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題名 資產配置、監理寬容對人壽保險安定基金 保費之影響
Asset allocation and capital forbearance on the fair premium of ex-ante life insurance guarantee fund scheme
作者 蕭聿恩
Hsiao, Yuan
貢獻者 張士傑
蕭聿恩
Hsiao, Yuan
關鍵詞 資產配置
資本寬容
公平保費
risk-based premium
asset allocation
capital forbearance
日期 2011
上傳時間 1-Mar-2013 09:24:57 (UTC+8)
摘要 本篇論文主要探討不同風險因子對於壽險業安定基金保費之影響。首先建立一個評價安定基金保費之機制，此模型考慮壽險公司投資決策、負債組合、監理寬容以及市場不確定性。接著使用蒙地卡羅模擬不同風險因子變動之下的公平保費。其數值分析顯示壽險公司之權益組合占資產比例、槓桿、監理寬容期間以及監理標準皆對公平保費有正向之影響。
In this study, a valuation model is derived to price the fair premium in the insurance guarantee fund incorporating investment selection, liability portfolio, regulatory forbearance and market uncertainty. Then, Monte Carlo method is employed to measure the fair premium based on various important pricing factors. Finally, the numerical experiments and sensitivity analysis are conducted to investigate their impacts on the premiums. The results of our study indicate that the equity shares in the asset portfolio, the leverage ratio of the firm, the grace period and the tolerance of the capital threshold have the positive impacts on the risk-based premiums in the proposed ex-ante insurance guarantee fund scheme.
參考文獻 Bernard, C., Le Courtois, O., and Quittard-Pinon, F., 2005. Market value of life insurance contracts under stochastic interest rates and default risk, Insurance: Mathematics and Economics, 36, 499-516.

Bernard, C., Le Courtois, O., and Quittard-Pinon, F. 2006. A new procedure for pricing Parisian options. Journal of Derivatives 12 (4), 45-53

Chang, S.C., Wu, Y.C, and Hwang, Y.W, 2012. Asset allocation, early intervention and capital forbearance on the fair premium of ex-ante life insurance guarantee scheme. Working paper.

Chen, A., Broeders, D. and Koos, B., 2010. A utility-based comparison of pension funds and life insurance companies under regulatory constraints Insurance: Mathematics and Economics, Accepted 2011

Cox, J., Ingersoll, J., Ross, S., 1985. The Term Structure of Interest Rates. Econometrica53, 363-384.

Cummins, J.D., 1988. Risk-Based Premiums for Insurance Guaranty Funds. Journal of Finance 43, 593-607.

Grosen, A. and P. L. J rgensen , 2002. Life insurance liabilities at market value: an analysis of investment risk, bonus policy and regulatory intervention rules in a barrier option framework. Journal of Risk and Insurance, 69, 63-91.

Heath, D., R. Jarrow, and Morton, A., 1990. Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation. Journal of Financial and Quantitative Analysis, 25, 419-440.

Musiela, M. and M. Rutkowski, 1997. Martingale Methods in Financial Modeling, p.160-164

Oxera, 2007. Comparative analysis of existing schemes, analysis of problems and evaluation of options, Final report prepared for European Commission DG Internal Market and Services.

Plantin, G. and Rochet, J.C., 2007. When Insurers Go Bust: An Economic Analysis of the Role and Design of Prudential Regulation

Ronn, E. and A. Verma , 1986. Pricing Risk-Adjusted Deposit Insurance: An OptionBased Model, Journal of Finance 41, 871-895.

