1. NCCU Academic Hub
  2. 學術產出
  3. College of Commerce
  4. Theses
  5. Item

學術產出-Theses

Article View/Open

Publication Export

Google ScholarTM

政大圖書館

Citation Infomation

  • No doi shows Citation Infomation
題名 建構台灣壽險業解約率期限結構
Modeling the Term Structures of Lapse Rates in Taiwan.
作者 杜於叡
貢獻者 蔡政憲
杜於叡
關鍵詞 解約率
主成分分析
ARMA模型
期限結構
lapse rate
principle component analysis
ARMA model
term structure
日期 2013
上傳時間 14-Jul-2014 11:32:19 (UTC+8)
摘要 　　過去有相當多的文獻針對解約率建立模型，但由於資料取得之困難，鮮少文獻針對不同保單年度之解約率進行分析，本研究將以台灣壽險業資料分析不同保單年度之解約率行為，期望能找出解約率之期限結構，提供壽險業者訂價或風險管理之參考依據。
　　本研究使用台灣壽險業1987年至2011年間之生死合險及終身壽險資料，透過資料分析顯示兩險種之解約率關聯性不大，且應將繳別分為三類進行分析，分別為不分繳別、月繳及年繳和半年繳及季繳三類，針對各保單年度進行主成分分析，結果顯示皆需6至8個主成分方可達到90%之解釋力，並透過ARMA模型檢驗選定之主成分與總體經濟變數間之關聯性，進而觀察是否符合利率假說及緊急資金假說，最後透過VAR模型或ARMA模型模擬總體經濟變數和各主成分之分數，並利用主成分分析之結果將主成分分數轉換回保單年度變數，完成各保單年度解約率之模擬，建構出台灣壽險業解約率之期限結構。
參考文獻 Bai, J., Ng, S., 2004. A PANIC attack on unit roots and cointegration. Econometrica 72, 1127-1177.
Belth, J.M., 1968. The Impact of lapse rates on life insurance prices. The Journal of Risk and Insurance 35, 17-34.
Carson, J.M., Dumm, R.E., 1999. Insurance company-level determinants of life insurance product performance. Journal of Insurance Regulation 18, 195-206.
Cox, S.H., Laporte, P.D., Linney, S.R., Lombardi, L., 1992. Single-premium deferred annuity persistency study. Transactions of Society of Actuaries Reports, pp. 281–332.
Dar, A., Dodds, C., 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, 415-433.
Fier, S.G., Liebenberg, A.P., 2013. Life insurance lapse behavior. North American Actuarial Journal 17, 153-167.
Jiang, S., 2010. Voluntary termination of life insurance policies. North American Actuarial Journal 14, 369-380.
Kiesenbauer, D., 2012. Main determinants of lapse in the German life insurance industry. North American Actuarial Journal 16, 52-73.
Kim, C., 2005a. Modeling surrender and lapse rates with economic variables. North American Actuarial Journal 9, 56-70.
Kim, C., 2005b. Report to the policyholder behavior in the German life insurance industry. North American Actuarial Journal.
Kuo, W., Tsai, C., Chen, W., 2003. An empirical study on the lapse rate: the cointegration approach. The Journal of Risk and Insurance 70, 489-508.
Outreville, J.F., 1990. Whole-life insurance lapse rates and the emergency fund hypothesis. Insurance: Mathematics and Economics 9, 249–255.
Renshaw, A. E., Haberman, S., 1986. Statistical analysis of life assurance lapses. Journal of the Institute of Actuaries 113, 459-497.
Richardson, C.F.B., Hartwell, J.M., 1951. Lapse rates. Transactions of Society of Actuaries 3, No.7.
Russell, D.T., Fier, S.G., Carson, J.M., Dumm, R.E., 2013. An empirical analysis of life insurance policy surrender activity. Journal of Insurance Issues 36, 35-57.
Schott, F.H., 1971. Disintermediation through policy loans at life insurance companies. Journal of Finance 26, 719-729.
Tsai, C., Kuo, W., Chen, W., 2002. Early Surrender and the distribution of policy reserves. Insurance: Mathematics and Economics 31, 429-445.
Tsai, C., Kuo, W., Chiang, D. M., 2009. The distribution of policy reserves considering the policy-year structures of surrender rates and expense ratio. The Journal of Risk and Insurance 76, 909-931.
楊奕農. 2009. 時間序列分析：經濟與財務上之應用
描述 碩士
國立政治大學
風險管理與保險研究所
101358024
102
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101358024
資料類型 thesis
dc.contributor.advisor 蔡政憲zh_TW
dc.contributor.author (Authors) 杜於叡zh_TW
dc.creator (作者) 杜於叡zh_TW
dc.date (日期) 2013en_US
dc.date.accessioned 14-Jul-2014 11:32:19 (UTC+8)-
dc.date.available 14-Jul-2014 11:32:19 (UTC+8)-
dc.date.issued (上傳時間) 14-Jul-2014 11:32:19 (UTC+8)-
dc.identifier (Other Identifiers) G0101358024en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/67484-
