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題名 影響壽險解約行為因素之實證分析
On the Factors Affecting the Surrenders Behavior of US Life Insurance Contracts
作者 林冠勳
Lin, Kuan Hsun
貢獻者 江彌修
Chiang, Mi Hsiu
林冠勳
Lin, Kuan Hsun
關鍵詞 解約率
壽險保單
總體經濟
Surrender/Lapse rate
Life Insurance
Macroeconomic
日期 2016
上傳時間 11-Jul-2016 17:04:32 (UTC+8)
摘要 本篇論文要探討的主題為何種總體或個體因素會影響投保人在壽險上的解約行為。由於壽險保單的解約行為會讓保險公司面臨現金流、聲譽、逆選擇等風險，進而影響公司營運。因此探討影響保單解約率之因素，進而準確估計保單的解約率為十分重要的議題。此外，不論投保人主動解約或是被動使保單失效均會對保險公司造成影響，因此本篇論文也將利用不同解約率的計算方式進行實證分析，研究是否不同計算方式的解約率會影響實證結果。本文使用NAIC (National Association of Insurance Commissioners)保險資料庫之年報資料，對2004-2014年間保險公司之經營狀況進行分析，驗證解約率實證中常用的三個假說：市場利率假說、緊急資金假說以及保單替換假說，選用之變數包含失業率、利率、保單替換率、高齡比等變數，並採用固定效果模型作為縱橫資料之迴歸模型，分別對不同計算方式所得之解約率進行迴歸分析，並比較彙整其結果。最後針對結果提出未來研究之建議。
Insurance companies’ business will be influenced by surrender activities in several aspects, such as cash flow problem and inverse selection problem. Empirical researches show that both macroeconomic variables and microeconomic variables will influence surrender behaviors. Hence, this paper seeks to which kinds of macroeconomic variables will influence surrender activities and investigates whether using different ways to calculate surrender rate will cause different empirical results.

All available US insurance company data, ranging from January 2004 to December 2014, are obtained from the annual statement in NAIC (National Association of Insurance Commissioners).We found some evidence supporting Emergency Fund Hypothesis and Interest Rate Hypothesis, but using different ways to calculate surrender rate may cause a little bias in conclusion. However, the relationship between surrender activities and macroeconomic variables supports insurance companies to understand and actively manage lapse/surrender risk.
參考文獻 Bacinello, A. (2003). Fair Valuation of Guaranteed Life Insurance Participating Contract Embedding a Surrender Option. Journal of Risk and Insurance, 70(3), pp. 461-487.
Browne, M.J., J.M. Carson and R.E. Hoyt. (1999). Economic and Market Predictors of Insolvencies in the Life-Health Insurance Industry. The Journal of Risk and Insurance, 66(4), pp. 643-659.
Breusch, T.S. and A. R. Pagan. (1980). The Lagrange Multiplier Test and Its Applications to Model Specification Tests in Econometrics, Review of Economic Studies, 47, pp.239-53.
Carson, J.M. and R.E. Hoyt. (1992). An Econometric Analysis of the Demand for Life Insurance Policy Loans. The Journal of Risk and Insurance, 59(2), pp. 239-251.
CEIPOS. (2009). CEIOPS` Advice for. Level 2 Implementing Measures on Solvency II: Standard formula SCR - Article 109 c. Life underwriting risk. (former CP 49). Brussels: European Insurance and Occupational Pensions Authority.
CEIPOS. (2010). QIS5 Technical Specifications. Brussels: European Insurance and Occupational Pensions Authority.
Dar, A. and C. Dodds. (1989). Interest Rates, the Emergency Fund Hypothesis and Saving through Endowment Policies: Some Empirical Evidence for the U.K. The Journal of Risk and Insurance, 56(3), pp. 415-433.
Eling, M and M. Kochanski. (2013). Research on lapse in life insurance: what has been done and what needs to be done? The Journal of Risk Finance, 14(4), pp. 392-413.
Eling, M. and D. Kiesenbauer. (2014). What Policy Features Determine Life Insurance Lapse? An Analysis of the German Market. Journal of Risk and Insurance, 81(2), pp. 241-269.
Fier, S.G. and A.P. Liebenberg. (2013). Life Insurance Lapse Behavior. North American Actuarial Journal, 17(2), pp. 153-167.
