學術產出-Theses
Article View/Open
Publication Export
-
題名 脫退率模型之建構與應用―台灣壽險資料
Establishment and Application of Lapse Rate Model作者 彭文慧
Peng,Wen Hui貢獻者 黃泓智
彭文慧
Peng,Wen Hui關鍵詞 脫退率
保單年度
利差
準備金
lapse rate
policy year
interest rate difference
reserve日期 2011 上傳時間 30-Oct-2012 11:24:36 (UTC+8) 摘要 本研究以保險事業發展中心之資料分析各種不同因子如年度、性別、保額、有無體檢、保費繳別、保單年度及利差、利率等對脫退率之影響，並將其中較具顯著影響的因子納入脫退率模型之建立，期望能藉此模型準確估計台灣壽險公司生死合險、終身壽險以及定期壽險之脫退率，進而幫助壽險公司之財務規劃。 自本研究之分析發現其中最具影響力之因子為保單生效後之保單年度，因此以此為主軸建立脫退率模型，接著，亦考量利差以及利率所呈現的趨勢於其中分別建立保單年度利差模型以及保單年度利率模型，此外，更完整考量本研究中脫退率相關因素，以羅吉斯迴歸方法建立模型。最後將此四種模型應用於壽險公司準備金之提存，以生死合險為例模擬公司現金流量，發現準備金之分配如同Tsai et al.(2002)受利率風險影響甚鉅，而加入本研究所建立之四種脫退率模型模擬後，反而減少了公司未來所須面臨的利率風險，其中又以保單年度模型影響最大，而第四種脫退率模型不同於Tsai et al.根據台灣壽險經驗加入所有具影響之因素，其模擬結果介於保單年度模型以及保單年度利率模型間，可發現考量因素之不同對脫退率影響甚鉅，繼而影響準備金之提存。
In this article, we focus on the causes and the features of lapse rate including year, sex, size, underwriting method, premium payment mode, policy year, interest rate and interest rate difference by collecting and analyzing the empirical data of endowment, whole life insurance and term life insurance in Taiwan from Taiwan Insurance Institute. Then we take factors that have effect with lapse rate into account to establish model, and we hope to accurately estimate the lapse rate of endowment, whole life insurance and term life insurance in Taiwan by these models, and assist the life insurance companies’ financial decision making.After analyzing, we find the most effective factor of this study is the policy year, which means the year after issuing, so we take this one as our primary consideration of our lapse rate model. Then we add the interest rate difference and interest rate in the further two models. Beside this, we further consider the important factors in the part of analysis and put it in the fourth model by using Logistic Regression Model. Finally, we apply these four models to the policy reserve of life insurance company by taking endowment policy as an example simulating the cash flow. We find that the results was same as Tsai et al. (2002) that distribution of policy reserve is strongly affected by interest rate risk, but can decrease interest rate risk the company have to face in the future by adding our lapse rate models, especially the policy year model, and the fourth lapse rate model which count into most factors was not the same as Tsai et al. producing result between policy year model and the policy- interest rate model. From the results of all the lapse rate model. We can know that considering different factors in the model will bring such distinct contribution amount of reserve for life insurance company.參考文獻 1. Buck, N. F. 1960. First Year Lapse and Default Rates. Transactions, of the Society of Actuaries 12(33): 258–93; Discussions:294–314.2. Cox, S. H., P. D. Laporte, S. R. Linney, and L. Lombardi, 1991, Single-Premium Deferred Annuity Persistency Study, Transactions of Society of Actuaries Reports,281-332.3. Cathy Ho, Nancy S. Muise, 2011, U.S. Individual Life Insurance Persistancy, Life Insurance Marketing and Research Association.4. Cox, S. H., and Y. Lin, 2006, Annuity Lapse Rate Modeling: tobit or not tobit?, Society of Actuaries5. Cummins, J.D., 1975, An Econometric model of The Life Insurance Sector in The U.S. Economy, Lexington Books, Lexington, MA.6. Dar, A., and C. Dodds, 1989, Interest Rates, the Emergency Fund Hypothesis and Saving through Endowment Policies: Some Empirical Evidence for the U.K., Journal of Risk and Insurance, 56(3):415–433.7. Hanming Fangy, Edward Kungz, 2011, Why Do Life Insurance Policyholders Lapse?The Roles of Income, Health and Bequest Motive Shocks, working paper.8. Kagraoka, Y., 2005, Modeling Insurance Surrenders by the Negative Binomial Model, Working paper.9. Kim, C., 2005a, Modeling Surrender and Lapse Rates with Economic Variables, North American Actuarial Journal, 9(4):56–70.10. Kim, C., 2005b, Report to the policyholder behavior in the tail subgroups project, Society of Actuaries.11. Kiesenbauer, D., 2012, Main determinants of lapse in the German life insurance industry, North American Actuarial Journal.12. Martin Eling, Dieter Kiesenbauer, 2011, What policy features determine life insurance lapse? An analysis of the German market. Working paper on risk management and insurance.13. Outerville, J. Francois, 1990, Whole-life Insurance Lapse Rates and the Emergency Fund Hypothesis. Insurance: Mathematics and Economics, 9, 249-255.14. Richardson, C. F. B., and J. M. Hartwell. 