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) 101358024zh_TW
dc.description (描述) 102zh_TW
dc.description.abstract (摘要) 　　過去有相當多的文獻針對解約率建立模型，但由於資料取得之困難，鮮少文獻針對不同保單年度之解約率進行分析，本研究將以台灣壽險業資料分析不同保單年度之解約率行為，期望能找出解約率之期限結構，提供壽險業者訂價或風險管理之參考依據。
　　本研究使用台灣壽險業1987年至2011年間之生死合險及終身壽險資料，透過資料分析顯示兩險種之解約率關聯性不大，且應將繳別分為三類進行分析，分別為不分繳別、月繳及年繳和半年繳及季繳三類，針對各保單年度進行主成分分析，結果顯示皆需6至8個主成分方可達到90%之解釋力，並透過ARMA模型檢驗選定之主成分與總體經濟變數間之關聯性，進而觀察是否符合利率假說及緊急資金假說，最後透過VAR模型或ARMA模型模擬總體經濟變數和各主成分之分數，並利用主成分分析之結果將主成分分數轉換回保單年度變數，完成各保單年度解約率之模擬，建構出台灣壽險業解約率之期限結構。		zh_TW
dc.description.tableofcontents 摘要 I
Abstract II
目錄 III
表目錄 IV
圖目錄 VI
第一章、緒論 1
第二章、文獻回顧 3
第一節、影響解約率之假說 3
第二節、解約行為研究之發展 4
第三節、研究方向 9
第三章、資料及模型 12
第一節、資料內容 12
第二節、資料分析 16
第三節、研究方法 32
第四章、實證模型分析 38
第一節、PCA分析 38
第二節、ARMA模型 46
第三節、模型模擬 54
第五章、結論與建議 63
第一節、結論 63
第二節、建議 64
第三節、未來研究方向 65
參考文獻 66		zh_TW
dc.format.extent 3279187 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/#G0101358024en_US
dc.subject (關鍵詞) 解約率zh_TW
dc.subject (關鍵詞) 主成分分析zh_TW
dc.subject (關鍵詞) ARMA模型zh_TW
dc.subject (關鍵詞) 期限結構zh_TW
dc.subject (關鍵詞) lapse rateen_US
dc.subject (關鍵詞) principle component analysisen_US
dc.subject (關鍵詞) ARMA modelen_US
dc.subject (關鍵詞) term structureen_US
dc.title (題名) 建構台灣壽險業解約率期限結構zh_TW
dc.title (題名) Modeling the Term Structures of Lapse Rates in Taiwan.en_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Bai, J., Ng, S., 2004. A PANIC attack on unit roots and cointegration. Econometrica 72, 1127-1177.
Belth, J.M., 1968. The Impact of lapse rates on life insurance prices. The Journal of Risk and Insurance 35, 17-34.
Carson, J.M., Dumm, R.E., 1999. Insurance company-level determinants of life insurance product performance. Journal of Insurance Regulation 18, 195-206.
Cox, S.H., Laporte, P.D., Linney, S.R., Lombardi, L., 1992. Single-premium deferred annuity persistency study. Transactions of Society of Actuaries Reports, pp. 281–332.
Dar, A., Dodds, C., 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, 415-433.
Fier, S.G., Liebenberg, A.P., 2013. Life insurance lapse behavior. North American Actuarial Journal 17, 153-167.
Jiang, S., 2010. Voluntary termination of life insurance policies. North American Actuarial Journal 14, 369-380.
Kiesenbauer, D., 2012. Main determinants of lapse in the German life insurance industry. North American Actuarial Journal 16, 52-73.
Kim, C., 2005a. Modeling surrender and lapse rates with economic variables. North American Actuarial Journal 9, 56-70.
Kim, C., 2005b. Report to the policyholder behavior in the German life insurance industry. North American Actuarial Journal.
Kuo, W., Tsai, C., Chen, W., 2003. An empirical study on the lapse rate: the cointegration approach. The Journal of Risk and Insurance 70, 489-508.
Outreville, J.F., 1990. Whole-life insurance lapse rates and the emergency fund hypothesis. Insurance: Mathematics and Economics 9, 249–255.
Renshaw, A. E., Haberman, S., 1986. Statistical analysis of life assurance lapses. Journal of the Institute of Actuaries 113, 459-497.
Richardson, C.F.B., Hartwell, J.M., 1951. Lapse rates. Transactions of Society of Actuaries 3, No.7.
Russell, D.T., Fier, S.G., Carson, J.M., Dumm, R.E., 2013. An empirical analysis of life insurance policy surrender activity. Journal of Insurance Issues 36, 35-57.
Schott, F.H., 1971. Disintermediation through policy loans at life insurance companies. Journal of Finance 26, 719-729.
Tsai, C., Kuo, W., Chen, W., 2002. Early Surrender and the distribution of policy reserves. Insurance: Mathematics and Economics 31, 429-445.
Tsai, C., Kuo, W., Chiang, D. M., 2009. The distribution of policy reserves considering the policy-year structures of surrender rates and expense ratio. The Journal of Risk and Insurance 76, 909-931.
楊奕農. 2009. 時間序列分析：經濟與財務上之應用		zh_TW