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Title: Value at Risk of Life Insurance Policy Reserves
Other Titles: 壽險保單準備金之風險值
Authors: 蔡政憲;郭維裕;李孟倚
Keywords: Value at risk;Policy reserves;Life Insurance;風險值;保單準備金;人身保險
Date: 2003-04
Issue Date: 2008-12-08 11:05:45 (UTC+8)
Abstract: We estimate the value at risk (VaR) of life insurance policy reserves in this paper. Since the
market price of reserves does not exist, we construct a simulation model considering
mortality rate risk, interest rate risk, surrender rate risk, and parameter estimation risks to
estimate the VaR. Simulation results show that the VaR from mortality rate risk is small but
interest rate risk as well as the parameter estimation risk of interest rate model significantly
enlarges the VaR. On the other hand, surrender rate risk reduces reserve VaR. With regard
to individual product, annuity and whole life insurance have the largest VaR, followed by
pure endowment and endowment. Term life insurance has the smallest one.
Relation: 財務金融學刊 ,11(1),41-65
Data Type: article
Appears in Collections:[風險管理與保險學系] 期刊論文

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