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題名 變額萬能壽險脫退率影響因素之實證研究
On the Factors Affecting the Surrender and Lapse Behavior of Variable Universal Life Insurance Contracts
作者 鍾沂臻
Chung, Yi-Chen
貢獻者 蔡政憲
Tsai, Cheng-Hsien
鍾沂臻
Chung, Yi-Chen
關鍵詞 變額萬能壽險
解約
失效
脫退
羅吉斯迴歸分析
Variable Universal Life Insurance
Surrender
Lapse
Logistic Regression Models
日期 2025
上傳時間 2-Oct-2025 11:10:27 (UTC+8)
摘要 本研究旨在探討影響變額萬能壽險保單脫退行為之保戶特徵因素，並進一步分析主動性解約（surrender）與被動性失效（lapse）兩類脫退型態之異質性。傳統對脫退行為的研究多將二者合併分析，忽略其背後動機與行為特徵之差異，恐導致風險評估與商品管理策略失真。為彌補此一研究缺口，本文以台灣某中型壽險公司2002年至2018年間所承保之變額萬能壽險契約資料為實證基礎，納入性別、婚姻狀態、投保年齡、職業風險等級與保額等個體層面變數，分別運用二元羅吉斯迴歸與廣義羅吉斯迴歸模型進行實證分析。 研究結果顯示，保戶個體特徵對解約與失效行為之影響方向與顯著性不盡相同。年輕族群、高風險職業、未婚者與婚姻狀態改變者之脫退傾向較高，尤其在投保年齡為15至24歲的年輕保戶其脫退率顯著高於其他年齡層，而65歲以上的保戶脫退率最低。性別部分女性的解約率顯著高於男性，而失效率則反之。保額越高解約率與失效率皆越低。 本研究有助於壽險業者辨識高脫退風險族群，發展針對性之商品設計與留存策略，亦可作為保險監理機關與會計制度制定者理解保戶行為與保單穩定性之重要參考，並對未來進一步納入宏觀經濟變數與保單制度設計因素之多層次研究提供基礎。
This study examines how policyholder characteristics influence policy discontinuation in variable universal life (VUL) insurance and, in particular, the heterogeneity between voluntary surrender and involuntary lapse. Prior research often combines these outcomes, overlooking differences in motivations and behavioral profiles that can distort risk assessment and product management. Using administrative records for VUL contracts underwritten by a mid-sized life insurer in Taiwan from 2002 to 2018, we include individual-level covariates — sex, marital status, issue age, occupational risk level, and policy face amount — and estimate binary logistic regression and generalized logit (multinomial logistic) models to analyze surrender and lapse separately. Empirical results indicate that the direction and significance of effects differ across discontinuation types. Younger policyholders, those in higher-risk occupations, unmarried individuals, and those experiencing changes in marital status exhibit higher discontinuation propensities. The 15–24 age group shows a significantly higher discontinuation rate than other age cohorts, whereas policyholders aged 65 and above display the lowest rates. By sex, women have significantly higher surrender rates than men, while men exhibit higher lapse rates. Higher policy face amounts are associated with lower probabilities of both surrender and lapse. These findings help insurers identify high-risk segments and inform targeted product design and retention strategies. They also provide regulators and standard setters with evidence on policyholder behavior and portfolio stability, and they motivate future multi-level research that incorporates macroeconomic factors and policy design features.
