Value at Risk of Life Insurance Policy Reserves

Abstract

We estimate the value at risk (VaR) of life insurance policy reserves in this paper. Since the\r\nmarket price of reserves does not exist, we construct a simulation model considering\r\nmortality rate risk, interest rate risk, surrender rate risk, and parameter estimation risks to\r\nestimate the VaR. Simulation results show that the VaR from mortality rate risk is small but\r\ninterest rate risk as well as the parameter estimation risk of interest rate model significantly\r\nenlarges the VaR. On the other hand, surrender rate risk reduces reserve VaR. With regard\r\nto individual product, annuity and whole life insurance have the largest VaR, followed by\r\npure endowment and endowment. Term life insurance has the smallest one.

作者們於本文中估計數種保險商品準備金之風險值。由於準備金沒有市場價格，作者們\r\n建立了一個包含死亡率風險，利率風險，解約率風險，以及參數估計風險的模擬模型來\r\n估計風險值。我們發現死亡率所產生的風險值很低，利率風險以及利率模型的參數估計\r\n風險會使風險值顯著變大，而解約率風險則會降低準備金的風險值。保險商品中，年金\r\n與終身壽險的風險值最大，生存險與生死合險次之，而定期壽險的風險值則最小。