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題名 Lee-Carter模型下動態解約率模型建構—以生死合險為例
Modelling for Dynamic Surrender Rate of Life Insurance Policy under Lee-Carter Modell
作者 黃詩雅
Huang, Shih-Ya
貢獻者 蔡政憲
黃詩雅
Huang, Shih-Ya
關鍵詞 解約率
Lee-Carter模型
APC模型
保單年度
世代效果
surrender rate
Lee-Carter model
APC model
policy year
cohort effects
日期 2024
上傳時間 5-Aug-2024 14:02:53 (UTC+8)
摘要 本研究使用台灣某壽險公司1982年至2018年間生死合險保單資料，以Lee-Carter（LC）模型與Age-Period-Cohort（APC）模型建立保單解約率模型。實證結果顯示，APC模型考量了世代效果，較基本的LC模型對解約率的配適能力較佳。本研究結果顯示保單解約率受到保單年度、年份以及世代效果的影響，提供保險公司在保單解約率管理方面之參考依據。
In this study, we utilizes endowment insurance policy data from a Taiwanese life insurance company spanning from 1982 to 2018 to model dynamic surrender rate of life insurance policy under Lee-Carter (LC) model and Age-Period-Cohort (APC) model. The empirical results indicate that the APC model, which takes cohort effects into account, provides a better fit for surrender rates compared to the basic LC model. The findings of this study demonstrate that policy surrender rates are influenced by policy year, period, and cohort effects, offering a reference for insurance companies in managing policy surrender rates.
參考文獻 Adams, M., Andersson, L. F., Lindmark, M., Eriksson, L., & Veprauskaite, E. (2020). Managing policy lapse risk in Sweden's life insurance market between 1915 and 1947. Business History, 62(2), 222-239. https://doi.org/10.1080/00076791.2017.1418331 Brouhns, N., Denuit, M., & Vermunt, J. K. (2002). A Poisson log-bilinear regression approach to the construction of projected lifetables. Insurance: Mathematics and Economics, 31(3), 373-393. https://doi.org/https://doi.org/10.1016/S0167-6687(02)00185-3 Cerchiara, R. R., M. Edwards, and A. Gambini. (2009). Generalized linear models in life insurance: Decrements and risk factor analysis under Solvency II. Giornale dell’Istituto Italiano degli Attuari, 72(1–2), 57–84. Cox, S. H., and Y. J. Lin. (2006). Annuity lapse rate modeling: Tobit or not tobit? Society of Actuaries. https://www.soa.org/globalassets/assets/files/research/projects/cox-linn-paper-11-15-06.pdf Dar, A., & Dodds, C. (1989). Interest-Rates, the Emergency Fund Hypothesis and Saving through Endowment Policies - Some Empirical-Evidence for the Uk. Journal of Risk and Insurance, 56(3), 415-433. https://doi.org/Doi 10.2307/253166 DeAngelo, H., DeAngelo, L., & Gilson, S. C. (1996). Perceptions and the politics of finance: Junk bonds and the regulatory seizure of first capital life. Journal of financial economics, 41(3), 475-511. https://doi.org/10.1016/0304-405X(95)00866-D European Comission (2010). QIS5 Technical Specifications. Eling, M., & Kiesenbauer, D. (2014). What Policy Features Determine Life Insurance Lapse? An Analysis of the German Market. Journal of Risk and Insurance, 81(2), 241-269. https://doi.org/10.1111/j.1539-6975.2012.01504.x Eling, M., & Kochanski, M. (2013). Research on lapse in life insurance: what has been done and what needs to be done? Journal of Risk Finance, 14(4), 392-413. https://doi.org/10.1108/JRF-12-2012-0088 Fang, H. M., & Kung, E. (2021). Why do life insurance policyholders lapse? The roles of income, health, and bequest motive shocks. Journal of Risk and Insurance, 88(4), 937-970. https://doi.org/10.1111/jori.12332 FSA. (2013). 