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://www.tandfonline.com/doi/full/10.1080/00076791.2017.1418331 Barsotti, F., Milhaud, X., & Salhi, Y. (2016). Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors. Insurance: Mathematics and Economics, 71, 317–331. https://hal.science/hal-01282601v2/file/BarsottiMilhaudSalhi_revised_IME_201609.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://www.jstor.org/stable/253166 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://onlinelibrary.wiley.com/doi/abs/10.1111/j.1539-6975.2012.01504.x European Central Bank. (2022). Life Insurance Convexity. ECB Working Paper Series No. 2829. https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2829~f36cabd504.en.pdf?f70b4fbeb13e611b677d61a9f887f337 Fier, S. G., & Liebenberg, A. P. (2013). Life insurance lapse behavior. North American Actuarial Journal, 17(2), 153–167. https://www.proquest.com/scholarly-journals/life-insurance-lapse-behavior/docview/1494716773/se-2 Gemmo, I., & Götz, M. (2016). Life insurance and demographic change: An empirical analysis of surrender decisions based on panel data (ICIR Working Paper Series No. 24/16). International Center for Insurance Regulation, Goethe University Frankfurt. https://ideas.repec.org/p/zbw/icirwp/2416.html Ghimire, B., Adhikari, S., & Sharma, R. (2024). Policyholder surrender behavior in the Nepalese life insurance industry. Interdisciplinary Journal of Innovation in Nepalese Academia, 3(2), 89–102. https://ojed.org/jina/article/view/8279 Greenwald, D. L., Landvoigt, T., & Van Nieuwerburgh, S. (2021). Aggregate Lapsation Risk. American Economic Association. https://www.researchgate.net/publication/228481596_Modeling_Insurance_Surrenders_by_the_Negative_Binomial_Model 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://ideas.repec.org/a/taf/uaajxx/v26y2022i2p252-282.html Huang, H.-T., Hwang, Y., Chan, L. F.-S., & Tsai, C. J. (2024). Value-enhancing modeling of surrenders and lapses. Insurance: Mathematics and Economics, 119, 48–63. https://doi.org/10.1016/j.insmatheco.2024.07.004 Kagraoka, Y. (2005). Modeling insurance surrenders by the negative binomial model. Musashi University. https://www.researchgate.net/publication/228481596 Kiesenbauer, D. (2012). Main determinants of lapse in the German life insurance industry. North American Actuarial Journal, 16(1), 52–73. https://www.tandfonline.com/doi/abs/10.1080/10920277.2012.10590632 Kim, C., 2005a, Modeling Surrender and Lapse Rates with Economic Variables, North American Actuarial Journal, 9(4): 56-70. https://ideas.repec.org/a/taf/uaajxx/v9y2005i4p56-70.html Koijen, R. S. J., Lee, H. K., & Van Nieuwerburgh, S. (2022). Aggregate Lapsation Risk. NBER Working Paper No. 30187. http://www.nber.org/papers/w30187 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://ideas.repec.org/a/bla/jrinsu/v70y2003i3p489-508.html 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://hal.science/hal-00450003v1 Outreville, J. F. (1990). Whole-life insurance lapse rates and the emergency fund hypothesis. Insurance: Mathematics and Economics, 9(3), 249–255. https://www.sciencedirect.com/science/article/abs/pii/016766879090002U 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 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. https://ideas.repec.org/a/wri/journl/v36y2013i1p35-57.html Tsai, C., Kuo, W., & Chen, W.-K. (2002). Early surrender and the distribution of policy reserves. Insurance: Mathematics and Economics, 31(3), 429–445. https://ideas.repec.org/a/eee/insuma/v31y2002i3p429-445.html
描述 碩士
國立政治大學
風險管理與保險學系
112358012
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112358012
資料類型 thesis
dc.contributor.advisor 蔡政憲zh_TW
dc.contributor.advisor Tsai, Cheng-Hsienen_US
