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題名 長壽風險下商品間自然避險策略之探討
A Discussion on the Natural Hedging Strategy in different policies under Longevity Risk
作者 蔡宛臻
Tsai, Wan Chen
貢獻者 黃泓智
Huang, Hong Chih
蔡宛臻
Tsai, Wan Chen
關鍵詞 長壽風險
自然避險
商品間避險
Longevity risk
Natural hedging
日期 2016
上傳時間 1-Sep-2016 23:58:07 (UTC+8)
摘要 本研究透過不同年齡與性別之保戶之壽險商品與年金商品保費淨值比例來做商品間自然避險策略，避免以往只能配適特定年齡商品間自然避險策略的限制，使保險公司能夠對於公司內不同年齡與性別之壽險商品與年金商品投資組合進行避險策略，並藉由壽險商品和年金商品的淨值保費比例來求出最適壽險與年金商品權重來配置商品組合。且使用臺灣實務資料以建構年金商品與壽險商品各自的死亡率模型進行商品間自然避險策略，並觀察在不同生命表限制下，商品間自然避險之最適權重的變化，供未來保險公司決策者在決定如何配置公司內商品間自然避險策略時，可有一量化之參考依據。
參考文獻 Biffis, E. (2005). Affine processes for dynamic mortality and actuarial valuations.Insurance: Mathematics and Economics 37, 443–468.
Blake, D., Burrows, W. (2001). Survivor bonds: helping to hedge mortality risk. Journal of Risk and Insurance 68, 339–348.
Blake, D., Cairns, A.J.G., Dowd, K. (2006a) Living with mortality: Longevity bonds and other mortality-linked securities. British Actuarial Journal 12, 153–197.
Blake, D., Cairns, A.J.G., Dowd, K., MacMinn, R. (2006b). Longevity bonds: Financial engineering, valuation, and hedging. Journal of Risk and Insurance 73 (4), 647–672.
Brouhns, N., Denuit, M., Vermunt, J.K. (2002). A Poisson log-bilinear regression approach to the construction of projected life tables. Insurance: Mathematics and Economics 31, 373–393.
Cairns, A. J., Blake, D., & Dowd, K. (2006a). Pricing death: Frameworks for the valuation and securitization of mortality risk. Astin Bulletin, 36(01), 79-120.
Cairns, A.J.G., Blake, D., Dowd, K., (2006b). A two-factor model for stochastic mortality with parameter uncertainty: Theory and calibration. Journal of Risk and Insurance 73, 687–718.
Coughlan, Guy D., et al. "Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness." North American Actuarial Journal 15.2 (2011): 150-176.
Cox, Samuel H., Yijia Lin, and Shaun Wang. "Multivariate exponential tilting and pricing implications for mortality securitization." Journal of Risk and Insurance 73.4 (2006): 719-736.
Cox, Samuel H., and Yijia Lin. "Natural hedging of life and annuity mortality risks." North American Actuarial Journal 11.3 (2007): 1-15.
Dahl, M. (2004). Stochastic mortality in life insurance: Market reserves and mortality-linked insurance contracts. Insurance: Mathematics and Economics 35, 113–136.
Dowd, K. (2003). Survivor bonds: A comment on blake and burrows. Journal of Risk and Insurance 70 (2), 339–348.
Fabozzi, Frank J. Duration, Convexity, and Other Bond Risk Measures. Vol. 58. John Wiley & Sons, 1999.Fong, Joelle HY, Olivia S. Mitchell, and Benedict SK Koh. "Longevity Risk Management in Singapore`s National Pension System." Journal of Risk and Insurance 78.4 (2011): 961-982.
Huang, Hong-Chih, Chou-Wen Wang, and De-Chuan Hong. "An Optimal Strategy of Natural Hedging for a General Portfolio of Insurance Companies."
Huang, Hong-Chih, Sharon S. Yang, "Hedging longevity risk for Insurance Companies Considering Basis Risk."
Lee, Ronald D., and Lawrence R. Carter. "Modeling and forecasting US mortality." Journal of the American statistical association 87.419 (1992): 659-671.
Li, N., & Lee, R. (2005). Coherent mortality forecasts for a group of populations: An extension of the Lee-Carter method. Demography, 42(3), 575-594.
Li, J. (2013), A Poisson Common Factor Model for Projecting Mortality and Life Expectancy Jointly for Females and Males, Population studies, 67: 111-126
Lin, Y., Cox, S.H. (2005). Securitization of mortality risks in life annuities. Journal of Risk and Insurance 72, 227–252.
Milevsky, M.A., Promislow, S.D. (2001). Mortality derivatives and the option to annuitize. Insurance: Mathematics and Economics 29, 299–318.
Mitchell, Daniel, et al. "Modeling and forecasting mortality rates." Insurance: Mathematics and Economics 52.2 (2013): 275-285.
