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題名 保本型變額壽險之評價
作者 江兆育
貢獻者 廖四郎<br>龐元愷
江兆育
關鍵詞 保本型變額壽險
蒙地卡羅
BGM Model
日期 2006
上傳時間 14-Sep-2009 09:35:30 (UTC+8)
摘要 本研究針對保本型變額壽險-投資標的為債券型基金進行進行評價分析。由於投資型保險擁有投資與保障的功能,且將投資風險轉嫁給投保人,與傳統壽險有明顯的差異。爲防止投保人承受過多的投資風險而失去保險中保障的功能,在條款中加上一最低保證給付金額,使投保人只須負擔部分的投資風險,保險公司也可提升其產品競爭力。
     
      在保本型變額壽險的評價模型上,運用精算數學中收支相等原則,採用Nielsen and Sandmann(1995)的模型架構求算合理保費。同時採用利率模型-BGM Model,透過市場可觀察到的LOBOR報價,更精確有效地對利率期間結構進行模擬分析。再針對死亡保險及生死合險,兩種目前國內壽險市場上的主流商品,探討在分期繳費方式下的合理保費。
     
      最後,因為此模型不存在封閉解,透過蒙地卡羅法進行數值模擬,針對參數可能的變動進行敏感度分析。
參考文獻 中文部分
1.曾柏方(2004),附有最低保證給付投資型保險之評價與分析,政治大學金融研究所碩士論文。
2.中華民國人壽保險商業同業公會(2003),臺灣壽險業第四回經驗生命表(民國八十四年至民國八十八年),初版,台北市:中華民國人壽保險商業同業公會。
3.林鴻鈞(2003),「六大重點看保本商品:如何說明投資型保單是最佳選擇」,Advisers財務顧問,第175期,115~117頁。
4.翁建勳(2002),變額保險之模擬研究,逢甲大學統計與精算所碩士論文。
5.彭成彰(2002),保證給付變額壽險之選擇權評價分析,中央大學財務管理研究所碩士論文。
6.陳家明(2000),變額壽險,初版,台北市:財團法人保險事業發展中心。
7.張智星(2000),MATLAB程式設計與應用,初版,新竹市:清蔚科技。
8.郭怡馨(1999),保本型變額壽險之評價分析,政治大學風險管理與保險學研究所碩士論文。
9.廖泗滄(1988),壽險數理,初版,台北市:台北市人壽保險商業同業公會。
英文部分
1.Bacinello, A.R., and Ortu, F.(1993), “Pricing Equity-Linked Life Insurance with Endogenous Minimum Guarantees.”Insurance: Mathematics and Economics, 12, 303.
2.Bacinello, A.R., and Ortu, F.(1994), “Single and Periodic Premiums for Guaranteed Equity-Linked Life Insurance under Interest Rate Risk: the Log-normal + Vasicek Case.”Financial Modelling, L. Peccati and M. Viren (Eds.), Physica-Verlag, Heidelberg, Germany, 1-25
3.Black, F., and M.J. Scholes (1973),“The Pricing of Options and Corporate Liabilities.”Journal of Political Economy, 81, 637-659.
4.Bolye, P. (1977),“A Monte Carlo Approach.”Journal of Financial Economics, 4, 323-338.
5.Brace, A., D. Gatarek, and M. Musiela. (1997),“The Market Model of Interest Rate Dynamics.”Mathematical Finance, 7, 127-155.
6.Brennan, M.J., and E. Schwartz. (1976),“The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee.”Journal of Financial Economics, 3, 195-213.
7.Carverhill, A., and L. Clewlow (1990),“Flexible Convolution.”Risk, 3, 25-29.
8.Cox, J.C., J.E. Ingersoll, Jr., and S.A. Ross. (1985). “A Theory of the Term Structure of Interest Rates.”Econometrica, 53, 385-407.
9.Heath, D., R. Jarrow, and A. Morton (1992),“Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation.”Econometrica, Vol. 60, No 1, 77-105.
10.Ho, T., and S. Lee (1986),“Term Structure Movements and Pricing Interest Rate Contingent Claims.”Journal of Finance, 41, 1011-1029.
11.Hull, J.C., and A. White (1990),“Pricing Interest-Rate-Derivative Securities.” Review of Financial Studies, 33, 423-440. 58.
12.Hull, J.C. (2000), Option, Futures & Other Derivatives, ed., U.S.A., Prentice-hall International.