2012 Survey of the persistency of life and pensions policies. https://www.fca.org.uk/publication/annual-reports/fsaannual-report-12-13.pdf Fier, S. G., & Liebenberg, A. P. (2013). Life Insurance Lapse Behavior. North American actuarial journal, 17(2), 153-167. https://doi.org/10.1080/10920277.2013.803438 Hu, S., O’Hagan, A., Sweeney, J., & Ghahramani, M. (2021). A spatial machine learning model for analysing customers’ lapse behaviour in life insurance. Annals of Actuarial Science, 15(2), 367–393. doi:10.1017/S1748499520000329 Hwang, Y., Chan, L. F.-S., & Tsai, C. J. (2022). On Voluntary Terminations of Life Insurance: Differentiating Surrender Propensity From Lapse Propensity Across Product Types. North American actuarial journal, 26(2), 252-282. https://doi.org/10.1080/10920277.2021.1973507 James, I. R., & Segal, M. R. (1982). On a Method of Mortality Analysis Incorporating Age-Year Interaction, with Application to Prostate Cancer Mortality. Biometrics, 38(2), 433-443. https://doi.org/10.2307/2530456 Kagraoka, Y. (2005). Modeling Insurance Surrenders by the Negative Binomial Model. Kiermayer, M. (2022). Modeling surrender risk in life insurance: theoretical and experimental insight. Scandinavian Actuarial Journal, 2022(7), 627-658. https://doi.org/10.1080/03461238.2021.2013308 Kim, C. (2005). Modeling Surrender and Lapse Rates With Economic Variables. North American actuarial journal, 9(4), 56-70. https://doi.org/10.1080/10920277.2005.10596225 Knoller, C., Kraut, G., & Schoenmaekers, P. (2016). On the Propensity to Surrender a Variable Annuity Contract: An Empirical Analysis of Dynamic Policyholder Behavior. The Journal of risk and insurance, 83(4), 979-1006. https://doi.org/10.1111/jori.12076 Kuo, W. Y., Tsai, C. S., & Chen, W. K. (2003). An empirical study on the lapse rate: The cointegration approach. Journal of Risk and Insurance, 70(3), 489-508. https://doi.org/DOI 10.1111/1539-6975.t01-1-00061 Lee, R., & Carter, L. R. (1992). Modeling and forecasting U. S. mortality. Journal of the American Statistical Association, 87, 659-671. Linton, N. A. (1932). Panics and Cash Values. Transactions of the Actuarial Society of America, 38, 365-394. Milhaud, X., Loisel, S., & Maume-Deschamps, V. (2011). Surrender triggers in life insurance: what main features affect the surrender behavior in a classical economic context? https://EconPapers.repec.org/RePEc:hal:journl:hal-00450003 Outreville, J. F. (1990). Whole-Life Insurance Lapse Rates and the Emergency Fund Hypothesis. Insurance Mathematics & Economics, 9(4), 249-255. https://doi.org/Doi 10.1016/0167-6687(90)90002-U Pinquet, J., Guillén, M., & Ayuso, M. (2011). Commitment and Lapse Behavior in Long-Term Insurance: A Case Study. The Journal of risk and insurance, 78(4), 983-1002. https://doi.org/10.1111/j.1539-6975.2011.01420.x Reck, L., Schupp, J., & Reuß, A. (2023). Identifying the determinants of lapse rates in life insurance: an automated Lasso approach. European Actuarial Journal, 13(2), 541-569. https://doi.org/10.1007/s13385-022-00325-1 Renshaw, A. E., & Haberman, S. (1986). Statistical analysis of life assurance lapses. Journal of the Institute of Actuaries, 113(3), 459-497. https://doi.org/10.1017/S0020268100042566 Renshaw, A. E., & Haberman, S. (2006). A cohort-based extension to the Lee-Carter model for mortality reduction factors. Insurance Mathematics & Economics, 38(3), 