Gatzert, N., G. Hoermann and H. Schmeiser . (2009). The Impact of the Secondary Market on Life Insurers’ Surrender Profits. Journal of Risk and Insurance, 76(4), pp. 887-908.
Hausman, J. A., (1978). Specification Tests in Econometrics, Econometric, 46, pp. 1251-1271.
Jiang, S. (2010). Voluntary Termination of Life Insurance Policies: Evidence from the U.S. Market. North American Actuarial Journal, 14(4), pp. 369-380.
Kim, C. (2005a). Modeling Surrender and Lapse Rates with Economic Variables. North American Actuarial Journal, 9(4), pp. 56-70.
Kim, C. (2005b). Report to the Policyholder Behavior in the Tail Subgroups Project. Society of Actuaries.
Kuo, W., C. Tsai and W.K. Chen. (2003). An Empirical Study on the Lapse Rate: The Cointegration Approach. Journal of Risk and Insurance, 70(3), pp. 489-508.
Liebenberg, A.P., J.M. Carson and R.E. Dumm. (2012). A Dynamic Analysis of the Demand for Life Insurance. Journal of Risk and Insurance, 79(3), pp. 619-644.
Liebenberg, A.P., J.M. Carson and R.E. Hoyt. (2010). The Demand for Life Insurance Policy Loans. Journal of Risk and Insurance, 77(3), pp. 651-666.
Linton, N. (1932). Panics and Cash Values. Transactions of the Actuarial Society of America, 38, pp. 365-394.
Milhaud, X., Loisel, S., Maume-Deschamps, V. (2010). Surrender triggers in life insurance: Classification and risk predictions, Working Paper.
Outreville, J. (1990). Whole-life insurance lapse rates and the emergency fund hypothesis. Insurance: Mathematics and Economics, 9(4), pp. 249-255.
Pesando, J. (1974). The Interest Sensitivity of the Flow of Funds through Life Insurance Companies: An Econometric Analysis. Journal of Finance, 29(4), pp. 1105-1121.
Renshaw, A. E. and Haberman, S. (1986). Statistical Analysis of Life Assurance Lapses. Journal of the Institute of Actuaries, 113, pp. 459-497.
Richardson, C.F.B., Hartwell, J.M. (1951). Lapse rates. Transactions of Society of Actuaries 3,(7).
Russell, D.T., S.G. Fier, J.M. Carson and R.E. Dumm. (2013). An Empirical Analysis of Life Insurance Policy Surrender Activity. Journal of Insurance Issues, 36(1), pp. 35-57.
Rwnshaw, A. (1986). Statistical Analysis of Life Insurance Lapses. Journal of the Institute of Actuaries, 113(3).
Schott, F. (1971). Disintermediation Through Policy Loans at Life Insurance Companies. Journal of Finance, 26(3), pp. 719-729.
Tsai, C., W. Kuo and D.M.Chiang. (2009). The Distributions of Policy Reserves Considering the Policy-Year Structures of Surrender Rates and Expense Ratios. Journal of Risk and Insurance, 76(4), pp. 909-931.
展凱, 陳華. (2013). 我國壽險保單退保影響因素的實證研究－基於公司層面的微觀數據. 保險研究(6).
高洪忠. (2008). 保險公司結案率的計算與應用研究. 中央財經大學學報(9).
陳華, 孫越君. (2014). 中國壽險產品退保率的影響因素分析－基於省級面板數據的實證檢驗. 當代經濟科學(4).