13.Nielsen, J.A., and K. Sandmann, (1995),“Equity-Linked Life Insurance: a Model with Stochastic Interest Rates.”Insurance: Mathematics and Economics, 16, 225-253.
14.Persson, S. A., and K. K. Aase, (1997),“Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products.”The Journal of Risk and Insurance, Vol.64, No.4, 599-617.
15.Turnbull, S. M. and L. M. Wakeman, (1991),“Quick Algorithm for Pricing European Average Options.”Journal of Financial and Quantitative Analysis, 77-389.
16.Vasciek, O., (1997),“An Equilibrium Characterization of the Term Structure.”Journal of Financial Economics, 5, 177-188.
17.Vorst, A. C. F., (1992), “Pricing and Hedge Ratios of Average Exchange Rate Options.”International Review of Financial Analysis, 1, 179-193.
描述 碩士
國立政治大學
金融研究所
92352033
95
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0923520331
資料類型 thesis
dc.contributor.advisor 廖四郎<br>龐元愷zh_TW
dc.contributor.author (Authors) 江兆育zh_TW
dc.creator (作者) 江兆育zh_TW
dc.date (日期) 2006en_US
dc.date.accessioned 14-Sep-2009 09:35:30 (UTC+8)-
dc.date.available 14-Sep-2009 09:35:30 (UTC+8)-
dc.date.issued (上傳時間) 14-Sep-2009 09:35:30 (UTC+8)-
dc.identifier (Other Identifiers) G0923520331en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/31240-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 92352033zh_TW
dc.description (描述) 95zh_TW
dc.description.abstract (摘要) 本研究針對保本型變額壽險-投資標的為債券型基金進行進行評價分析。由於投資型保險擁有投資與保障的功能,且將投資風險轉嫁給投保人,與傳統壽險有明顯的差異。爲防止投保人承受過多的投資風險而失去保險中保障的功能,在條款中加上一最低保證給付金額,使投保人只須負擔部分的投資風險,保險公司也可提升其產品競爭力。
     
      在保本型變額壽險的評價模型上,運用精算數學中收支相等原則,採用Nielsen and Sandmann(1995)的模型架構求算合理保費。同時採用利率模型-BGM Model,透過市場可觀察到的LOBOR報價,更精確有效地對利率期間結構進行模擬分析。再針對死亡保險及生死合險,兩種目前國內壽險市場上的主流商品,探討在分期繳費方式下的合理保費。
     
      最後,因為此模型不存在封閉解,透過蒙地卡羅法進行數值模擬,針對參數可能的變動進行敏感度分析。
zh_TW
dc.description.tableofcontents 第一章 緒論--------------------------------------------1
     1.1 研究動機-------------------------------------------1
     1.2 研究目的-------------------------------------------4
     1.3 研究範圍-------------------------------------------5
     1.4 研究流程-------------------------------------------8
     第二章 文獻回顧----------------------------------------9
     2.1 保本型變額壽險評價模型-----------------------------9
     2.2 利率模型----------------------------------------- 13
     第三章 評價模型-------------------------------------- 17
     3.1 利率模型設定-BGM模型----------------------------- 17
     3.2 符號定義----------------------------------------- 20
     3.3 保本型變額壽險模型設定--------------------------- 21
     第四章 模擬分析-------------------------------------- 24
     4.1 參數設定----------------------------------------- 24
     4.2 數值分析----------------------------------------- 28
     4.3 利率敏感度分析----------------------------------- 30
     第五章 結論與建議------------------------------------ 39
     附錄--------------------------------------------------40
     參考文獻----------------------------------------------50
zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0923520331en_US
dc.subject (關鍵詞) 保本型變額壽險zh_TW
dc.subject (關鍵詞) 蒙地卡羅zh_TW
dc.subject (關鍵詞) BGM Modelen_US
dc.title (題名) 保本型變額壽險之評價zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 中文部分zh_TW
dc.relation.reference (參考文獻) 1.曾柏方(2004),附有最低保證給付投資型保險之評價與分析,政治大學金融研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 2.中華民國人壽保險商業同業公會(2003),臺灣壽險業第四回經驗生命表(民國八十四年至民國八十八年),初版,台北市:中華民國人壽保險商業同業公會。zh_TW
dc.relation.reference (參考文獻) 3.林鴻鈞(2003),「六大重點看保本商品:如何說明投資型保單是最佳選擇」,Advisers財務顧問,第175期,115~117頁。zh_TW
