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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/94442


    Title: 以選擇權定價理論釐訂再保險費率
    Authors: 盧姵如
    Contributors: 張士傑
    盧姵如
    Keywords: 財務經濟學
    保險契約
    定價
    Date: 2007
    Issue Date: 2016-05-06 16:38:21 (UTC+8)
    Abstract: 本文探討再保險契約的分類型態及其費率釐訂的方式，應用選擇權訂價理論釐定再保險契約的費率，並以一實際的商業火險資料為基礎訂立其合理費率。再保險契約型態可能涉及自負額、共同保險、最高責任限額等協議，此一類型的再保險契約，其保單價格與理賠損失變數之間的關係可用非線性函數表示之。
    Shimko（1992）針對具備上述性質的多次給付保險契約，提供計算此類再保險契約價值的封閉解。本研究引用Shimko（1992）所建構的模型及其假設，將其中所牽涉的財務計價模型應用在再保險契約的計價上，並將財務經濟學的概念應用於保險市場，做延伸的概念解釋，最後運用國內產險業實際商業火險資料，計算實際再保險契約的費率，並探討再保險費率與相關變數之間的關係。
    本研究可歸結下列具體結果：
    1.再保險契約給付型態適用非線性函數表示，本研究將多次給付的可能
    納入計價考量，針對不同再保險契約型態的保險契約價值，以選擇權
    訂價模型計算再保險契約價格，能明確捕捉契約之型態。
    2.以個別公司商業火險資料計算再保險契約價格，由於保險公司的核
    保及營運狀況之間的差異，反應到其損失分佈的情形，以選擇權模型
    計算再保險契約之價格，可反應個別公司之間的差異。
    3.利用市場損失率預估個別產險公司商業火險損失幅度與損失頻率
    時，市場損失率預估個別公司之損失幅度較預估損失頻率具有解釋
    能力。
    Reference: F. Black and M. Scholes, "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81, pp. 637-654, 1973.
    M. Brennan and E. Schwartz, "Consistent Regulatory Policy under Uncertainty," Bell Journal of Economics, 13, pp. 506-521, 1982.
    J. D. Commins and N. A. Doherty. "The Economics of Insurance Intermediaries," Journal of Risk and Insurance, 73, pp. 359-396, 2006.
    G. M. Conatantinides, "Market Risk Adjustment in Project Valuation," Journal of Finance, 33, pp. 603-616, 1978.
    R.C. Merton, "An Intertemporal Capital Asset Pricing Model," Econometrica, 41,pp. 867-887, 1973.
    R.C. Merton, "Option Pricing When Underlying Stock Returns are Discontinuous," Journal of Financial Economics, 3,pp. 125-144, 1976 .
    J. C. Cox, J. E. Ingersoll, and S. A. Ross, "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, 53, pp. 363-384, 1985.
    J. D. Cummins, "Risk-Based Premiums for Insurance Guaranty Funds," Journal of Finance, 43, pp. 823-840, 1988.
    A. Friedman, Partial Differential Equations of Parabolic Type, Englewood Cliffs, NJ:Prentice-Hall Inc, 1964.
    Ludwig, Stephen, An exposure rating approach to pricing property excess of loss reinsurance, Proceedings of the Casualty Actuarial Society, 1998.
    Salzmann, Ruth, Rating by Layer of Insurance, Proceedings of the Casualty Actuarial Society, 1963.
    P. A. Samuelson and H. P. McKean, "Rational Theory of Warrant Pricing," Industrial Management Review, Reprinted in The Collected Scientific Papers of A.Paul Samuelson and R.C. Merton, ed. Bosten:M.I.T. Press, pp. 791-871, 1972.
    D.C. Shimko, "The Equilibrium Valuation of Risky Discrete Cash Flows in Continuous Time," Journal of Finance, 44, pp. 1373-1383, 1989.
    D.C. Shimko, "The Valuation of Multiple Claim Insurance Contracts," Journal of Financial and Quantitative Analysis, 27, pp. 229-246, 1992.
    Swiss Re, Commercial Insurance and Reinsurance Brokerage - Love thy Middleman, Sigma, No. 2, 2004, Zurich.
    張士傑, "檢視現額再保險與整合型風險管理," 保險專刊,pp. 87-101, 2000
    張士傑, "保險市場造市者必須履行之忠實義務原則," 風險與保險, 13, pp.2-8, 2007.
    陳繼堯, 再保險理論與實務, 智勝文化出版, 2002.
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    94358007
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094358007
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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