描述 碩士
國立政治大學
金融學系
103352001
資料來源 http://thesis.lib.nccu.edu.tw/record/#G1033520012
資料類型 thesis
dc.contributor.advisor 江彌修zh_TW
dc.contributor.advisor Chiang, Mi Hsiuen_US
dc.contributor.author (Authors) 林冠勳zh_TW
dc.contributor.author (Authors) Lin, Kuan Hsunen_US
dc.creator (作者) 林冠勳zh_TW
dc.creator (作者) Lin, Kuan Hsunen_US
dc.date (日期) 2016en_US
dc.date.accessioned 11-Jul-2016 17:04:32 (UTC+8)-
dc.date.available 11-Jul-2016 17:04:32 (UTC+8)-
dc.date.issued (上傳時間) 11-Jul-2016 17:04:32 (UTC+8)-
dc.identifier (Other Identifiers) G1033520012en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/98856-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融學系zh_TW
dc.description (描述) 103352001zh_TW
dc.description.abstract (摘要) 本篇論文要探討的主題為何種總體或個體因素會影響投保人在壽險上的解約行為。由於壽險保單的解約行為會讓保險公司面臨現金流、聲譽、逆選擇等風險，進而影響公司營運。因此探討影響保單解約率之因素，進而準確估計保單的解約率為十分重要的議題。此外，不論投保人主動解約或是被動使保單失效均會對保險公司造成影響，因此本篇論文也將利用不同解約率的計算方式進行實證分析，研究是否不同計算方式的解約率會影響實證結果。本文使用NAIC (National Association of Insurance Commissioners)保險資料庫之年報資料，對2004-2014年間保險公司之經營狀況進行分析，驗證解約率實證中常用的三個假說：市場利率假說、緊急資金假說以及保單替換假說，選用之變數包含失業率、利率、保單替換率、高齡比等變數，並採用固定效果模型作為縱橫資料之迴歸模型，分別對不同計算方式所得之解約率進行迴歸分析，並比較彙整其結果。最後針對結果提出未來研究之建議。zh_TW
dc.description.abstract (摘要) Insurance companies’ business will be influenced by surrender activities in several aspects, such as cash flow problem and inverse selection problem. Empirical researches show that both macroeconomic variables and microeconomic variables will influence surrender behaviors. Hence, this paper seeks to which kinds of macroeconomic variables will influence surrender activities and investigates whether using different ways to calculate surrender rate will cause different empirical results.

All available US insurance company data, ranging from January 2004 to December 2014, are obtained from the annual statement in NAIC (National Association of Insurance Commissioners).We found some evidence supporting Emergency Fund Hypothesis and Interest Rate Hypothesis, but using different ways to calculate surrender rate may cause a little bias in conclusion. However, the relationship between surrender activities and macroeconomic variables supports insurance companies to understand and actively manage lapse/surrender risk.		en_US
dc.description.tableofcontents 第一章 緒論 1
第二章 文獻回顧 3
第一節　影響解約率之各假說 3
第二節　利用總體經濟變數解釋解約行為之文獻 4
第三節　個體變數影響解約率之文獻 6
第三章 研究方法 12
第一節　資料簡介 12
第二節　模型簡介 23
第三節　模型檢測方法 25
第四章 實證結果 28
第一節　利用NAIC State Page資料進行之實證分析 28
第二節　利用NAIC Exhibit of Life Insurance資料進行之實證分析 35
第五章 結論及建議 45
第一節　研究結論 45
第二節　研究建議 46
參考文獻 48		zh_TW
dc.format.extent 1047940 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G1033520012en_US
dc.subject (關鍵詞) 解約率zh_TW
dc.subject (關鍵詞) 壽險保單zh_TW
dc.subject (關鍵詞) 總體經濟zh_TW
dc.subject (關鍵詞) Surrender/Lapse rateen_US
dc.subject (關鍵詞) Life Insuranceen_US
dc.subject (關鍵詞) Macroeconomicen_US
dc.title (題名) 影響壽險解約行為因素之實證分析zh_TW
dc.title (題名) On the Factors Affecting the Surrenders Behavior of US Life Insurance Contractsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Bacinello, A. (2003). Fair Valuation of Guaranteed Life Insurance Participating Contract Embedding a Surrender Option. Journal of Risk and Insurance, 70(3), pp. 461-487.
Browne, M.J., J.M. Carson and R.E. Hoyt. (1999). Economic and Market Predictors of Insolvencies in the Life-Health Insurance Industry. The Journal of Risk and Insurance, 66(4), pp. 643-659.
Breusch, T.S. and A. R. Pagan. (1980). The Lagrange Multiplier Test and Its Applications to Model Specification Tests in Econometrics, Review of Economic Studies, 47, pp.239-53.
Carson, J.M. and R.E. Hoyt. (1992). An Econometric Analysis of the Demand for Life Insurance Policy Loans. The Journal of Risk and Insurance, 59(2), pp. 239-251.
CEIPOS. (2009). CEIOPS` Advice for. Level 2 Implementing Measures on Solvency II: Standard formula SCR - Article 109 c. Life underwriting risk. (former CP 49). Brussels: European Insurance and Occupational Pensions Authority.
