| dc.contributor.advisor | 蔡政憲 | zh_TW |
| dc.contributor.author (Authors) | 陳志岳 | zh_TW |
| dc.creator (作者) | 陳志岳 | zh_TW |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 16:40:57 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 16:40:57 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 16:40:57 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0097358016 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49683 | - |
| 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) | 97358016 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 近年隨著油價、物價上漲所導致的通貨膨脹風險，壽險業者以增額型終身壽險來吸引潛在消費者。另外，由於醫療技術的進步，使得死亡率逐年改善，因此將造成保單在設計時可能將遭受到長壽風險的影響。本篇文章的主要目的即探討長壽風險對於保單責任準備金的影響，並以增額型終身壽險作為本文主要分析標的。首先建構死亡率模型(Lee-Carter模型)，用來配適並模擬死亡率，接著探討增額型終身壽險在各保單年度下之現金流量以及責任準備金的提存，進一步再引進不同的死亡率來探討其現金流量分佈情形與責任準備金之提存。本文研究結果發現，在保險公司未採用遞迴方式計算保費時，當繳費期間愈短、複利利率愈高以及投保年齡愈低時，保險公司所面臨之長壽風險愈大，其後在帶入各種不同死亡率模型，發現死亡改善率愈高，保險公司所面臨之長壽風險愈大，而保險公司在提存責任準備金時，並未考慮到死亡改善率的部分，此對保險公司的財務健全將造成隱憂，本文於此部分建議監理機關透過法規(RBC)的制訂，調整準備金提存的係數，以降低長壽風險對保險公司財務之衝擊。關鍵字：長壽風險、死亡率模型、增額型終身壽險、保單責任準備金、增額準備金、Lee-Carter Model以及RBC制度。 | zh_TW |
| dc.description.abstract (摘要) | With the improvement of medical technology, the life expectancy around the world is increasing year by year during the past decade. Therefore, the increasing whole life insurance policy is popular during these years because its benefits are escalating with time and policyholders think they could gain more benefits when they live longer. Like annuity policies, the increasing whole life insurance could also suffer from the longevity risk, which may have enormous impact on the financial statements of insurers. The purpose of this paper is to discuss the impact of longevity risk on reserves, based on increasing whole life insurance policy. First, we construct Lee-Carter model to fit and simulate mortality rate and assume different mortality improvements from the 2002 Taiwan Standard Ordinary Experience Mortality Table (2002TSO) for further comparisons. And then, we construct a simple model to analyze the cash flows of the increasing whole life policies based on the mortality rates we observed. By constructing a simple model and simulation, we find that if the insurance company does not correctly estimate longevity risk, the insurance company will lose money on the increasing whole life policies. In order to mitigate the insufficiency of life insurers for the increasing whole life policies, we try to provide some supervision suggestion from the view of the risk-based capital (RBC) requirements. We calculate the factor of insurance risk (C2) of RBC requirements because this factor represents the surplus needed to provide for excess claims over expected, both from random fluctuations and from inaccurate pricing for future levels of claims. Keywords: longevity risk, increasing whole life insurance policy, Lee-Carter model, risk-based capital (RBC). | en_US |
| dc.description.tableofcontents | 第壹章、研究動機與目的 1第貳章、文獻回顧 3第一節、死亡率模型 3第二節、長壽風險 5第參章、建構死亡率模型與複利增額型保單現金流量分析 7第一節、死亡率模型 7第二節、複利增額型保單之簡介 13第三節、複利增額型保單之問題--資產額份分析與準備金 14第四節、保單設計與死亡率模型對資產額份之影響 20第肆章、保費不足準備金與增額準備金 29第伍章、C2保險風險值之分析 35第一節、風險資本額(RBC)制度 35第二節、C2保險風險係數試算 37第三節、以遞迴方式計算保費 42第四節、小結 44第陸章、結論與建議 45第一節、結論 45第二節、建議 46附錄 47一、增額型終身壽險保單統計表 47二、Lee-Carter死亡率模型配適資料 49三、保險金額 52四、資產額份分析 53五、準備金 55六、台灣RBC之保險風險衡量與係數 68參考文獻 71表目錄表 1 MAPE指標（Lewis, 1982） 9表 2 參數設定 17表 3 保單價值準備金 17表 4 身故之實際保險給付 18表 5 長壽風險對增額型保單之影響 34表 6 C2保險風險係數估計 40表 7 C2保險風險係數估計 43表 8 C2保險風險係數估計 43圖目錄圖 1 以年齡組為間隔的MAPE 9圖 2 以年代為間隔的MAPE 10圖 3 之時間趨勢圖 11圖 4 之時間趨勢圖 11圖 5 各死亡率模型下之死亡率分布圖 12圖 6 傳統保單與複利增額保單淨現金流量比較圖 19圖 7 傳統保單與複利增額保單資產額份比較圖 20圖 8 複利增額保單在不同投資報酬率下之資產額份圖 20圖 9 繳費期間對資產額份分布之影響 (35歲投保) 22圖 10 各死亡改善率下之資產額份 (6年繳費) 23圖 11 各死亡改善率下之資產額份 (10年繳費) 23圖 12 各死亡改善率下之資產額份 (20年繳費) 24圖 13 投保年齡對資產額份分布之影響 (20年繳費) 25圖 14 各死亡改善率下之資產額份(5歲投保) 25圖 15 各死亡改善率下之資產額份(65歲投保) 26圖 16 複利利率對資產額份分布之影響 (35歲投保、20年繳費) 27圖 17 各死亡改善率下之資產額份(4%,7%) 28圖 18 各死亡改善率下之資產額份(2%,5%) 28圖 19 各項準備金 (投保年齡35歲，繳費期間20年) 31圖 20 各項準備金 (投保年齡35歲，繳費期間20年，利率2.25%) 32圖 21 不同利率下之增額準備金比較 32圖 22 各死亡率模型下增額準備金之比較 33 | zh_TW |
| dc.format.extent | 848572 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097358016 | en_US |
| dc.subject (關鍵詞) | 長壽風險 | zh_TW |
| dc.subject (關鍵詞) | 死亡率模型 | zh_TW |
| dc.subject (關鍵詞) | 增額型終身壽險 | zh_TW |
| dc.subject (關鍵詞) | 保單責任準備金 | zh_TW |
| dc.subject (關鍵詞) | 增額準備金 | zh_TW |
| dc.subject (關鍵詞) | Lee-Carter Model | zh_TW |
| dc.subject (關鍵詞) | RBC制度 | zh_TW |
| dc.subject (關鍵詞) | longevity risk | en_US |
| dc.subject (關鍵詞) | increasing whole life insurance policy | en_US |
| dc.subject (關鍵詞) | Lee-Carter model | en_US |
| dc.subject (關鍵詞) | risk-based capital (RBC) | en_US |
| dc.title (題名) | 長壽風險對保單責任準備金之影響－以增額型終身壽險為例 | zh_TW |
| dc.title (題名) | The effect of longevity risk on reserves – based on increasing whole life insurance | en_US |
| dc.type (資料類型) | thesis | en |
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