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題名 附保證投資型保險商品資產配置之研究
The study of asset allocation for investment guarantee insurance作者 徐英豪
Hsu, Yin-Hao貢獻者 黃泓智
Huang, Hong-Chih
徐英豪
Hsu, Yin-Hao關鍵詞 附保證投資型保險商品
準備金
帳戶期待價值
資產配置
Investment guarantee insurance
Reserve
Expected account value
Asset allocation日期 2019 上傳時間 7-Aug-2019 16:15:12 (UTC+8) 摘要 附保證投資型保險商品所連結之帳戶期待價值雖然會影響其市場競爭力，但所延伸之相關風險也是保險公司的考量重點，特別是準備金之提存金額。本研究便以保證最低死亡給付（Guaranteed Minimum Death Benefit）加上保證最低提領給付（Guaranteed Minimum Withdraw Benefit）雙重保證之變額年金保險為例，在美國保險監理官協會頒布之第43號精算作業準則（Actuarial Guideline XLIII；AG 43）的監理規範架構下，投資股票型與債券型雙資產，納入生命週期資產配置策略及自行以網格方式設計之資產配置策略，同時考量準備金之提存以及帳戶期待價值，並比較所有策略之模擬結果。本研究結果發現不同資產配置策略會明顯影響準備金之提存以及帳戶期待價值，且若將提存之準備金控制在一定程度之下時，帳戶期待價值較佳之資產配置策略呈現股票型資產配置比重是隨保險期間而遞增之配置策略。
Although the expected value of the account linked to the investment guarantee insurance will affect its market competitiveness, insurance companies also consider the related risks, especially the amount of reserve.Under the insurance regulation, the Actuarial Guideline XLIII (AG43) adopted by National Association of Insurance Commissioners, the amount of reserve and the expected account value of variable annuities with guaranteed minimum death benefit (GMDB) and guaranteed minimum withdraw benefit (GMWB) are considered at the same time. I assume investing in two different kinds of asset contain stocks and bonds, and analyze how the asset allocation strategies, including the life-cycle asset allocation affect the simulation results.The results of the study show that different asset allocation strategies will significantly affect the amount of reserve and the expected account value. If the amount of reserve is controlled under a certain extent, the asset allocation strategy with better account value expectation is the strategy that the weight of the stock-type asset increases over time.參考文獻 1.人身保險業經營投資型保險業務應提存之各種準備金規範（中華民國97年）。2.李振綱（2008）。探討股票市場與債券市場的關聯結構－動態Copula模型。未出版之碩士論文，國立交通大學財務金融研究所。3.陳盈蓉（2007）。附保證給付投資型保險之定價－不同利率結構之比較。未出版之碩士論文，國立成功大學統計研究所。4.詹惟淳（2013）。考慮保戶行為下對附保證投資型商品準備金之評估。未出版之碩士論文，國立中央大學財務金融研究所。5.Actuarial Guideline XLIII. (2008). National Association of Insurance Commissioners.6.Arnott, R. (1985). The Pension Sponsor’s View of Asset Allocation. Financial Analysts Journal 41, No. 5, 17-23.7.Basu, A. K., & Drew M. E. (2009). Portfolio Size Effect in Retirement Accounts: What Does It Imply for Lifecycle Asset Allocation Funds? The Journal of Portfolio Management 35(3), 61-72.8.Brennan, M. J., & Schwartz, S. E. (1976). The pricing of equity-linked life insurance policies with an asset value guarantee. Journal of Financial Economics 3, 195-213.9.Brennan, M. J., & Schwartz, S. E., (1979). Alternative investment strategies for the issuers of equity linked life insurance policies with an asset value guarantee. Journal of Business 52, 63–93.10.Brien, M. J., Cross, P. J., Dunn, T. A., Pharris, J. A., & Panis, C. W. A. (2010). Target Date Funds and Retirement Saving. U.S.: Deloite & Advanced Analytical Consulting Group.11.Brinson, G. P., Singer, B. D., & Beebower, G. L. (1991). Determinants of Portfolio Performance II: An Update. Financial Analysts Journal 47(3), 40-48.12.Cox J. C., Ingersoll J. E., & Ross S. A. (1985), An Intertemporal General Equilibrium Model of Asset Prices. Econometrica 53, 363-384.13.Knoller, C., Kraut, G. & Schoenmaekers, P. (2012). On