CEIPOS. (2010). QIS5 Technical Specifications. Brussels: European Insurance and Occupational Pensions Authority.
Dar, A. and C. Dodds. (1989). Interest Rates, the Emergency Fund Hypothesis and Saving through Endowment Policies: Some Empirical Evidence for the U.K. The Journal of Risk and Insurance, 56(3), pp. 415-433.
Eling, M and M. Kochanski. (2013). Research on lapse in life insurance: what has been done and what needs to be done? The Journal of Risk Finance, 14(4), pp. 392-413.
Eling, M. and D. Kiesenbauer. (2014). What Policy Features Determine Life Insurance Lapse? An Analysis of the German Market. Journal of Risk and Insurance, 81(2), pp. 241-269.
Fier, S.G. and A.P. Liebenberg. (2013). Life Insurance Lapse Behavior. North American Actuarial Journal, 17(2), pp. 153-167.
Gatzert, N., G. Hoermann and H. Schmeiser . (2009). The Impact of the Secondary Market on Life Insurers’ Surrender Profits. Journal of Risk and Insurance, 76(4), pp. 887-908.
Hausman, J. A., (1978). Specification Tests in Econometrics, Econometric, 46, pp. 1251-1271.
Jiang, S. (2010). Voluntary Termination of Life Insurance Policies: Evidence from the U.S. Market. North American Actuarial Journal, 14(4), pp. 369-380.
Kim, C. (2005a). Modeling Surrender and Lapse Rates with Economic Variables. North American Actuarial Journal, 9(4), pp. 56-70.
Kim, C. (2005b). Report to the Policyholder Behavior in the Tail Subgroups Project. Society of Actuaries.
Kuo, W., C. Tsai and W.K. Chen. (2003). An Empirical Study on the Lapse Rate: The Cointegration Approach. Journal of Risk and Insurance, 70(3), pp. 489-508.
Liebenberg, A.P., J.M. Carson and R.E. Dumm. (2012). A Dynamic Analysis of the Demand for Life Insurance. Journal of Risk and Insurance, 79(3), pp. 619-644.
Liebenberg, A.P., J.M. Carson and R.E. Hoyt. (2010). The Demand for Life Insurance Policy Loans. Journal of Risk and Insurance, 77(3), pp. 651-666.
Linton, N. (1932). Panics and Cash Values. Transactions of the Actuarial Society of America, 38, pp. 365-394.
Milhaud, X., Loisel, S., Maume-Deschamps, V. (2010). Surrender triggers in life insurance: Classification and risk predictions, Working Paper.
Outreville, J. (1990). Whole-life insurance lapse rates and the emergency fund hypothesis. Insurance: Mathematics and Economics, 9(4), pp. 249-255.
Pesando, J. (1974). The Interest Sensitivity of the Flow of Funds through Life Insurance Companies: An Econometric Analysis. Journal of Finance, 29(4), pp. 1105-1121.
Renshaw, A. E. and Haberman, S. (1986). Statistical Analysis of Life Assurance Lapses. Journal of the Institute of Actuaries, 113, pp. 459-497.
Richardson, C.F.B., Hartwell, J.M. (1951). Lapse rates. Transactions of Society of Actuaries 3,(7).
Russell, D.T., S.G. Fier, J.M. Carson and R.E. Dumm. (2013). An Empirical Analysis of Life Insurance Policy Surrender Activity. Journal of Insurance Issues, 36(1), pp. 35-57.
Rwnshaw, A. (1986). Statistical Analysis of Life Insurance Lapses. Journal of the Institute of Actuaries, 113(3).
Schott, F. (1971). Disintermediation Through Policy Loans at Life Insurance Companies. Journal of Finance, 26(3), pp. 719-729.
Tsai, C., W. Kuo and D.M.Chiang. (2009). The Distributions of Policy Reserves Considering the Policy-Year Structures of Surrender Rates and Expense Ratios. Journal of Risk and Insurance, 76(4), pp. 909-931.
展凱, 陳華. (2013). 我國壽險保單退保影響因素的實證研究－基於公司層面的微觀數據. 保險研究(6).
高洪忠. (2008). 保險公司結案率的計算與應用研究. 中央財經大學學報(9).
陳華, 孫越君. (2014). 中國壽險產品退保率的影響因素分析－基於省級面板數據的實證檢驗. 當代經濟科學(4).		zh_TW