556-570. https://doi.org/10.1016/j.insmatheco.2005.12.001 Russell, D. T., Fier, S. G., Carson, J. M., & Dumm, R. E. (2013). An Empirical Analysis of Life Insurance Policy Surrender Activity. Journal of insurance issues, 36(1), 35-57. Tsai, C. H., Kuo, W. Y., & Chiang, D. M. H. (2009). The Distributions of Policy Reserves Considering the Policy-Year Structures of Surrender Rates and Expense Ratios. Journal of Risk and Insurance, 76(4), 909-931. https://doi.org/10.1111/j.1539-6975.2009.01324.x Tsai, C. S., Kuo, W. Y., & Chen, W. K. (2002). Early surrender and the distribution of policy reserves. Insurance Mathematics & Economics, 31(3), 429-445. https://doi.org/Pii S0167-6687(02)00188-9 Wilmoth, J. R. (1993). Computational methods for fitting and extrapolating the Lee–Carter model of mortality change. Technical Report. Department of Demography, University of California, Berkeley Yu, L., Cheng, J., & Lin, T. T. (2019). Life insurance lapse behaviour: evidence from China. Geneva Papers on Risk and Insurance-Issues and Practice, 44(4), 653-678. https://doi.org/10.1057/s41288-018-0104-5
描述 碩士
國立政治大學
風險管理與保險學系
111358025
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111358025
資料類型 thesis
dc.contributor.advisor 蔡政憲zh_TW
dc.contributor.author (Authors) 黃詩雅zh_TW
dc.contributor.author (Authors) Huang, Shih-Yaen_US
dc.creator (作者) 黃詩雅zh_TW
dc.creator (作者) Huang, Shih-Yaen_US
dc.date (日期) 2024en_US
dc.date.accessioned 5-Aug-2024 14:02:53 (UTC+8)-
dc.date.available 5-Aug-2024 14:02:53 (UTC+8)-
dc.date.issued (上傳時間) 5-Aug-2024 14:02:53 (UTC+8)-
dc.identifier (Other Identifiers) G0111358025en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152789-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 風險管理與保險學系zh_TW
dc.description (描述) 111358025zh_TW
dc.description.abstract (摘要) 本研究使用台灣某壽險公司1982年至2018年間生死合險保單資料，以Lee-Carter（LC）模型與Age-Period-Cohort（APC）模型建立保單解約率模型。實證結果顯示，APC模型考量了世代效果，較基本的LC模型對解約率的配適能力較佳。本研究結果顯示保單解約率受到保單年度、年份以及世代效果的影響，提供保險公司在保單解約率管理方面之參考依據。zh_TW
dc.description.abstract (摘要) In this study, we utilizes endowment insurance policy data from a Taiwanese life insurance company spanning from 1982 to 2018 to model dynamic surrender rate of life insurance policy under Lee-Carter (LC) model and Age-Period-Cohort (APC) model. The empirical results indicate that the APC model, which takes cohort effects into account, provides a better fit for surrender rates compared to the basic LC model. The findings of this study demonstrate that policy surrender rates are influenced by policy year, period, and cohort effects, offering a reference for insurance companies in managing policy surrender rates.en_US
dc.description.tableofcontents 第一章 緒論 .......... 1 第二章 文獻回顧 ............ 4 第三章 資料及模型 ........... 10 第四章 實證結果分析 ............ 25 第五章 結論 .................. 34 參考資料.............................. 36zh_TW
dc.format.extent 2102885 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111358025en_US
dc.subject (關鍵詞) 解約率zh_TW
dc.subject (關鍵詞) Lee-Carter模型zh_TW
dc.subject (關鍵詞) APC模型zh_TW
dc.subject (關鍵詞) 保單年度zh_TW
dc.subject (關鍵詞) 世代效果zh_TW
dc.subject (關鍵詞) surrender rateen_US
dc.subject (關鍵詞) Lee-Carter modelen_US
dc.subject (關鍵詞) APC modelen_US
dc.subject (關鍵詞) policy yearen_US
dc.subject (關鍵詞) cohort effectsen_US
dc.title (題名) Lee-Carter模型下動態解約率模型建構—以生死合險為例zh_TW
