Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/94442


Title: 以選擇權定價理論釐訂再保險費率
Authors: 盧姵如
Contributors: 張士傑
盧姵如
Keywords: 財務經濟學
保險契約
定價
Date: 2007
Issue Date: 2016-05-06 16:38:21 (UTC+8)
Abstract: 本文探討再保險契約的分類型態及其費率釐訂的方式,應用選擇權訂價理論釐定再保險契約的費率,並以一實際的商業火險資料為基礎訂立其合理費率。再保險契約型態可能涉及自負額、共同保險、最高責任限額等協議,此一類型的再保險契約,其保單價格與理賠損失變數之間的關係可用非線性函數表示之。
Shimko(1992)針對具備上述性質的多次給付保險契約,提供計算此類再保險契約價值的封閉解。本研究引用Shimko(1992)所建構的模型及其假設,將其中所牽涉的財務計價模型應用在再保險契約的計價上,並將財務經濟學的概念應用於保險市場,做延伸的概念解釋,最後運用國內產險業實際商業火險資料,計算實際再保險契約的費率,並探討再保險費率與相關變數之間的關係。
本研究可歸結下列具體結果:
1.再保險契約給付型態適用非線性函數表示,本研究將多次給付的可能
納入計價考量,針對不同再保險契約型態的保險契約價值,以選擇權
訂價模型計算再保險契約價格,能明確捕捉契約之型態。
2.以個別公司商業火險資料計算再保險契約價格,由於保險公司的核
保及營運狀況之間的差異,反應到其損失分佈的情形,以選擇權模型
計算再保險契約之價格,可反應個別公司之間的差異。
3.利用市場損失率預估個別產險公司商業火險損失幅度與損失頻率
時,市場損失率預估個別公司之損失幅度較預估損失頻率具有解釋
能力。
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Description: 碩士
國立政治大學
風險管理與保險研究所
94358007
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094358007
Data Type: thesis
Appears in Collections:[風險管理與保險學系 ] 學位論文

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