| dc.contributor.advisor | 蔡政憲 | zh_TW |
| dc.contributor.author (Authors) | 葉典嘉 | zh_TW |
| dc.creator (作者) | 葉典嘉 | zh_TW |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:41:36 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:41:36 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:41:36 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0094358022 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31278 | - |
| 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) | 94358022 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | 本文主要目的是探討壽險責任準備金公平價值之評價分析，根據台灣的利率市場，用符合財務經濟學的原則，計算出準備金的公平價值（Fair Value）。而準備金之公平價值是以準備金之最佳估計值（Best Estimate）加上風險邊際（Risk Margin）為原則。目前國內準備金之現行制度對於法定準備金僅假設未來利率固定，並未考量利率變化情形，本文將採用隨機利率的方式來評估國內強制分紅保單準備金的公平價值。隨機利率之模型本文採用無套利模型中的Ho-Lee model，利用此模型求得準備金之最佳估計值。並以主成分分析法（Principle Component Analysis）模擬未來之利率情境，求得準備金之風險邊際及公平價值。另外，由於國內尚無足夠資料建立合適之解約率模型，本文僅參考過去文獻額外假設二種與利率相關之解約率模型，及二種不同於原保單之分紅策略，探討準備金公平價值之變動。 本文之研究結果分析如下： 1.死差、利差可互抵之分紅策略，雖降低了保險公司之負債，但仍遠不及忽視隨機利率所造成的嚴重虧損。 2.取兩年定期儲蓄利率之前三年算術平均值作為分紅標準會降低紅利價值，此結果支持選擇權價值與波動率之正向關係。 3.利率敏感型之解約行為會使得紅利價值高於固定解約行為之紅利價值。而考慮隨機利率雖會造成市場上該強制分紅保單之負債大幅提昇，然而考量利率敏感型之解約行為使得保戶容易因為市場利率的走高而解除保險契約，此舉反而解救了保險公司。 | zh_TW |
| dc.description.tableofcontents | 第一章 前言 1 第一節 研究動機 1 第二節 研究目的 2 第二章 文獻回顧 4 第一節 傳統精算方法 4 第二節 財工方法 5 第三章 研究方法 10 第四章 保單內容說明 15 第一節 保單原始精算假設 15 第二節 解約率模型及分紅策略之假設 18 第五章 結果分析 22 第一節 不同分紅策略下之分析 24 第二節 不同解約模型下之分析 26 第六章 結論 29 參考文獻 31 圖目錄 圖4-1 解約模型1之解約率曲線 19 圖4-2 解約模型2之解約率曲線 20 圖5-1 今日殖利率曲線 22 圖5-2 原始精算假設下準備金公平價值分佈圖 23 圖5-3 分紅策略1之下準備金公平價值分佈圖 24 圖5-2 分紅策略2之下準備金公平價值分佈圖 25 圖5-5 調高固定解約率之準備金公平價值分佈圖 26 圖5-6 解約模型1（線性模型）之下準備金公平價值分佈圖 27 圖5-7 解約模型2（反正切）之下準備金公平價值分佈圖 28 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0094358022 | en_US |
| dc.subject (關鍵詞) | 公平價值 | zh_TW |
| dc.subject (關鍵詞) | 最佳估計值 | zh_TW |
| dc.subject (關鍵詞) | 風險邊際 | zh_TW |
| dc.title (題名) | 壽險責任準備金公平價值之評價分析 ─ 以強制分紅保單為例 | zh_TW |
| dc.type (資料類型) | thesis | en |
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