The Propensity to Surrender a Variable Annuity Contract - An Empirical Analysis of Dynamic Policyholder Behaviour. Munich Risk and Insurance Center Working Paper 7.14.Milevsky, M. A., & Salisbury, T. S., (2006). Financial valuation of guaranteed minimum withdrawal benefits. Insurance: Mathematics & Economics 38, 21–38.15.National Association of Insurance Commissioners (2008). Actuarial Guideline XLIII CARVM for Variable Annuities.16.Patton, A. J. (2006). Modelling Asymmetric Exchange Rate Dependence. International Economic Review, 47(2), 527–556.17.Riccetti, L. (2010). The use of copulas in asset allocation: When and how a copula model can be useful? LAMBERT Academic Publishing.18.Sklar, A. (1959). Fonctions de répartition à n dimensions et leurs marges. Publ. Inst. Stat. Univ. Paris, 8, 229–231.19.Vasicek, A. O. (1977). An Equilibrium Characterization of The Term Structure. The Journal of Financial Economics 5(2), 177-188. 描述 碩士
國立政治大學
風險管理與保險學系
106358001資料來源 http://thesis.lib.nccu.edu.tw/record/#G0106358001 資料類型 thesis dc.contributor.advisor 黃泓智 zh_TW dc.contributor.advisor Huang, Hong-Chih en_US dc.contributor.author (Authors) 徐英豪 zh_TW dc.contributor.author (Authors) Hsu, Yin-Hao en_US dc.creator (作者) 徐英豪 zh_TW dc.creator (作者) Hsu, Yin-Hao en_US dc.date (日期) 2019 en_US dc.date.accessioned 7-Aug-2019 16:15:12 (UTC+8) - dc.date.available 7-Aug-2019 16:15:12 (UTC+8) - dc.date.issued (上傳時間) 7-Aug-2019 16:15:12 (UTC+8) - dc.identifier (Other Identifiers) G0106358001 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/124752 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 風險管理與保險學系 zh_TW dc.description (描述) 106358001 zh_TW dc.description.abstract (摘要) 附保證投資型保險商品所連結之帳戶期待價值雖然會影響其市場競爭力，但所延伸之相關風險也是保險公司的考量重點，特別是準備金之提存金額。本研究便以保證最低死亡給付（Guaranteed Minimum Death Benefit）加上保證最低提領給付（Guaranteed Minimum Withdraw Benefit）雙重保證之變額年金保險為例，在美國保險監理官協會頒布之第43號精算作業準則（Actuarial Guideline XLIII；AG 43）的監理規範架構下，投資股票型與債券型雙資產，納入生命週期資產配置策略及自行以網格方式設計之資產配置策略，同時考量準備金之提存以及帳戶期待價值，並比較所有策略之模擬結果。本研究結果發現不同資產配置策略會明顯影響準備金之提存以及帳戶期待價值，且若將提存之準備金控制在一定程度之下時，帳戶期待價值較佳之資產配置策略呈現股票型資產配置比重是隨保險期間而遞增之配置策略。 zh_TW dc.description.abstract (摘要) Although the expected value of the account linked to the investment guarantee insurance will affect its market competitiveness, insurance companies also consider the related risks, especially the amount of reserve.Under the insurance regulation, the Actuarial Guideline XLIII (AG43) adopted by National Association of Insurance Commissioners, the amount of reserve and the expected account value of variable annuities with guaranteed minimum death benefit (GMDB) and guaranteed minimum withdraw benefit (GMWB) are considered at the same time. I assume investing in two different kinds of asset contain stocks and bonds, and analyze how the asset allocation strategies, including the life-cycle asset allocation affect the simulation results.The results of the study show that different asset allocation strategies will significantly affect the amount of reserve and the expected account value. If the amount of reserve is controlled under a certain extent, the asset allocation strategy with better account value expectation is the strategy that the weight of the stock-type asset increases over time. en_US dc.description.tableofcontents 第一章 緒論 7第一節 研究背景與研究動機 7第二節 研究目的 8第三節 研究流程 9第二章 文獻探討 11第一節 