| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.author (Authors) | 張云瀞 | zh_TW |
| dc.creator (作者) | 張云瀞 | zh_TW |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 18-Sep-2009 20:20:54 (UTC+8) | - |
| dc.date.available | 18-Sep-2009 20:20:54 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-Sep-2009 20:20:54 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0943580241 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36975 | - |
| 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) | 94358024 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 最低保證提領附約(Guaranteed Minimum Withdrawal Benefit；GMWB)為變額年金保險之創新型態附約，附有最低保證提領附約之契約，以期初投資總額計算最低保證提領金額，提供被保險人規避連結投資標的物而產生之資產跌價損失風險，給予被保險人於保險契約到期前提領最低保證金額。 本研究依據Milevsky and Salisbury (2006)保證提領附約計價模型及基本假設架構，將附約分解為確定年金與亞式匯率選擇權契約，利用蒙地卡羅方法，計算隱含之避險成本，以2007年台灣定存利率實證分析及對照，探究保險人合理避險成本，藉由保證提領率、無險利率、連結標的物波動度三種參數進行敏感度分析，歸納參數對避險成本之影響，提供保險機構於發行最低保證提領附約時，避險成本之參考依據。 由數值計算結果歸納發現，最低保證提領附約之避險成本與保證提領率、無險利率與標的物波動度三項參數有關，摘要如下：1. 無險利率與避險成本呈反向關係，給定銀行利率2.34%，每期保證提領率7%，連結標的波動度20%時，保險人之避險成本為270基準點。2. 標的物波動度與避險成本呈正向關係，於給定本研究條件下，連結標的物波動度為30%時，保險人之避險成本顯著增加為600基準點。3. 保證提領率與避險成本呈正向關係，於給定本研究條件下，模擬數值結果顯示，保證提領率每增加0.5%，保險人避險成本將再增加20基準點。 | zh_TW |
| dc.description.tableofcontents | 第一章 緒論 1.1 研究背景 1.2 研究動機與目標 1.3 研究範圍與步驟 1.3.1 研究範圍 1.3.2 研究步驟 1.4 研究架構 第二章 相關文獻及理論探討 2.1 附有最低保證之保險商品評價 2.1.1 評價模型 2.1.2 隨機利率模型 2.1.3 新奇選擇權之置換 第三章 最低保證提領附加條款 3.1 最低保證條款 3.1.1 數值例子 3.2 模型建立 3.2.1 基本假設及參數設定 3.2.2 最低保證提領之帳戶價值模式定義 3.3 求解最低保證提領附約費用率 3.3.1 蒙地卡羅模擬 3.4 實證模擬結果 3.4.1 結果分析與討論 第四章 結論與後續研究 4.1 結論 4.2 後續研究之建議 參考文獻附錄 | zh_TW |
| dc.format.extent | 46817 bytes | - |
| dc.format.extent | 64422 bytes | - |
| dc.format.extent | 293552 bytes | - |
| dc.format.extent | 65454 bytes | - |
| dc.format.extent | 295137 bytes | - |
| dc.format.extent | 202525 bytes | - |
| dc.format.extent | 603053 bytes | - |
| dc.format.extent | 244740 bytes | - |
| dc.format.extent | 250632 bytes | - |
| dc.format.extent | 188181 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0943580241 | en_US |
| dc.subject (關鍵詞) | 最低保證 | zh_TW |
| dc.subject (關鍵詞) | 蒙地卡羅 | zh_TW |
| dc.subject (關鍵詞) | GMWB | en_US |
| dc.title (題名) | 最低保證提領附約之評價與避險成本分析 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | Andersen, L., J. Andreasen, and R. Brotherton-Ratcliffe, 1998, The Passport Option, Journal of Computational Finance, 1(3): 15-36. | zh_TW |
| dc.relation.reference (參考文獻) | Bolye, P. 1977, A Monte Carlo Approach. Journal of Financial Economics, 4, 323-338. | zh_TW |
| dc.relation.reference (參考文獻) | Brennan, M. J., and E.S. 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) | Delbaen, F., and M. Yor, 2002, Passport Options, Mathematical Finance, 12(4): 299-328. | zh_TW |
| dc.relation.reference (參考文獻) | Gerber, H. U., and E. S. W. Shiu, 1994, Option Pricing by Esscher Transforms, Transactions of the Society of Actuaries, 36: 99-140. | zh_TW |
| dc.relation.reference (參考文獻) | Hardy, M.R. 2000, Hedging and Reserving for Single-Premium Segregated Fund Contracts. North American Actuarial Journal, 4(2): 63-74. | zh_TW |
| dc.relation.reference (參考文獻) | Hardy, M., 2003, Investment Guarantees, Hoboken, N.J.: John Wiley and Sons. | zh_TW |
| dc.relation.reference (參考文獻) | Henderson, V., and D. Hobson, 2000, Local Time, Coupling and the Passport Option, Finance and Stochastic, 4(1): 69-80. | zh_TW |
