人壽保險公司商品組合責任準備金之涉險值研究

Abstract

責任準備金的風險管理是人壽保險公司營運的重要課題之一，其牽涉到保單現金流量的數階動差及分佈之估計，為此我們必須清楚的設定隨機脫退和隨機利率模型，並將保單之重要特性—利率敏感性現金流量納入考慮，否則將誤導保險公司過度規避利率風險及高估其破產的危險性。

One of the major topics in insurance companies’ operations is the risk management of the reserves. Sound risk management of reserves involves the estimation of the moments and distribution of cash flows associated with sold policies. To estimate the moments or the distribution of future cash flows, one must model stochastic decrements and stochastic discount rates explicitly. Besides, one must consider an important feature of insurance policies: future cash flows may be interest-rate-sensitive. Ignorance of such characteristic may mislead the insurer to over-hedge the interest rate risk and jeopardize the solvency of insurers.