dc.relation.reference (參考文獻) 4.翁建勳(2002),變額保險之模擬研究,逢甲大學統計與精算所碩士論文。zh_TW
dc.relation.reference (參考文獻) 5.彭成彰(2002),保證給付變額壽險之選擇權評價分析,中央大學財務管理研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 6.陳家明(2000),變額壽險,初版,台北市:財團法人保險事業發展中心。zh_TW
dc.relation.reference (參考文獻) 7.張智星(2000),MATLAB程式設計與應用,初版,新竹市:清蔚科技。zh_TW
dc.relation.reference (參考文獻) 8.郭怡馨(1999),保本型變額壽險之評價分析,政治大學風險管理與保險學研究所碩士論文。zh_TW
dc.relation.reference (參考文獻) 9.廖泗滄(1988),壽險數理,初版,台北市:台北市人壽保險商業同業公會。zh_TW
dc.relation.reference (參考文獻) 英文部分zh_TW
dc.relation.reference (參考文獻) 1.Bacinello, A.R., and Ortu, F.(1993), “Pricing Equity-Linked Life Insurance with Endogenous Minimum Guarantees.”Insurance: Mathematics and Economics, 12, 303.zh_TW
dc.relation.reference (參考文獻) 2.Bacinello, A.R., and Ortu, F.(1994), “Single and Periodic Premiums for Guaranteed Equity-Linked Life Insurance under Interest Rate Risk: the Log-normal + Vasicek Case.”Financial Modelling, L. Peccati and M. Viren (Eds.), Physica-Verlag, Heidelberg, Germany, 1-25zh_TW
dc.relation.reference (參考文獻) 3.Black, F., and M.J. Scholes (1973),“The Pricing of Options and Corporate Liabilities.”Journal of Political Economy, 81, 637-659.zh_TW
dc.relation.reference (參考文獻) 4.Bolye, P. (1977),“A Monte Carlo Approach.”Journal of Financial Economics, 4, 323-338.zh_TW
dc.relation.reference (參考文獻) 5.Brace, A., D. Gatarek, and M. Musiela. (1997),“The Market Model of Interest Rate Dynamics.”Mathematical Finance, 7, 127-155.zh_TW
dc.relation.reference (參考文獻) 6.Brennan, M.J., and E. Schwartz. (1976),“The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee.”Journal of Financial Economics, 3, 195-213.zh_TW
dc.relation.reference (參考文獻) 7.Carverhill, A., and L. Clewlow (1990),“Flexible Convolution.”Risk, 3, 25-29.zh_TW
dc.relation.reference (參考文獻) 8.Cox, J.C., J.E. Ingersoll, Jr., and S.A. Ross. (1985). “A Theory of the Term Structure of Interest Rates.”Econometrica, 53, 385-407.zh_TW
dc.relation.reference (參考文獻) 9.Heath, D., R. Jarrow, and A. Morton (1992),“Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation.”Econometrica, Vol. 60, No 1, 77-105.zh_TW
dc.relation.reference (參考文獻) 10.Ho, T., and S. Lee (1986),“Term Structure Movements and Pricing Interest Rate Contingent Claims.”Journal of Finance, 41, 1011-1029.zh_TW
dc.relation.reference (參考文獻) 11.Hull, J.C., and A. White (1990),“Pricing Interest-Rate-Derivative Securities.” Review of Financial Studies, 33, 423-440. 58.zh_TW
dc.relation.reference (參考文獻) 12.Hull, J.C. (2000), Option, Futures & Other Derivatives, ed., U.S.A., Prentice-hall International.zh_TW
dc.relation.reference (參考文獻) 13.Nielsen, J.A., and K. Sandmann, (1995),“Equity-Linked Life Insurance: a Model with Stochastic Interest Rates.”Insurance: Mathematics and Economics, 16, 225-253.zh_TW
dc.relation.reference (參考文獻) 14.Persson, S. A., and K. K. Aase, (1997),“Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products.”The Journal of Risk and Insurance, Vol.64, No.4, 599-617.zh_TW
dc.relation.reference (參考文獻) 15.Turnbull, S. M. and L. M. Wakeman, (1991),“Quick Algorithm for Pricing European Average Options.”Journal of Financial and Quantitative Analysis, 77-389.zh_TW
dc.relation.reference (參考文獻) 16.Vasciek, O., (1997),“An Equilibrium Characterization of the Term Structure.”Journal of Financial Economics, 5, 177-188.zh_TW
dc.relation.reference (參考文獻) 17.Vorst, A. C. F., (1992), “Pricing and Hedge Ratios of Average Exchange Rate Options.”International Review of Financial Analysis, 1, 179-193.zh_TW