Redington, Frank M. "Review of the principles of life-office valuations." Journal of the Institute of Actuaries (1952): 286-340.
Renshaw, A.E., Haberman, S. (2003). Lee-Carter mortality forecasting with agespecific enhancement. Insurance: Mathematicsand Economics 33, 255–272.
Richter, Andreas, and Frederik Weber. "Mortality-Indexed Annuities Managing Longevity Risk via Product Design." North American Actuarial Journal 15.2 (2011): 212-236.
Wang, Jennifer L., et al. "An optimal product mix for hedging longevity risk in life insurance companies: The immunization theory approach." Journal of Risk and Insurance 77.2 (2010): 473-497.
Wang, C. W., Huang, H. C., & Hong, D. C. (2013). A feasible natural hedging strategy for insurance companies. Insurance: Mathematics and Economics,52(3), 532-541.
Yang, S. S., Yue, J. C., & Huang, H. C. (2010). Modeling longevity risks using a principal component approach: A comparison with existing stochastic mortality models.Insurance: Mathematics and Economics,46(1), 254-270.
Y. –Y. Yeh. (2014). Residual Analysis of a Coherent Mortality Model and Its Mortality Forecasts Using a Bootstrap Approach, Working paper.
王信忠、余清祥(2015) ，高齡死亡率模型的探討， 2015財務工程與精算科學研討會暨碩士研究生論壇。
黃見桐(2015)。考慮族群間共同改善趨勢效果下之死亡率模型建構。國立政治大學風險管理與保險研究所碩士論文。
描述 碩士
國立政治大學
風險管理與保險研究所
103358028
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103358028
資料類型 thesis
dc.contributor.advisor 黃泓智zh_TW
dc.contributor.advisor Huang, Hong Chihen_US
dc.contributor.author (Authors) 蔡宛臻zh_TW
dc.contributor.author (Authors) Tsai, Wan Chenen_US
dc.creator (作者) 蔡宛臻zh_TW
dc.creator (作者) Tsai, Wan Chenen_US
dc.date (日期) 2016en_US
dc.date.accessioned 1-Sep-2016 23:58:07 (UTC+8)-
dc.date.available 1-Sep-2016 23:58:07 (UTC+8)-
dc.date.issued (上傳時間) 1-Sep-2016 23:58:07 (UTC+8)-
dc.identifier (Other Identifiers) G0103358028en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/101088-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 風險管理與保險研究所zh_TW
dc.description (描述) 103358028zh_TW
dc.description.abstract (摘要) 本研究透過不同年齡與性別之保戶之壽險商品與年金商品保費淨值比例來做商品間自然避險策略，避免以往只能配適特定年齡商品間自然避險策略的限制，使保險公司能夠對於公司內不同年齡與性別之壽險商品與年金商品投資組合進行避險策略，並藉由壽險商品和年金商品的淨值保費比例來求出最適壽險與年金商品權重來配置商品組合。且使用臺灣實務資料以建構年金商品與壽險商品各自的死亡率模型進行商品間自然避險策略，並觀察在不同生命表限制下，商品間自然避險之最適權重的變化，供未來保險公司決策者在決定如何配置公司內商品間自然避險策略時，可有一量化之參考依據。zh_TW
dc.description.tableofcontents 第壹章 緒論 1
第一節、研究動機 1
第二節、研究目的 3
第貳章 文獻回顧 3
第一節、長壽風險之解決方法 4
第二節、自然避險之基差風險及其解決方法 5
第三節、自然避險之免疫策略 5
第四節、自然避險策略之分類 6
第參章 研究方法 7
第一節、模型假設 7
一、死亡率模型： 7
二、參數配飾方法： 9
三、死亡率修勻方法： 9
第二節、研究方法介紹 10
一、自然避險策略假設 10
二、目標函數 11
第肆章 數值分析 13
第一節、死亡率率模擬 13
第二節、超收不足率模擬 18
第三節、權重 18
第五章 結論與建議 22
參考文獻 23
一、英文部分 23
二、中文部分 25		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103358028en_US
dc.subject (關鍵詞) 長壽風險zh_TW
dc.subject (關鍵詞) 自然避險zh_TW
dc.subject (關鍵詞) 商品間避險zh_TW
dc.subject (關鍵詞) Longevity risken_US
dc.subject (關鍵詞) Natural hedgingen_US
dc.title (題名) 長壽風險下商品間自然避險策略之探討zh_TW
dc.title (題名) A Discussion on the Natural Hedging Strategy in different policies under Longevity Risken_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Biffis, E. (2005). Affine processes for dynamic mortality and actuarial valuations.Insurance: Mathematics and Economics 37, 443–468.
Blake, D., Burrows, W. (2001). Survivor bonds: helping to hedge mortality risk. Journal of Risk and Insurance 68, 339–348.
