| dc.contributor.advisor | 黃泓智 | zh_TW |
| dc.contributor.author (Authors) | 李佳穆 | zh_TW |
| dc.creator (作者) | 李佳穆 | zh_TW |
| dc.date (日期) | 2007 | en_US |
| dc.date.accessioned | 8-Dec-2010 16:45:04 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 16:45:04 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 16:45:04 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0953580231 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49687 | - |
| 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) | 95358023 | zh_TW |
| dc.description (描述) | 96 | zh_TW |
| dc.description.abstract (摘要) | 目前國際上已對於保險業的清償能力、會計原理、監理制度及風險管理等相關領域投入許多的努力。而歐盟國家所發展的Solvency II 即是未來保險監理制度的主要趨勢。本研究整理相關的文獻以及研究報告書，以歐盟CEIOPS機構所提出的量化影響研究（QIS）和瑞士FOPI機構的清償能力測試（SST）為主，簡述Solvency II 的相關內容。且依據Solvency II 量化的方式以及公平價值的概念，而利用附最低保證的GMDB與GMMB商品而作範例說明。分別在風險中立測度下，衡量最適估計（Best Estimate）、風險邊際（Risk Margin）以及清償資本額要求（SCR）。至於風險邊際，則是使用百分位數法與資金成本法而作比較。主要研究結果如下：一、 附保證商品在低利率的經濟環境時，會迫使保險公司計提較多的資本要求。二、 利率在固定假設下，所計提的資本額度高於利率為隨機的假設。主要原因在於本文所選定的利率模型為CIR Model，造成利率具有回歸到歷史平均水準的特性，也因此讓保單持有人所擁有的「賣權」成為價外（Out of the Money）選擇權。三、 資金成本法計提較多負債項目的風險邊際，而減少股東權益項目的清償資本額的要求。原因在於較能保護保單持有人，讓原保險公司能夠順利被接管（Take Over）而保障業務的持續性（Ongoing Basis） | zh_TW |
| dc.description.tableofcontents | 第一章 前言.....................................1第一節 研究背景..................................1第二節 研究動機與目的.............................2第二章 相關文獻探討...............................4第三章 SOLVENCY II 與量化要求 ....................7第一節 SOLVENCY II 的發展過...................... 7第二節 SOLVENCY II 的架構說...................... 9第三節 最適估計................................. 11第四節 風險邊際................................. 16第五節 清償資本額要求............................ 19第四章 範例說明與研究方法...... ...................24第一節 保障身故最低給付與保障滿期最低給付........... 24第二節 模型設定與精算假設......................... 25第三節 模擬流程................................. 30第五章 結果分析與比較............................ 34第一節 百分位數法............................... 34第二節 資金成本法............................... 39第六章 結論與建議............................... 45參考文獻....................................... 47附錄 QIS3 風險分類的詳細名詞..................... 50 | 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/#G0953580231 | en_US |
| dc.subject (關鍵詞) | Solvency II | zh_TW |
| dc.subject (關鍵詞) | 最適估計 | zh_TW |
| dc.subject (關鍵詞) | 風險邊際 | zh_TW |
| dc.title (題名) | 附保證商品在Solvency II 的資本評價 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 英文文獻 | zh_TW |
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| dc.relation.reference (參考文獻) | 22. CEIOPS, “QIS2Technical Specification”, 2006 | zh_TW |
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| dc.relation.reference (參考文獻) | 中文文獻 | zh_TW |
| dc.relation.reference (參考文獻) | 一. 林永和，「Solvency II 與風險管理」，風險與保險雜誌，中央再保險公司2007出版，No.12, 7-13 | zh_TW |
| dc.relation.reference (參考文獻) | 二. 張士傑，「Solvency II：整合型態風險管理的保險監理架構」，風險與保險雜誌，中央再保險公司2007出版，No.12, 2-6 | zh_TW |
| dc.relation.reference (參考文獻) | 三. 張少彥，「變額年金投資保證之風險評估：Lee-Carter模型之應用」，2007 | zh_TW |
| dc.relation.reference (參考文獻) | 四. 黃芳文，「歐盟Solvency II 監理制度」，保險財務評估與監理，財團法人保險事業發展中心2007出版，241-264 | zh_TW |
| dc.relation.reference (參考文獻) | 五. 楊曉文，張孝旭，「勞退新制下變額年金保險之收益保證風險評估與資本適足性研究」，風險管理學報，第七卷第三期2005，301-329 | zh_TW |
| dc.relation.reference (參考文獻) | 六. 葉典嘉，「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」，2007 | zh_TW |