dc.title (題名) Modelling for Dynamic Surrender Rate of Life Insurance Policy under Lee-Carter Modellen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Adams, M., Andersson, L. F., Lindmark, M., Eriksson, L., & Veprauskaite, E. (2020). Managing policy lapse risk in Sweden's life insurance market between 1915 and 1947. Business History, 62(2), 222-239. https://doi.org/10.1080/00076791.2017.1418331 Brouhns, N., Denuit, M., & Vermunt, J. K. (2002). A Poisson log-bilinear regression approach to the construction of projected lifetables. Insurance: Mathematics and Economics, 31(3), 373-393. https://doi.org/https://doi.org/10.1016/S0167-6687(02)00185-3 Cerchiara, R. R., M. Edwards, and A. Gambini. (2009). Generalized linear models in life insurance: Decrements and risk factor analysis under Solvency II. Giornale dell’Istituto Italiano degli Attuari, 72(1–2), 57–84. Cox, S. H., and Y. J. Lin. (2006). Annuity lapse rate modeling: Tobit or not tobit? Society of Actuaries. https://www.soa.org/globalassets/assets/files/research/projects/cox-linn-paper-11-15-06.pdf Dar, A., & Dodds, C. (1989). Interest-Rates, the Emergency Fund Hypothesis and Saving through Endowment Policies - Some Empirical-Evidence for the Uk. Journal of Risk and Insurance, 56(3), 415-433. https://doi.org/Doi 10.2307/253166 DeAngelo, H., DeAngelo, L., & Gilson, S. C. (1996). Perceptions and the politics of finance: Junk bonds and the regulatory seizure of first capital life. Journal of financial economics, 41(3), 475-511. https://doi.org/10.1016/0304-405X(95)00866-D European Comission (2010). QIS5 Technical Specifications. Eling, M., & Kiesenbauer, D. (2014). What Policy Features Determine Life Insurance Lapse? An Analysis of the German Market. Journal of Risk and Insurance, 81(2), 241-269. https://doi.org/10.1111/j.1539-6975.2012.01504.x Eling, M., & Kochanski, M. (2013). Research on lapse in life insurance: what has been done and what needs to be done? Journal of Risk Finance, 14(4), 392-413. https://doi.org/10.1108/JRF-12-2012-0088 Fang, H. M., & Kung, E. (2021). Why do life insurance policyholders lapse? The roles of income, health, and bequest motive shocks. Journal of Risk and Insurance, 88(4), 937-970. https://doi.org/10.1111/jori.12332 FSA. (2013). 2012 Survey of the persistency of life and pensions policies. https://www.fca.org.uk/publication/annual-reports/fsaannual-report-12-13.pdf Fier, S. G., & Liebenberg, A. P. (2013). Life Insurance Lapse Behavior. North American actuarial journal, 17(2), 153-167. https://doi.org/10.1080/10920277.2013.803438 Hu, S., O’Hagan, A., Sweeney, J., & Ghahramani, M. (2021). A spatial machine learning model for analysing customers’ lapse behaviour in life insurance. Annals of Actuarial Science, 15(2), 367–393. doi:10.1017/S1748499520000329 Hwang, Y., Chan, L. F.-S., & Tsai, C. J. (2022). On Voluntary Terminations of Life Insurance: Differentiating Surrender Propensity From Lapse Propensity Across Product Types. North American actuarial journal, 26(2), 252-282. https://doi.org/10.1080/10920277.2021.1973507 James, I. R., & Segal, M. R. (1982). On a Method of Mortality Analysis Incorporating Age-Year Interaction, with Application to Prostate Cancer Mortality. Biometrics, 38(2), 433-443. https://doi.org/10.2307/2530456 Kagraoka, Y. (2005). Modeling Insurance Surrenders by the Negative Binomial Model. Kiermayer, M. (2022). Modeling surrender risk in