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| Title: | 權益連結壽險之動態避險：風險極小化策略與應用
Dynamic Hedging for Unit-linked Life Insurance Policies: Risk Minimization Strategy and Applications |
| Authors: | 陳奕求
Chen, Yi-Chiu |
| Contributors: | 張士傑
陳威光
Chang, Shih-Chieh
Chen, Wei-Kuang
陳奕求
Chen, Yi-Chiu |
| Keywords: | 等價原則
Black-Scholes評價公式
不完全市場
均數變異避險
風險極小化
principal of equivalience
Black-Scholes valuation formula
markets incompleteness
mean-variance hedging
risk-minimization
self-finance strategy
counting process
intrinsic risk |
| Date: | 2001 |
| Issue Date: | 2016-04-18 16:28:46 (UTC+8) |
| Abstract: | 傳統人壽保險契約之分析利用等價原則(principal of equivalience) 來對商品評價。即保險人所收保費之現值等於保險人未來責任(保險金額給付)之現值。然而對於權益連結壽險商品而言，其結合傳統商品之風險(如利率風險、死亡率風險等)與財務風險，故更增加其評價困難性。過去研究中在假設預定利率為常數與死亡率為給定的情況下，利用Black-Scholes (1973)評價公式推導出公式解。然而Black-Scholes評價公式是建構在完全市場上，對於權益連結壽險商品而言其已不符合完全市場之假設，因此本文放寬完全市場之假設來對此商品重新評價與避險。
In this study, actuarial equivalent principle and no-arbitrage pricing theory are used in pricing and valuation for unit-linked life insurance policies. Since their market values cannot be replicated through the self-finance strategies due to market incompleteness, the theoretical setup in Black and Scholes (1973) and Follmer and Sondermann (1986) are adopted to develop the pricing and hedging strategies. Counting process is employed to characterize the transition pattern of the policyholder and the linked assets are modeled through the geometric Brownian motions. Equivalent martingale measures are adapted to derive the pricing formulas. Since the benefit payments depend on the performance of the underlying portfolios and the health status of the policyholder, mean-variance minimization criterion is employed to evaluate the financial risk. Finally pricing and hedging issues are examined through the numerical illustrations. Monte Carlo method is implemented to approximate the market premiums according to the payoff structures of the policies. In this paper, we show that the risk-minimization criterion can be used to determine the hedging strategies and access the minimal intrinsic risks for the insurers. |
| Reference: | 一、中文部分
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二、英文部分
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| Description: | 碩士
國立政治大學
風險管理與保險研究所
88358015 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#A2002001470 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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