| dc.contributor.advisor | 楊曉文<br>黃泓智 | zh_TW |
| dc.contributor.advisor | <br> | en_US |
| dc.contributor.author (Authors) | 鄭宇宏 | zh_TW |
| dc.creator (作者) | 鄭宇宏 | zh_TW |
| dc.date (日期) | 2002 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:42:11 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:42:11 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:42:11 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0903580171 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31283 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 風險管理與保險研究所 | zh_TW |
| dc.description (描述) | 90358017 | zh_TW |
| dc.description (描述) | 91 | zh_TW |
| dc.description.abstract (摘要) | Artzner等學者在1999年提出風險測量值應具備同調（coherent）性質，然而，涉險值並未能完全符合。本文針對Wirch ＆ Hardy（1999）提出滿足Artzner et al.（1999）所定義同調性質之風險量化指標如條件尾端期望值（Conditional Tail Expectation；又稱尾端涉險值，Tail-VaR）以及危險比例（proportional hazards；PH）、雙重次方（dual power；DP）變形函數（distortion function）等風險衡量方法作探討，參考MGWP（1980）、Boyle ＆ Hardy（1997）、Hardy（2000）、Yang（2001）、Wilkie ＆ Waters ＆ Yang（2003）對於附保證給付之投資連結型保險契約提存準備金的方法，將其應用到保險公司所發行的附保證給付之風險量化上，同時比較其與涉險值之差異。其中之數值分析將以附最低死亡保證給付（Guarantee Minimum Death Benefit）之變額年金，以及附保證年金選擇權（Guaranteed Annuity Options）之單位連結（Unit-linked）保險商品作為範例，分別以台灣、英國兩地的投資環境為背景，檢視其附保證給付之投資型保單可能面臨的風險暴露，提供保險公司作為提存投資型商品保證給付部分之責任準備金參考。 | zh_TW |
| dc.description.abstract (摘要) | In this paper we introduce the properties of a coherent risk measure（Artzner et al（1999））. The risk measure of Value at Risk that does not adhere to the consistency requirements is discussed. We consider the coherent risk measures of conditional tail expectation（also known as Tail-VaR）, proportional hazards and dual power distortion functions outlined by Wirch and Hardy（1999）. MGWP（1980），Boyle and Hardy（1997），Hardy（2000），Yang（2001），Wilkie, Waters and Yang（2003）use VaR and the latter two papers also apply conditional tail expectation to reserve for investment-linked contracts with guaranteed risk. Instead, we apply the coherent measures to reserve two different types of guarantee：guarantee minimum death benefit and guaranteed annuity options attached to variable annuity contracts and unit-linked contracts separately. In addition, the comparison of the numerical results for VaR risk measure and coherent risk measure are analyzed. | en_US |
| dc.description.tableofcontents | 第一章 緒論 第一節 研究動機與目的……………………….............. 1 第二節 研究範圍與限制…………………………..………... 3 第三節 研究方法與步驟………………………………………. 4 第四節 研究內容………………………………………………. 6 第二章 風險衡量 第一節 風險衡量之意義與發展……………………...………. 8 第二節 保費原理之回顧………………………………………. 10 第三章 現行風險衡量方法（VaR）之問題 第一節 涉險值之回顧…………………………………………. 13 第二節 涉險值與風險基礎資本額……………………………. 17 第三節 涉險值的缺陷…………………………………………. 20 第四節 改進現行風險衡量之方法……………………………. 25 第四章 變形函數風險測量值之綜觀 第一節 變形函數之特質………………………………………. 29 第二節 特殊型態之變形函數…………………………………. 32 第三節 範例……………………………………………………. 39 第四節 變形函數之比較………………………………………. 41 第五章 投資型商品之保證給付 第一節 投資型保險商品………………………………………. 44 第二節 投資型保險商品常見之保證給付……………………. 47 第三節 保證給付相關文獻探討………………………………. 50 第六章 應用同調風險測量值於準備金提存之實例說明 第一節 投資模型之介紹………………………………………. 54 第二節 死亡保證給付決定方式………………………………. 56 第三節 變額年金附保證死亡給付之準備金提存……………. 59 第四節 單位連結型契約附保證年金選擇權之準備金提存…. 71 第五節 動態準備金之研究：以附GAO保單為例……………… 80 第七章 結論與建議 第一節 研究結論………………………………………………. 89 第二節 後續研究與建議………………………………………. 91 參考資料與文獻…………………………………………………. 93 附錄一 貝他變形函數…………………………………………. 99 附錄二 Wilkie Model結構與參數估計………………………. 102 附錄三 Huang Model結構與參數估計………………………… 106 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0903580171 | en_US |
| dc.subject (關鍵詞) | 同調風險測量值 | zh_TW |
| dc.subject (關鍵詞) | 變形函數 | zh_TW |
| dc.subject (關鍵詞) | 條件尾端期望值 | zh_TW |
| dc.subject (關鍵詞) | 尾端涉險值 | zh_TW |
| dc.subject (關鍵詞) | 保證年金選擇權 | zh_TW |
| dc.title (題名) | 同調風險測量值在保證給付投資型保險準備金提存之應用 | zh_TW |
| dc.type (資料類型) | thesis | en |
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