| dc.relation.reference (參考文獻) | Henderson, V., and D. Hobson, 2001, Passport Options with Stochastic Volatility, Applied Mathematical Finance, 8(2): 97-118. | zh_TW |
| dc.relation.reference (參考文獻) | Ho, T., and S. Lee, 1986, Term Structure Movements and Pricing Interest Rates Contingent Claims. Journal of Finance, 41, 1011-1029. | zh_TW |
| dc.relation.reference (參考文獻) | Hull, J. C., 1997, Options, Futures and Other Derivatives, 3rd edition, Upper Saddle River, NJ: Prentiss-Hall Inc. | zh_TW |
| dc.relation.reference (參考文獻) | Hyer, T., A. Lipton-Lifschitz, and D. Pugachevsky, 1997, Passport to Success, Risk, 10(9): 127-131. | zh_TW |
| dc.relation.reference (參考文獻) | Kristian R. Miltersen and Svein-Arne Persom,1999, Pricing rate of return guarantees in a Heath-Jarrow-Morton Framework, Insurance: Mathematics & Economics 25 (3): 307-325. | zh_TW |
| dc.relation.reference (參考文獻) | Merton, R. C., 1973, Theory of Rational Option Pricing, Bell Journal of Economics and Management Science, 4(1): 141-183. | zh_TW |
| dc.relation.reference (參考文獻) | Milevsky, M. A., and S. E. Posner, 2001, The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds, Journal of Risk and Insurance, 68(1): 93-128. | zh_TW |
| dc.relation.reference (參考文獻) | Milevsky, M. A., and S. D. Promislow, 2001, Mortality Derivatives and the Option to Annuitize, Insurance: Mathematics and Economics, 29: 299-318. | zh_TW |
| dc.relation.reference (參考文獻) | Milevsky, M. A., and T. S. Salisbury, (2001), The Real Option to Lapse a Variable Annuity: Can Surrender Charges Complete the Market Conference Proceedings of the 11th Annual International AFIR Colloquium, Sept. 2001, p. 537. | zh_TW |
| dc.relation.reference (參考文獻) | Moshe A. Mievsky, Thomas S.Salisbury, 2006, Financial valuation of guaranteed minimum withdrawal benefits, Insurance: Mathematics and Economics 39:135-149. | zh_TW |
| dc.relation.reference (參考文獻) | Nagayama, I., 1999, Pricing of Passport Options, Journal of Mathematical Science, 5: 747-785. | zh_TW |
| dc.relation.reference (參考文獻) | Nielsen, J.A., K. Sandmann, 1995, Equity-Linked Life Insurance: a Model with Stochastic Interest Rates. Insurances: Mathematics and Economics, 16,225-253. | zh_TW |
| dc.relation.reference (參考文獻) | Nonnenmacher, D.J.F., J. Ruβ, 1998, Arithmetic Averaging Equity-Linked Life Insurance Policies in Germany. Insurances: Mathematics and Economics, 25, 23-35. | zh_TW |
| dc.relation.reference (參考文獻) | Persson, S. A., K. K. Aase, 1997, Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products. Journal of Risk and Insurance, Vol.64, No. 4, 599-617. | zh_TW |
| dc.relation.reference (參考文獻) | Tiong, S., 1998, Valuing Equity-Linked Annuities. North American Actuarial Journal, Vol. 4, No. 4, 149-170. | zh_TW |
| dc.relation.reference (參考文獻) | Tiong, S., 2000, Valuing Equity-Indexed Annuities, North American Actuarial Journal 4(4): 149-170. | zh_TW |
| dc.relation.reference (參考文獻) | Shreve, S. E., and J. Vecer, 2000, Options on a Traded Account: Vacation Calls, Vacation Puts and Passport Options, Finance and Stochastic, 4: 255-274. | zh_TW |
| dc.relation.reference (參考文獻) | Svein-Arne Persson, Knut K. Ase, 1997,Valuation of the Minimum Guarantees Return Embedded in Life Insurance Products, Journal of Risk and Insurance 64 (4): 599-617. | zh_TW |
| dc.relation.reference (參考文獻) | Wilmott, P., S. Howison, and J. DeWynne, (1995), Mathematics of Financial Derivatives, Cambridge, England: Cambridge. | zh_TW |