life insurance: theoretical and experimental insight. Scandinavian Actuarial Journal, 2022(7), 627-658. https://doi.org/10.1080/03461238.2021.2013308 Kim, C. (2005). Modeling Surrender and Lapse Rates With Economic Variables. North American actuarial journal, 9(4), 56-70. https://doi.org/10.1080/10920277.2005.10596225 Knoller, C., Kraut, G., & Schoenmaekers, P. (2016). On the Propensity to Surrender a Variable Annuity Contract: An Empirical Analysis of Dynamic Policyholder Behavior. The Journal of risk and insurance, 83(4), 979-1006. https://doi.org/10.1111/jori.12076 Kuo, W. Y., Tsai, C. S., & Chen, W. K. (2003). An empirical study on the lapse rate: The cointegration approach. Journal of Risk and Insurance, 70(3), 489-508. https://doi.org/DOI 10.1111/1539-6975.t01-1-00061 Lee, R., & Carter, L. R. (1992). Modeling and forecasting U. S. mortality. Journal of the American Statistical Association, 87, 659-671. Linton, N. A. (1932). Panics and Cash Values. Transactions of the Actuarial Society of America, 38, 365-394. Milhaud, X., Loisel, S., & Maume-Deschamps, V. (2011). Surrender triggers in life insurance: what main features affect the surrender behavior in a classical economic context? https://EconPapers.repec.org/RePEc:hal:journl:hal-00450003 Outreville, J. F. (1990). Whole-Life Insurance Lapse Rates and the Emergency Fund Hypothesis. Insurance Mathematics & Economics, 9(4), 249-255. https://doi.org/Doi 10.1016/0167-6687(90)90002-U Pinquet, J., Guillén, M., & Ayuso, M. (2011). Commitment and Lapse Behavior in Long-Term Insurance: A Case Study. The Journal of risk and insurance, 78(4), 983-1002. https://doi.org/10.1111/j.1539-6975.2011.01420.x Reck, L., Schupp, J., & Reuß, A. (2023). Identifying the determinants of lapse rates in life insurance: an automated Lasso approach. European Actuarial Journal, 13(2), 541-569. https://doi.org/10.1007/s13385-022-00325-1 Renshaw, A. E., & Haberman, S. (1986). Statistical analysis of life assurance lapses. Journal of the Institute of Actuaries, 113(3), 459-497. https://doi.org/10.1017/S0020268100042566 Renshaw, A. E., & Haberman, S. (2006). A cohort-based extension to the Lee-Carter model for mortality reduction factors. Insurance Mathematics & Economics, 38(3), 556-570. https://doi.org/10.1016/j.insmatheco.2005.12.001 Russell, D. T., Fier, S. G., Carson, J. M., & Dumm, R. E. (2013). An Empirical Analysis of Life Insurance Policy Surrender Activity. Journal of insurance issues, 36(1), 35-57. Tsai, C. H., Kuo, W. Y., & Chiang, D. M. H. (2009). The Distributions of Policy Reserves Considering the Policy-Year Structures of Surrender Rates and Expense Ratios. Journal of Risk and Insurance, 76(4), 909-931. https://doi.org/10.1111/j.1539-6975.2009.01324.x Tsai, C. S., Kuo, W. Y., & Chen, W. K. (2002). Early surrender and the distribution of policy reserves. Insurance Mathematics & Economics, 31(3), 429-445. https://doi.org/Pii S0167-6687(02)00188-9 Wilmoth, J. R. (1993). Computational methods for fitting and extrapolating the Lee–Carter model of mortality change. Technical Report. Department of Demography, University of California, Berkeley Yu, L., Cheng, J., & Lin, T. T. (2019). Life insurance lapse behaviour: evidence from China. Geneva Papers on Risk and Insurance-Issues and Practice, 44(4), 653-678. https://doi.org/10.1057/s41288-018-0104-5zh_TW