1951. Lapse Rates.Transactions of the Society of Actuaries 3(7): 338–74; Discussions:375–96.15. Renshaw, A. E., and S. Haberman, 1986, Statistical Analysis of Life Assurance Lapses, Journal of the Institute of Actuaries, 113:459–497.16. Renshaw, A. E., and S. Haberman, 1996, Generalized linear models and actuarial science, The Statistician, 45(4):407–436.17. Samuel H. COX, Paul D. Laporte, Steven R. Linney, and Lucian Lombardi, Single-premiun differed-annuity persistancy study, Transactions of Society of Actuaries Reports,281-332.18. Tsai, C. , W. Kuo, and W. Chen, 2002, Early Surrender and the Distribution of PolicyReserves, Insurance: Mathematics and Economics, 31(3), 429-445.19. Tsai, C. , W. Kuo, and W. Chen, 2003, An Empirical Study on the Lapse Rate: the Cointegration Approach, The Journal of Risk and Insurance, 70(3), 489–508.20. Tsai, C., W. Kuo, and D. Mi-Hsiu Chiang, 2009, TheDistribution of Policy ReservesConsidering The Policy-Year Structures of Surrender Rates and Expense Ratios, TheJournal of Risk and Insurance, 76(4), 909-931. 描述 碩士
國立政治大學
風險管理與保險研究所
99358006
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099358006 資料類型 thesis dc.contributor.advisor 黃泓智 zh_TW dc.contributor.author (Authors) 彭文慧 zh_TW dc.contributor.author (Authors) Peng,Wen Hui en_US dc.creator (作者) 彭文慧 zh_TW dc.creator (作者) Peng,Wen Hui en_US dc.date (日期) 2011 en_US dc.date.accessioned 30-Oct-2012 11:24:36 (UTC+8) - dc.date.available 30-Oct-2012 11:24:36 (UTC+8) - dc.date.issued (上傳時間) 30-Oct-2012 11:24:36 (UTC+8) - dc.identifier (Other Identifiers) G0099358006 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54596 - 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) 99358006 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 本研究以保險事業發展中心之資料分析各種不同因子如年度、性別、保額、有無體檢、保費繳別、保單年度及利差、利率等對脫退率之影響，並將其中較具顯著影響的因子納入脫退率模型之建立，期望能藉此模型準確估計台灣壽險公司生死合險、終身壽險以及定期壽險之脫退率，進而幫助壽險公司之財務規劃。 自本研究之分析發現其中最具影響力之因子為保單生效後之保單年度，因此以此為主軸建立脫退率模型，接著，亦考量利差以及利率所呈現的趨勢於其中分別建立保單年度利差模型以及保單年度利率模型，此外，更完整考量本研究中脫退率相關因素，以羅吉斯迴歸方法建立模型。最後將此四種模型應用於壽險公司準備金之提存，以生死合險為例模擬公司現金流量，發現準備金之分配如同Tsai et al.(2002)受利率風險影響甚鉅，而加入本研究所建立之四種脫退率模型模擬後，反而減少了公司未來所須面臨的利率風險，其中又以保單年度模型影響最大，而第四種脫退率模型不同於Tsai et al.根據台灣壽險經驗加入所有具影響之因素，其模擬結果介於保單年度模型以及保單年度利率模型間，可發現考量因素之不同對脫退率影響甚鉅，繼而影響準備金之提存。 zh_TW dc.description.abstract (摘要) In this article, we focus on the causes and the features of lapse rate including year, sex, size, underwriting method, premium payment mode, policy year, interest rate and interest rate difference by collecting and analyzing the empirical data of endowment, whole life insurance and term life insurance in Taiwan from Taiwan Insurance Institute. Then we take factors that have effect with lapse rate into account to establish model, and we hope to accurately estimate the lapse rate of endowment, whole life insurance and term life insurance in Taiwan by these models, and assist the life insurance companies’ financial decision making.After analyzing, we find the most effective factor of this study is the policy year, which means the year after issuing, so we take this one as our primary consideration of our lapse rate model. Then we add the interest rate difference and interest rate in the further two models. Beside this, we further consider the important factors in the part of analysis and put it in the fourth model by using Logistic Regression Model. Finally, we apply these four models to the policy reserve of life insurance company by taking endowment policy as an example simulating the cash flow. We find that the results was same as Tsai et al. (2002) that distribution of policy reserve is strongly affected by interest rate risk, but can decrease interest rate risk the company have to face in the future