Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/111330| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 黃泓智<br>楊曉文 | zh_TW |
| dc.contributor.advisor | Huang, Hong Chih<br>Yang, Sharon S | en_US |
| dc.contributor.author | 廖俊淵 | zh_TW |
| dc.contributor.author | Liao, Chun Yuan | en_US |
| dc.creator | 廖俊淵 | zh_TW |
| dc.creator | Liao, Chun Yuan | en_US |
| dc.date | 2017 | en_US |
| dc.date.accessioned | 2017-07-24T04:05:29Z | - |
| dc.date.available | 2017-07-24T04:05:29Z | - |
| dc.date.issued | 2017-07-24T04:05:29Z | - |
| dc.identifier | G0104358025 | en_US |
| dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/111330 | - |
| dc.description | 碩士 | zh_TW |
| dc.description | 國立政治大學 | zh_TW |
| dc.description | 風險管理與保險學系 | zh_TW |
| dc.description | 104358025 | zh_TW |
| dc.description.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。 | zh_TW |
| dc.description.tableofcontents | 第壹章、 緒論 1\n第一節 研究動機 1\n第二節 研究目的 1\n第貳章、 文獻探討 2\n第一節 Solvency II 架構 2\n第二節 最佳估計負債及清償要求資本規範 3\n第三節 死亡率改善 6\n第四節 相關文獻 6\n第參章、 研究方法 8\n第一節 研究資料 8\n第二節 現金流量模型 9\n第三節 死亡率模型建構 10\n第四節 無風險利率建構 13\n第肆章、 數值分析 15\n第一節 最佳估計負債 15\n第二節 清償要求資本試算 17\n第三節 長壽風險量化分析 19\n第四節 敏感度分析 20\n第五節 長壽風險對壽險商品的影響 27\n第伍章、 結論與建議 36\n第一節 結論 36\n第二節 建議 36\n參考文獻 38 | zh_TW |
| dc.format.extent | 1649624 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0104358025 | en_US |
| dc.subject | Solvency II | zh_TW |
| dc.subject | 標準模型 | zh_TW |
| dc.subject | 內部模型 | zh_TW |
| dc.subject | 長壽風險 | zh_TW |
| dc.subject | SCR | zh_TW |
| dc.subject | 自然避險 | zh_TW |
| dc.title | Solvency II長壽風險架構下自然避險策略之研究 | zh_TW |
| dc.title | A study of natural hedging strategy for dealing longevity risk under solvency II | en_US |
| dc.type | thesis | en_US |
| dc.relation.reference | 中文部分：\n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。\n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。\n\n西文部分：\n\nBauer, D., Börger, M., Ruß, J., (2008). The Volatility of Mortality. Asia-Pacific Journal of Risk and Insurance, 3(1), 184-211. \nBoonen, T.J., (2015). Solvency II Solvency Capital Requirement for Life Insurance Companies Based on Expected Shortfall, STIN Bulletin, 45(1), 703-728.\nBooth, H., and Tickle, L, (2008). Mortality Modelling and Forecasting: A Review of Methods, Annals of Actuarial Science, 3(1-2), 3-43.\nBörger, M., (2010). Deterministic shock vs. stochastic value-at-risk — an analysis of the Solvency II standard model approach to longevity risk, Blätter der DGVFM, 31(2), 225-259.\nBörger, M., Fleischer, D., and Kuksin, N., (2014). Modeling The Mortality Trend Under Modern Solvency Regimes, ASTIN Bulletin, 44(1), 1-38.\nBrouhns, N., Denuit , M.,and Vermunt ,J.K., (2002). A Poisson Log-Bilinear Regression Approach to the Construction of Projected Lifetables. Insurance:Mathematics and Economics, 31(3), 373-393.\nCEIOPS. (2009a). CEIOPS` Advice for Level 2 Implementing Measures on Solvency II: Standard formula SCR - Article 109(c) Life underwriting risk, Retrieved June 12 2017, from: https://eiopa.europa.eu/\nCEIOPS. (2009b). Final CEIOPS` Advice for Level 2 Implementing Measures on Solvency II: Technical Provisions - Article 86(d) Calculation of the Risk Margin, Retrieved June 12 2017, from: https://eiopa.europa.eu/\nCEIOPS. (2010). QIS5 Calibration Paper, Retrieved June 12 2017, from: https://eiopa.europa.eu/ \nEuropean Commission. (2010). QIS5 Technical Specification. Annex to Call for Advice from CEIOPS on QIS5, Retrieved June 12 2017, from: https://eiopa.europa.eu/\nKoissi, M.C.,Shapiro,A.F.,and Högnäs,C., (2006), Evaluating and Extending the Lee-Carter Model for Mortality Forecasting:Boostrap Confidence Interval. Insurance:Mathematics and Economics. 38(1),1-20.\nLee, R. D., and Carter, L. R., (1992). Modeling and Forecasting U.S. Mortality. Journal of the American Statistical Association, 87 (419), 659-671.\nSalah, S. B., and Belkacem, L., (2015). On the longevity risk assessment under solvency II. Journal of Applied Business Research, 31(3), 1149-n/a. | zh_TW |
| item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
| item.openairetype | thesis | - |
| item.fulltext | With Fulltext | - |
| item.grantfulltext | open | - |
| item.cerifentitytype | Publications | - |
| Appears in Collections: | 學位論文 | |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| 802501.pdf | 1.61 MB | Adobe PDF2 | View/Open |
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