附保證投資型保險商品文獻探討 11第二節 資產配置文獻探討 12第三章 附保證投資型保險商品 13第一節 商品概述 13第二節 準備金提存監理規範 15第四章 研究方法 18第一節 資產配置策略 18第二節 資產報酬模型 21第三節 CTE(70)現金流 25第四節 分析指標 29第五章 實證結果分析 30第一節 情境假設 30第二節 分析流程 32第三節 單一指標結果分析 33第四節 綜合兩指標結果分析 36第五節 不同標的資產情境比較 40第六章 結論及未來研究方向建議 43第一節 結論 43第二節 未來研究方向建議 43參考文獻 45附錄 47 zh_TW dc.format.extent 2152609 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0106358001 en_US dc.subject (關鍵詞) 附保證投資型保險商品 zh_TW dc.subject (關鍵詞) 準備金 zh_TW dc.subject (關鍵詞) 帳戶期待價值 zh_TW dc.subject (關鍵詞) 資產配置 zh_TW dc.subject (關鍵詞) Investment guarantee insurance en_US dc.subject (關鍵詞) Reserve en_US dc.subject (關鍵詞) Expected account value en_US dc.subject (關鍵詞) Asset allocation en_US dc.title (題名) 附保證投資型保險商品資產配置之研究 zh_TW dc.title (題名) The study of asset allocation for investment guarantee insurance en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1.人身保險業經營投資型保險業務應提存之各種準備金規範（中華民國97年）。2.李振綱（2008）。探討股票市場與債券市場的關聯結構－動態Copula模型。未出版之碩士論文，國立交通大學財務金融研究所。3.陳盈蓉（2007）。附保證給付投資型保險之定價－不同利率結構之比較。未出版之碩士論文，國立成功大學統計研究所。4.詹惟淳（2013）。考慮保戶行為下對附保證投資型商品準備金之評估。未出版之碩士論文，國立中央大學財務金融研究所。5.Actuarial Guideline XLIII. (2008). National Association of Insurance Commissioners.6.Arnott, R. (1985). The Pension Sponsor’s View of Asset Allocation. Financial Analysts Journal 41, No. 5, 17-23.7.Basu, A. K., & Drew M. E. (2009). Portfolio Size Effect in Retirement Accounts: What Does It Imply for Lifecycle Asset Allocation Funds? The Journal of Portfolio Management 35(3), 61-72.8.Brennan, M. J., & Schwartz, S. E. (1976). The pricing of equity-linked life insurance policies with an asset value guarantee. Journal of Financial Economics 3, 195-213.9.Brennan, M. J., & Schwartz, S. E., (1979). Alternative investment strategies for the issuers of equity linked life insurance policies with an asset value guarantee. Journal of Business 52, 63–93.10.Brien, M. J., Cross, P. J., Dunn, T. A., Pharris, J. A., & Panis, C. W. A. (2010). Target Date Funds and Retirement Saving. U.S.: Deloite & Advanced Analytical Consulting Group.11.Brinson, G. P., Singer, B. D., & Beebower, G. L. (1991). Determinants of Portfolio Performance II: An Update. Financial Analysts Journal 47(3), 40-48.12.Cox J. C., Ingersoll J. E., & Ross S. A. (1985), An Intertemporal General Equilibrium Model of Asset Prices. Econometrica 53, 363-384.13.Knoller, C., Kraut, G. & Schoenmaekers, P. (2012). On The Propensity to Surrender a Variable Annuity Contract - An Empirical Analysis of Dynamic Policyholder Behaviour. Munich Risk and Insurance Center Working Paper 7.14.Milevsky, M. A., & Salisbury, T. S., (2006). Financial valuation of guaranteed minimum withdrawal benefits. Insurance: Mathematics & Economics 38, 21–38.15.National Association of Insurance Commissioners (2008). Actuarial Guideline XLIII CARVM for Variable Annuities.16.Patton, A. J. (2006). Modelling Asymmetric Exchange Rate Dependence. International Economic Review, 47(2), 527–556.17.Riccetti, L. (2010). The use of copulas in asset allocation: When and how a copula model can be useful? LAMBERT Academic Publishing.18.Sklar, A. (1959). Fonctions de répartition à n dimensions et leurs marges. Publ. Inst. Stat. Univ. Paris, 8, 229–231.19.Vasicek, A. O. (1977). An Equilibrium Characterization of The Term Structure. The Journal of Financial Economics 5(2), 177-188. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU201900404 en_US