by adding our lapse rate models, especially the policy year model, and the fourth lapse rate model which count into most factors was not the same as Tsai et al. producing result between policy year model and the policy- interest rate model. From the results of all the lapse rate model. We can know that considering different factors in the model will bring such distinct contribution amount of reserve for life insurance company. en_US dc.description.tableofcontents 摘要 II目錄 IV表目錄 V圖目錄 VII第一章緒論 1第一節 研究動機與目的 1第二節 研究架構 1第二章 文獻探討 2第三章 資料敘述與分析 4第一節 資料敘述 4第二節 資料分析 4第四章 模型建構 28第一節 保單年度模型 28第二節 保單年度利差模型 31第三節 保單年度利率模型 31第四節 羅吉斯迴歸 32第五章 脫退率於準備金之應用 34第一節 公司現金流量之模擬 34第二節 數值結果 35第六章 結論與建議 37參考文獻 39附錄 41 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099358006 en_US dc.subject (關鍵詞) 脫退率 zh_TW dc.subject (關鍵詞) 保單年度 zh_TW dc.subject (關鍵詞) 利差 zh_TW dc.subject (關鍵詞) 準備金 zh_TW dc.subject (關鍵詞) lapse rate en_US dc.subject (關鍵詞) policy year en_US dc.subject (關鍵詞) interest rate difference en_US dc.subject (關鍵詞) reserve en_US dc.title (題名) 脫退率模型之建構與應用―台灣壽險資料 zh_TW dc.title (題名) Establishment and Application of Lapse Rate Model en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 1. Buck, N. F. 1960. First Year Lapse and Default Rates. Transactions, of the Society of Actuaries 12(33): 258–93; Discussions:294–314.2. Cox, S. H., P. D. Laporte, S. R. Linney, and L. Lombardi, 1991, Single-Premium Deferred Annuity Persistency Study, Transactions of Society of Actuaries Reports,281-332.3. Cathy Ho, Nancy S. Muise, 2011, U.S. Individual Life Insurance Persistancy, Life Insurance Marketing and Research Association.4. Cox, S. H., and Y. Lin, 2006, Annuity Lapse Rate Modeling: tobit or not tobit?, Society of Actuaries5. Cummins, J.D., 1975, An Econometric model of The Life Insurance Sector in The U.S. Economy, Lexington Books, Lexington, MA.6. Dar, A., and C. Dodds, 1989, Interest Rates, the Emergency Fund Hypothesis and Saving through Endowment Policies: Some Empirical Evidence for the U.K., Journal of Risk and Insurance, 56(3):415–433.7. Hanming Fangy, Edward Kungz, 2011, Why Do Life Insurance Policyholders Lapse?The Roles of Income, Health and Bequest Motive Shocks, working paper.8. Kagraoka, Y., 2005, Modeling Insurance Surrenders by the Negative Binomial Model, Working paper.9. Kim, C., 2005a, Modeling Surrender and Lapse Rates with Economic Variables, North American Actuarial Journal, 9(4):56–70.10. Kim, C., 2005b, Report to the policyholder behavior in the tail subgroups project, Society of Actuaries.11. Kiesenbauer, D., 2012, Main determinants of lapse in the German life insurance industry, North American Actuarial Journal.12. Martin Eling, Dieter Kiesenbauer, 2011, What policy features determine life insurance lapse? An analysis of the German market. Working paper on risk management and insurance.13. Outerville, J. Francois, 1990, Whole-life Insurance Lapse Rates and the Emergency Fund Hypothesis. Insurance: Mathematics and Economics, 9, 249-255.14. Richardson, C. F. B., and J. M. Hartwell. 1951. Lapse Rates.Transactions of the Society of Actuaries 3(7): 338–74; Discussions:375–96.15. Renshaw, A. E., and S. Haberman, 1986, Statistical Analysis of Life Assurance Lapses, Journal of the Institute of Actuaries, 113:459–497.16. Renshaw, A. E., and S. Haberman, 1996, Generalized linear models and actuarial science, The Statistician, 45(4):407–436.17. Samuel H. COX, Paul D. Laporte, Steven R. Linney, and Lucian Lombardi, Single-premiun differed-annuity persistancy study, Transactions of Society of Actuaries Reports,281-332.18. Tsai, C. , W. Kuo, and W. Chen, 2002, Early Surrender and the Distribution of PolicyReserves, Insurance: Mathematics and Economics, 31(3), 429-445.19. Tsai, C. , W. Kuo, and W. Chen, 2003, An Empirical Study on the Lapse Rate: the Cointegration Approach, The Journal of Risk and Insurance, 70(3), 489–508.20. Tsai, C., W. Kuo, and D. Mi-Hsiu Chiang, 2009, TheDistribution of Policy ReservesConsidering The Policy-Year Structures of Surrender Rates and Expense Ratios, TheJournal of Risk and Insurance, 76(4), 909-931. zh_TW