Vasicek, O., 1977. An Equilibrium Characterization of the Term Structure, Journal of Financial Economics 5, pp. 177-188.
描述 碩士
國立政治大學
風險管理與保險研究所
99358020
100
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099358020
資料類型 thesis
dc.contributor.advisor 張士傑zh_TW
dc.contributor.author (Authors) 蕭聿恩zh_TW
dc.contributor.author (Authors) Hsiao, Yuanen_US
dc.creator (作者) 蕭聿恩zh_TW
dc.creator (作者) Hsiao, Yuanen_US
dc.date (日期) 2011en_US
dc.date.accessioned 1-Mar-2013 09:24:57 (UTC+8)-
dc.date.available 1-Mar-2013 09:24:57 (UTC+8)-
dc.date.issued (上傳時間) 1-Mar-2013 09:24:57 (UTC+8)-
dc.identifier (Other Identifiers) G0099358020en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/57046-
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) 99358020zh_TW
dc.description (描述) 100zh_TW
dc.description.abstract (摘要) 本篇論文主要探討不同風險因子對於壽險業安定基金保費之影響。首先建立一個評價安定基金保費之機制，此模型考慮壽險公司投資決策、負債組合、監理寬容以及市場不確定性。接著使用蒙地卡羅模擬不同風險因子變動之下的公平保費。其數值分析顯示壽險公司之權益組合占資產比例、槓桿、監理寬容期間以及監理標準皆對公平保費有正向之影響。zh_TW
dc.description.abstract (摘要) In this study, a valuation model is derived to price the fair premium in the insurance guarantee fund incorporating investment selection, liability portfolio, regulatory forbearance and market uncertainty. Then, Monte Carlo method is employed to measure the fair premium based on various important pricing factors. Finally, the numerical experiments and sensitivity analysis are conducted to investigate their impacts on the premiums. The results of our study indicate that the equity shares in the asset portfolio, the leverage ratio of the firm, the grace period and the tolerance of the capital threshold have the positive impacts on the risk-based premiums in the proposed ex-ante insurance guarantee fund scheme.en_US
dc.description.tableofcontents 1.Introduction 1
2.Modeling the insurance guarantee scheme 5
2.1 Cox-Ingersoll-Ross model 5
2.2 underlying asset dynamics 6
2.3 Liability dynamics 8
2.4 Guaranty fund scheme with regulatory forbearance 8
3.Numerical illustration 12
3.1 parameter estimation 12
3.2 numerical outcomes 15
4.Conclusion 28
5.Reference 30		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099358020en_US
dc.subject (關鍵詞) 資產配置zh_TW
dc.subject (關鍵詞) 資本寬容zh_TW
dc.subject (關鍵詞) 公平保費zh_TW
dc.subject (關鍵詞) risk-based premiumen_US
dc.subject (關鍵詞) asset allocationen_US
dc.subject (關鍵詞) capital forbearanceen_US
dc.title (題名) 資產配置、監理寬容對人壽保險安定基金 保費之影響zh_TW
dc.title (題名) Asset allocation and capital forbearance on the fair premium of ex-ante life insurance guarantee fund schemeen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Bernard, C., Le Courtois, O., and Quittard-Pinon, F., 2005. Market value of life insurance contracts under stochastic interest rates and default risk, Insurance: Mathematics and Economics, 36, 499-516.

Bernard, C., Le Courtois, O., and Quittard-Pinon, F. 2006. A new procedure for pricing Parisian options. Journal of Derivatives 12 (4), 45-53

Chang, S.C., Wu, Y.C, and Hwang, Y.W, 2012. Asset allocation, early intervention and capital forbearance on the fair premium of ex-ante life insurance guarantee scheme. Working paper.

Chen, A., Broeders, D. and Koos, B., 2010. A utility-based comparison of pension funds and life insurance companies under regulatory constraints Insurance: Mathematics and Economics, Accepted 2011

Cox, J., Ingersoll, J., Ross, S., 1985. The Term Structure of Interest Rates. Econometrica53, 363-384.

Cummins, J.D., 1988. Risk-Based Premiums for Insurance Guaranty Funds. Journal of Finance 43, 593-607.

Grosen, A. and P. L. J rgensen , 2002. Life insurance liabilities at market value: an analysis of investment risk, bonus policy and regulatory intervention rules in a barrier option framework. Journal of Risk and Insurance, 69, 63-91.

Heath, D., R. Jarrow, and Morton, A., 1990. Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation. Journal of Financial and Quantitative Analysis, 25, 419-440.

Musiela, M. and M. Rutkowski, 1997. Martingale Methods in Financial Modeling, p.160-164

Oxera, 2007. Comparative analysis of existing schemes, analysis of problems and evaluation of options, Final report prepared for European Commission DG Internal Market and Services.

Plantin, G. and Rochet, J.C., 2007. When Insurers Go Bust: An Economic Analysis of the Role and Design of Prudential Regulation

Ronn, E. and A. Verma , 1986. Pricing Risk-Adjusted Deposit Insurance: An OptionBased Model, Journal of Finance 41, 871-895.

Vasicek, O., 1977. An Equilibrium Characterization of the Term Structure, Journal of Financial Economics 5, pp. 177-188.		zh_TW