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Title: Analysis of the Risk Effect of the Product Design of Long-Term Care Insurance
Authors: 王儷玲
Wang, Jennifer L.
Chiu, Yu-Fen
Hsieh, Ming-Hua
Chen, Yen-Chih
Contributors: 風管系
Keywords: 長期照顧保險;商品設計;風險效果
long-term care insurance;product design;risk effect
Date: 2017
Issue Date: 2018-05-17 16:48:39 (UTC+8)
Abstract: 本研究探討長期照顧商品設計對保險公司負債風險之影響。本研究透過連續馬可夫鍊
This paper investigates the risk effect of the product design of long-term care insurance. Specifically, we focus on analyzing the changes in risk characteristics resulting from different combinations of long-term care insurance with annuity or life insurance. We use value at risk and conditional tail expectation as risk proxies to evaluate the risk margin of different product designs. A continuous-time Markov chain model is employed to model the health status of insureds. We find that the combination of long-term care insurance with life insurance reduces the risk margin. By contrast, the combination of long-term care insurance with annuity increases the risk margin. However, when the adverse selection cost of the annuity is further considered, the net risk effect of the combination of long-term care insurance with annuity actually decreases, because the benefit of lowering the adverse selection cost outweighs the increasing risk margin. This paper provides an effective risk management tool for life insurance companies to more effectively control their liability risks and offer more innovative retirement products to society.
Relation: NTU Management Review, Vol.27, No.2S, pp.177-208
Data Type: article
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Appears in Collections:[風險管理與保險學系 ] 期刊論文

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