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Title: Solvency II長壽風險架構下自然避險策略之研究
A study of natural hedging strategy for dealing longevity risk under solvency II
Authors: 廖俊淵
Liao, Chun Yuan
Contributors: 黃泓智
楊曉文

Huang, Hong Chih
Yang, Sharon S

廖俊淵
Liao, Chun Yuan
Keywords: Solvency II
標準模型
內部模型
長壽風險
SCR
自然避險
Date: 2017
Issue Date: 2017-07-24 12:05:29 (UTC+8)
Abstract: 本研究依照Solvency II的規範比較標準模型和內部模型,並透過模擬的數值分析保險公司應計提的SCR在兩種模型下的差異。同時也對影響SCR的因子做敏感度分析,研究結果指出,在不同的利率期間結構下,如果未來利率是走揚的情況,不論是標準模型或是內部模型所計算的SCR都會比利率持平或下降較低。此外,本研究亦考慮死亡率改善的程度所造成的影響,研究結果指出死亡率改善的程度越大,所計提的SCR也較大,而且死亡率改善的影響大於利率的影響。最後本研究也提出讓壽險商品和年金商品SCR可以互抵的概念,在死亡率改善的情況下,壽險商品會在保險合約的前期出現SCR的抵減效果,在後期則產生SCR,此現象為壽險的反轉效果,透過讓壽險SCR淨值等於年金險SCR的淨值可以計算出兩個險種的最適保額比,達成自然避險的效果。
Reference: 中文部分:
李佩鏵,(2010)。Solvency II架構下長壽風險對於年金保險商品資本需求探討,碩士論文,東吳大學,財務工程與精算數學系,台北市。
蔡政憲、何憲章、鄒治華,(2002)。壽險保單之存續期間分析,風險管理學報,第四卷第一期,47-75。

西文部分:

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Description: 碩士
國立政治大學
風險管理與保險學系
104358025
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0104358025
Data Type: thesis
Appears in Collections:[Department of Risk Management and Insurance] Theses

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