| dc.contributor | 風管系 | en_US |
| dc.creator (作者) | 詹芳書;蔡政憲 | zh_TW |
| dc.creator (作者) | Chan, Linus Fang-Shu ; Tsai, Chenghsien | en_US |
| dc.date (日期) | 2012-03 | en_US |
| dc.date.accessioned | 12-三月-2014 16:03:50 (UTC+8) | - |
| dc.date.available | 12-三月-2014 16:03:50 (UTC+8) | - |
| dc.date.issued (上傳時間) | 12-三月-2014 16:03:50 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/64606 | - |
| dc.description.abstract (摘要) | Life insurers need to employ effective duration to measure the interest rate risk of policy reserves because the surrender rate depends on interest rates, which makes cash flows interest-rate-sensitive. This study uses a general surrender rate model and CIR interest rate model, besides assuming different interest rate sensitivities according to product characteristics. Products analyzed include term life insurance, endowment and pure endowment. We first calculate the effective durations of these products’ reserves by policy years. Then we calculate effective durations of reserves aggregated by products, and across products. Our results identify a new pattern of effective durations of policy reserves with time to maturity on three types of policies not reported by Tsai (2009). Furthermore, the gap between duration of usingTreasury bonds to match policy reserves broadens as the interest rate falls. | en_US |
| dc.format.extent | 120 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 財務金融學刊, 20(1), 33-62 | en_US |
| dc.subject (關鍵詞) | effective duration; policy reserve; aggregate reserves | en_US |
| dc.title (題名) | 壽險保單準備金之有效存續期間分析 | zh_TW |
| dc.title.alternative (其他題名) | Effective Duration Analyses on the Policy Reserves of Life Insurance | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.6545/JFS.2012.20(1).2 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.6545/JFS.2012.20(1).2 | en_US |