dc.contributor.author (Authors) 鍾沂臻zh_TW
dc.contributor.author (Authors) Chung, Yi-Chenen_US
dc.creator (作者) 鍾沂臻zh_TW
dc.creator (作者) Chung, Yi-Chenen_US
dc.date (日期) 2025en_US
dc.date.accessioned 2-Oct-2025 11:10:27 (UTC+8)-
dc.date.available 2-Oct-2025 11:10:27 (UTC+8)-
dc.date.issued (上傳時間) 2-Oct-2025 11:10:27 (UTC+8)-
dc.identifier (Other Identifiers) G0112358012en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/159699-
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) 112358012zh_TW
dc.description.abstract (摘要) 本研究旨在探討影響變額萬能壽險保單脫退行為之保戶特徵因素，並進一步分析主動性解約（surrender）與被動性失效（lapse）兩類脫退型態之異質性。傳統對脫退行為的研究多將二者合併分析，忽略其背後動機與行為特徵之差異，恐導致風險評估與商品管理策略失真。為彌補此一研究缺口，本文以台灣某中型壽險公司2002年至2018年間所承保之變額萬能壽險契約資料為實證基礎，納入性別、婚姻狀態、投保年齡、職業風險等級與保額等個體層面變數，分別運用二元羅吉斯迴歸與廣義羅吉斯迴歸模型進行實證分析。 研究結果顯示，保戶個體特徵對解約與失效行為之影響方向與顯著性不盡相同。年輕族群、高風險職業、未婚者與婚姻狀態改變者之脫退傾向較高，尤其在投保年齡為15至24歲的年輕保戶其脫退率顯著高於其他年齡層，而65歲以上的保戶脫退率最低。性別部分女性的解約率顯著高於男性，而失效率則反之。保額越高解約率與失效率皆越低。 本研究有助於壽險業者辨識高脫退風險族群，發展針對性之商品設計與留存策略，亦可作為保險監理機關與會計制度制定者理解保戶行為與保單穩定性之重要參考，並對未來進一步納入宏觀經濟變數與保單制度設計因素之多層次研究提供基礎。zh_TW
dc.description.abstract (摘要) This study examines how policyholder characteristics influence policy discontinuation in variable universal life (VUL) insurance and, in particular, the heterogeneity between voluntary surrender and involuntary lapse. Prior research often combines these outcomes, overlooking differences in motivations and behavioral profiles that can distort risk assessment and product management. Using administrative records for VUL contracts underwritten by a mid-sized life insurer in Taiwan from 2002 to 2018, we include individual-level covariates — sex, marital status, issue age, occupational risk level, and policy face amount — and estimate binary logistic regression and generalized logit (multinomial logistic) models to analyze surrender and lapse separately. Empirical results indicate that the direction and significance of effects differ across discontinuation types. Younger policyholders, those in higher-risk occupations, unmarried individuals, and those experiencing changes in marital status exhibit higher discontinuation propensities. The 15–24 age group shows a significantly higher discontinuation rate than other age cohorts, whereas policyholders aged 65 and above display the lowest rates. By sex, women have significantly higher surrender rates than men, while men exhibit higher lapse rates. Higher policy face amounts are associated with lower probabilities of both surrender and lapse. These findings help insurers identify high-risk segments and inform targeted product design and retention strategies. They also provide regulators and standard setters with evidence on policyholder behavior and portfolio stability, and they motivate future multi-level research that incorporates macroeconomic factors and policy design features.en_US
dc.description.tableofcontents 摘要 i Abstract ii 目錄 iii 表目錄 iv 圖目錄 iv 第一章 緒論 1 第一節 研究動機與目的 1 第二節 研究架構 2 第二章 文獻回顧 4 第一節 影響脫退行為之三大假說 4 第二節 脫退因子之實證研究相關文獻 6 一、總體導向之實證研究：影響脫退之環境因素 6 二、個體導向之實證研究：影響脫退之保戶行為因素與保單特性 8 第三章 資料與模型 10 第一節 資料內容 10 第二節 資料分析 11 第三節 實證模型設定與變數說明 15 一、二元羅吉斯迴歸模型 15 二、廣義羅吉斯迴歸模型 17 三、羅吉斯迴歸模型變數說明 18 第四章 實證結果分析 22 第一節 二元羅吉斯迴歸結果 22 第二節 廣義羅吉斯迴歸結果 26 第五章 結論 28 一、不同保戶特性對變額萬能壽險脫退率之影響 28 二、模型貢獻與應用意涵 31 三、政策與實務建議 32 四、研究限制與未來方向 33 參考文獻 35zh_TW
dc.format.extent 902507 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112358012en_US
dc.subject (關鍵詞) 變額萬能壽險zh_TW
dc.subject (關鍵詞) 解約zh_TW
dc.subject (關鍵詞) 失效zh_TW
dc.subject (關鍵詞) 脫退zh_TW
dc.subject (關鍵詞) 羅吉斯迴歸分析zh_TW
dc.subject (關鍵詞) Variable Universal Life Insuranceen_US
dc.subject (關鍵詞) Surrenderen_US
dc.subject (關鍵詞) Lapseen_US
dc.subject (關鍵詞) Logistic Regression Modelsen_US
dc.title (題名) 變額萬能壽險脫退率影響因素之實證研究zh_TW
