| dc.contributor.advisor | 黃泓智 | zh_TW |
| dc.contributor.author (Authors) | 張建雅 | zh_TW |
| dc.contributor.author (Authors) | Chang, Chien Ya | en_US |
| dc.creator (作者) | 張建雅 | zh_TW |
| dc.creator (作者) | Chang, Chien Ya | en_US |
| dc.date (日期) | 2016 | en_US |
| dc.date.accessioned | 11-Jul-2017 11:35:52 (UTC+8) | - |
| dc.date.available | 11-Jul-2017 11:35:52 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-Jul-2017 11:35:52 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G1033580264 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/110810 | - |
| 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) | 103358026 | zh_TW |
| dc.description.abstract (摘要) | 在醫療科技與衛生技術飛快地進步下，死亡率不斷改善所帶來不確定產生的長壽風險，已經成為世界各國重視的議題之一，為了因應長壽風險所帶來的衝擊，壽險公司與退休基金發展出多種避險策略，商品內自然避險為其中一種。本文以淨值免疫和現金流免疫的方法來探討商品內自然避險的效果，發現因為長壽風險造成錯誤定價的緣故，在被保人邁向高年齡時，壽險商品因死亡率改善的效果與一般預期有明顯出入，造成商品保單期間末期自然避險效果消失，本文定義此現象為“壽險反轉效果”，本文並進一步探討其生成原因與解決方法，發現其與亡率改善以及生存曲線矩形化的現象有關，本文接著探討台灣的生存曲線矩形化現象，以釐清“壽險反轉效果”的發生原因。 | zh_TW |
| dc.description.abstract (摘要) | Thanks to the improvement of technology and medicine, mortality rate has been improved but also triggered the uncertainty of longevity risk, making longevity risk an important issue around the world. In order to decrease longevity risk, the insurers and pension funds has developed several hedging strategies. Natural internally hedging is one of the common hedging strategies. Some of the insurance products share the concept of Natural internally hedging, such as endowment. The advantage of Natural internally hedging is that it helps the insurer to avoid basis risks and lower the management costs and expenses. However, it fails to be adjustable by varies of the unexpected mortality rate. This thesis will discuss and analyze the trend of cash flow of life insurance and annuity, aiming at establishing principles for insurance product design, which are designated to hedge longevity risk by the offset of the value of life insurance and annuity. During the research, this thesis found that the longevity risk can’t be hedged because the impact of “The reversion of Life product”. The following parts of this thesis discussed the reason why “The reversion of Life product” happened and how to solve it. | en_US |
| dc.description.tableofcontents | 第壹章. 緒論 1第一節 研究動機 1第二節 研究目的 1第貳章. 文獻回顧 2第一節 自然避險策略 2第二節 死亡率預估 2第三節 死亡率改善 3第參章. 研究方法 5第一節 模型假設 5一、 死亡率模型:Lee-Carter模型 5二、 淨值免疫模型 6三、 現金流免疫模型 7第二節 研究方法介紹 8第肆章. 數值分析 10第一節 自然避險效果 11一、 淨值免疫 11二、 現金流免疫 12第二節 壽險的反轉效果 14一、 壽險的反轉效果的存在 14二、 以美、日、英死亡率驗證 16三、 壽險反轉效果發生的規律 20四、 壽險反轉效果發生的原因 21五、 壽險反轉效果的影響 28六、 對抗壽險反轉效果 29第伍章. 結論與建議 30參考文獻 31 | zh_TW |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G1033580264 | en_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) | 商品內避險 | zh_TW |
| dc.subject (關鍵詞) | 現金流免疫 | zh_TW |
| dc.subject (關鍵詞) | 死亡壓縮 | zh_TW |
| dc.subject (關鍵詞) | Longevity risk | en_US |
| dc.subject (關鍵詞) | Natural hedging | en_US |
| dc.subject (關鍵詞) | Cash flow immunization | en_US |
| dc.subject (關鍵詞) | Mortality compression | en_US |
| dc.subject (關鍵詞) | Rectangularization of the survival curve | en_US |
| dc.title (題名) | 長壽風險下商品內自然避險策略之探討 | zh_TW |
| dc.title (題名) | Discussion on the natural hedging strategy under longevity risk | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | Cox, Samuel H., and Yijia Lin. "Natural hedging of life and annuity mortality risks." North American Actuarial Journal, 11.3 (2007): 1-15.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.Fries, J. F. 2002. Aging, natural death, and the compression of morbidity. BULLETIN-WORLD HEALTH ORGANIZATION, 80(3): 245-250.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."J. R. Wilmoth, L. J. Deegan, H. Lundström and S. Horiuchi, “Increase of Maximum Life-Span in Sweden, 1861-1999 .” Science 289 (5488), 2366-2368 (2000)Kannisto, V. 2000. “Measuring the Compression of Mortality.” Demographic Research 3, Article6.Macaulay, Frederick R. "Some theoretical problems suggested by the movements of interest rates, bond yields and stock prices in the United States since 1856." NBER Books (1938). Marcus Ebeling, Roland Rau, and Annette Baudisch. "The Maximized Inner Rectangle Approach (MIRA)–Disentangling Rectangularization." IUSSP(2013)Redington, Frank M. "Review of the principles of life-office valuations." Journal of the Institute of Actuaries (1952): 286-340. Ronald D.Lee, and Lawrence R. Carter. "Modeling and Forecasting U.S. Mortality." Journal of the American Statistical Association(1992):659-671Wilmoth, J. and S. Horiuchi. 1999. “Rectangularization Revisited: Variability of Age at Death within Human Populations.” Demography 36(4): 475-495. Yue, J. C. 2012. Mortality Compression and Longevity Risk. North American Actuarial Journal, 16(4): 434-448.王德睦與李大正 (2009)。臺灣的存活曲線矩型化與壽命延長。人口學刊,36, 1-31。 | zh_TW |
