| dc.contributor.advisor | 黃泓智 | zh_TW |
| dc.contributor.author (Authors) | 陳文琴 | zh_TW |
| dc.creator (作者) | 陳文琴 | zh_TW |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 18-Sep-2009 20:20:15 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 20:20:15 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 20:20:15 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0095358022 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36972 | - |
| 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) | 95358022 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | 隨著醫療技術的進步、環境衛生的改善與人類追求健康生活型態的趨勢，全世界人類死亡率不斷逐年地下降中。但死亡率的下降不僅影響政府的社會福利政策，也影響到壽險公司對於未來的不確定性。例如在年金商品定價上，如果使用不適當的死亡率預測將會導致保險公司在未來現金流量上的不穩定，進而影響到公司的財務健全度。因此用來預估死亡率的模型便扮演著相當重要的角色。本研究首先透過Reduction Factor圖形觀察台灣、日本、美國、加拿大、英國與法國的歷年死亡率變動，之後再使用廣為人使用的Lee-Carter模型與其改善方法主成分分析方法(Principal Component Analysis, PCA)預估未來死亡率，最後再比較兩種方法在預測死亡率的表現。再透過計算年金商品與壽險商品的純保費部份，了解忽略死亡率變動趨勢所可能產生的影響。最後利用上述年金商品與壽險商品對於死亡率帶來的影響，討論保險公司在上述情形之下可以採取的最佳自然避險策略。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 1第一節 研究動機 1第二節 研究目標與研究架構 3第二章 文獻探討與模型介紹 5第一節 死亡率模型 5第二節 模型比較 9第三節 Lee-Carter 模型 10第四節 主成分分析 11第五節 長壽風險之風險管理 11第三章 實證與模擬分析 13第一節 資料與模型比較標準 13第二節 各國死亡率情形 16第三節 Lee-Carter模型的配適與預測 22第四節 主成分分析法的配適與預測 26第五節 分析結果的比較 34第四章 壽險與年金商品純保費之比較 39第一節 壽險保費的比較 40第二節 年金保費的比較 48第五章 自然避險策略 61第一節 方案假設與模擬 61第二節 台灣模擬結果 64第三節 各國結果比較 77第六章 結論 81第一節 結論 81參考文獻 84附錄 一 RF圖形 87附錄 二 Lee-Carter 參數結果 88附錄三 PCA配適迴歸線資料 94附錄四 保費高低估Contour圖形 100 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0095358022 | en_US |
| dc.subject (關鍵詞) | 自然避險策略 | zh_TW |
| dc.subject (關鍵詞) | Principal Component Analysis | en_US |
| dc.subject (關鍵詞) | Lee-Carter | en_US |
| dc.title (題名) | 死亡率改善模型的探討及保險商品自然避險策略之應用 | zh_TW |
| dc.type (資料類型) | thesis | en |
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