dc.title (題名) On the Factors Affecting the Surrender and Lapse Behavior of Variable Universal Life Insurance Contractsen_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://www.tandfonline.com/doi/full/10.1080/00076791.2017.1418331 Barsotti, F., Milhaud, X., & Salhi, Y. (2016). Lapse risk in life insurance: Correlation and contagion effects among policyholders’ behaviors. Insurance: Mathematics and Economics, 71, 317–331. https://hal.science/hal-01282601v2/file/BarsottiMilhaudSalhi_revised_IME_201609.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://www.jstor.org/stable/253166 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://onlinelibrary.wiley.com/doi/abs/10.1111/j.1539-6975.2012.01504.x European Central Bank. (2022). Life Insurance Convexity. ECB Working Paper Series No. 2829. https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2829~f36cabd504.en.pdf?f70b4fbeb13e611b677d61a9f887f337 Fier, S. G., & Liebenberg, A. P. (2013). Life insurance lapse behavior. North American Actuarial Journal, 17(2), 153–167. https://www.proquest.com/scholarly-journals/life-insurance-lapse-behavior/docview/1494716773/se-2 Gemmo, I., & Götz, M. (2016). Life insurance and demographic change: An empirical analysis of surrender decisions based on panel data (ICIR Working Paper Series No. 24/16). International Center for Insurance Regulation, Goethe University Frankfurt. https://ideas.repec.org/p/zbw/icirwp/2416.html Ghimire, B., Adhikari, S., & Sharma, R. (2024). Policyholder surrender behavior in the Nepalese life insurance industry. Interdisciplinary Journal of Innovation in Nepalese Academia, 3(2), 89–102. https://ojed.org/jina/article/view/8279 Greenwald, D. L., Landvoigt, T., & Van Nieuwerburgh, S. (2021). Aggregate Lapsation Risk. American Economic Association. https://www.researchgate.net/publication/228481596_Modeling_Insurance_Surrenders_by_the_Negative_Binomial_Model 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://ideas.repec.org/a/taf/uaajxx/v26y2022i2p252-282.html Huang, H.-T., Hwang, Y., Chan, L. F.-S., & Tsai, C. J. (2024). Value-enhancing modeling of surrenders and lapses. Insurance: Mathematics and Economics, 119, 48–63. https://doi.org/10.1016/j.insmatheco.2024.07.004 Kagraoka, Y. (2005). Modeling insurance surrenders by the negative binomial model. Musashi University. https://www.researchgate.net/publication/228481596 Kiesenbauer, D. (2012). Main determinants of lapse in the German life insurance industry. North American Actuarial Journal, 16(1), 52–73. https://www.tandfonline.com/doi/abs/10.1080/10920277.2012.10590632 Kim, C., 2005a, Modeling Surrender and Lapse Rates with Economic Variables, North American Actuarial Journal, 9(4): 56-70. https://ideas.repec.org/a/taf/uaajxx/v9y2005i4p56-70.html Koijen, R. S. J., Lee, H. K., & Van Nieuwerburgh, S. (2022). Aggregate Lapsation Risk. NBER Working Paper No. 30187. http://www.nber.org/papers/w30187 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://ideas.repec.org/a/bla/jrinsu/v70y2003i3p489-508.html 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://hal.science/hal-00450003v1 Outreville, J. F. (1990). Whole-life insurance lapse rates and the emergency fund hypothesis. Insurance: Mathematics and Economics, 9(3), 249–255. https://www.sciencedirect.com/science/article/abs/pii/016766879090002U 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 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. https://ideas.repec.org/a/wri/journl/v36y2013i1p35-57.html Tsai, C., Kuo, W., & Chen, W.-K. (2002). Early surrender and the distribution of policy reserves. Insurance: Mathematics and Economics, 31(3), 429–445. https://ideas.repec.org/a/eee/insuma/v31y2002i3p429-445.htmlzh_TW