Blake, D., Cairns, A.J.G., Dowd, K. (2006a) Living with mortality: Longevity bonds and other mortality-linked securities. British Actuarial Journal 12, 153–197.
Blake, D., Cairns, A.J.G., Dowd, K., MacMinn, R. (2006b). Longevity bonds: Financial engineering, valuation, and hedging. Journal of Risk and Insurance 73 (4), 647–672.
Brouhns, N., Denuit, M., Vermunt, J.K. (2002). A Poisson log-bilinear regression approach to the construction of projected life tables. Insurance: Mathematics and Economics 31, 373–393.
Cairns, A. J., Blake, D., & Dowd, K. (2006a). Pricing death: Frameworks for the valuation and securitization of mortality risk. Astin Bulletin, 36(01), 79-120.
Cairns, A.J.G., Blake, D., Dowd, K., (2006b). A two-factor model for stochastic mortality with parameter uncertainty: Theory and calibration. Journal of Risk and Insurance 73, 687–718.
Coughlan, Guy D., et al. "Longevity hedging 101: A framework for longevity basis risk analysis and hedge effectiveness." North American Actuarial Journal 15.2 (2011): 150-176.
Cox, Samuel H., Yijia Lin, and Shaun Wang. "Multivariate exponential tilting and pricing implications for mortality securitization." Journal of Risk and Insurance 73.4 (2006): 719-736.
Cox, Samuel H., and Yijia Lin. "Natural hedging of life and annuity mortality risks." North American Actuarial Journal 11.3 (2007): 1-15.
Dahl, M. (2004). Stochastic mortality in life insurance: Market reserves and mortality-linked insurance contracts. Insurance: Mathematics and Economics 35, 113–136.
Dowd, K. (2003). Survivor bonds: A comment on blake and burrows. Journal of Risk and Insurance 70 (2), 339–348.
Fabozzi, Frank J. Duration, Convexity, and Other Bond Risk Measures. Vol. 58. John Wiley & Sons, 1999.Fong, Joelle HY, Olivia S. Mitchell, and Benedict SK Koh. "Longevity Risk Management in Singapore`s National Pension System." Journal of Risk and Insurance 78.4 (2011): 961-982.
Huang, Hong-Chih, Chou-Wen Wang, and De-Chuan Hong. "An Optimal Strategy of Natural Hedging for a General Portfolio of Insurance Companies."
Huang, Hong-Chih, Sharon S. Yang, "Hedging longevity risk for Insurance Companies Considering Basis Risk."
Lee, Ronald D., and Lawrence R. Carter. "Modeling and forecasting US mortality." Journal of the American statistical association 87.419 (1992): 659-671.
Li, N., & Lee, R. (2005). Coherent mortality forecasts for a group of populations: An extension of the Lee-Carter method. Demography, 42(3), 575-594.
Li, J. (2013), A Poisson Common Factor Model for Projecting Mortality and Life Expectancy Jointly for Females and Males, Population studies, 67: 111-126
Lin, Y., Cox, S.H. (2005). Securitization of mortality risks in life annuities. Journal of Risk and Insurance 72, 227–252.
Milevsky, M.A., Promislow, S.D. (2001). Mortality derivatives and the option to annuitize. Insurance: Mathematics and Economics 29, 299–318.
Mitchell, Daniel, et al. "Modeling and forecasting mortality rates." Insurance: Mathematics and Economics 52.2 (2013): 275-285.
Redington, Frank M. "Review of the principles of life-office valuations." Journal of the Institute of Actuaries (1952): 286-340.
Renshaw, A.E., Haberman, S. (2003). Lee-Carter mortality forecasting with agespecific enhancement. Insurance: Mathematicsand Economics 33, 255–272.
Richter, Andreas, and Frederik Weber. "Mortality-Indexed Annuities Managing Longevity Risk via Product Design." North American Actuarial Journal 15.2 (2011): 212-236.
Wang, Jennifer L., et al. "An optimal product mix for hedging longevity risk in life insurance companies: The immunization theory approach." Journal of Risk and Insurance 77.2 (2010): 473-497.
Wang, C. W., Huang, H. C., & Hong, D. C. (2013). A feasible natural hedging strategy for insurance companies. Insurance: Mathematics and Economics,52(3), 532-541.
Yang, S. S., Yue, J. C., & Huang, H. C. (2010). Modeling longevity risks using a principal component approach: A comparison with existing stochastic mortality models.Insurance: Mathematics and Economics,46(1), 254-270.
Y. –Y. Yeh. (2014). Residual Analysis of a Coherent Mortality Model and Its Mortality Forecasts Using a Bootstrap Approach, Working paper.
王信忠、余清祥(2015) ，高齡死亡率模型的探討， 2015財務工程與精算科學研討會暨碩士研究生論壇。
黃見桐(2015)。考慮族群間共同改善趨勢效果下之死亡率模型建構。國立政治大學風險管理與保險研究所碩士論文。		zh_TW