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題名 人壽保險公司商品組合責任準備金之涉險值研究
Value-at-Risk For the Reserve of Multi-product Life Insurers
作者 李孟倚
Li, Meng-Yi
貢獻者 蔡政憲
Tsai, Cheng-Hsien
李孟倚
Li, Meng-Yi
關鍵詞 蒙地卡羅模擬法
解約率風險
最大分散
Monte Carlo Simulation
lapse risk
maximum dispersion
日期 2000
上傳時間 31-Mar-2016 16:37:27 (UTC+8)
摘要 責任準備金的風險管理是人壽保險公司營運的重要課題之一，其牽涉到保單現金流量的數階動差及分佈之估計，為此我們必須清楚的設定隨機脫退和隨機利率模型，並將保單之重要特性—利率敏感性現金流量納入考慮，否則將誤導保險公司過度規避利率風險及高估其破產的危險性。
One of the major topics in insurance companies’ operations is the risk management of the reserves. Sound risk management of reserves involves the estimation of the moments and distribution of cash flows associated with sold policies. To estimate the moments or the distribution of future cash flows, one must model stochastic decrements and stochastic discount rates explicitly. Besides, one must consider an important feature of insurance policies: future cash flows may be interest-rate-sensitive. Ignorance of such characteristic may mislead the insurer to over-hedge the interest rate risk and jeopardize the solvency of insurers.
參考文獻 Albizzati, Marie-Odile and Helyette Geman, 1994, Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies, Journal of Risk and Insurance, 61: 616-637.
American Council of Life Insurance, 1999, The Life Insurance Fact Book (Washington D.C.: ACLI)
Babbel, David F., 1995, Asset-Liability Matching in the Life Insurance Industry, The Financial Dynamics of the Insurance Industry (New York: IRWIN Professional Publishing)
Beekman, John A. and Clinton P. Fuelling, 1990, Interest and Mortality Randomness in Some Annuities, Insurance: Mathematics and Economics, 9: 185-196.
Beekman, John A. and Clinton P. Fuelling, 1991, Extra Randomness in Certain Annuity Models, Insurance: Mathematics and Economics, 10: 275-287.
Beekman, John A. and Clinton P. Fuelling, 1993, One Approach to Dual Randomness in Life Insurance, Scandinavian Actuarial Journal, 2: 173-182.
Bowers, Newton L., Hans U. Gerber, James C. Hickman, Donald A. Jones, and Cecil J. Nesbitt, 1986, Actuarial Mathematics (Schaumburg, Illinois: Society of Actuaries).
Briys, Eric and Francois de Varenne, 1997, On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls, Journal of Risk and Insurance, 64: 673-694.
Frees, Edward W., 1990, Stochastic Life Contingencies with Solvency Considerations, Transaction of the Society of Actuaries, 42: 91-129.
Giaccotto, Carmelo, 1986, Stochastic Modeling of Interest Rates: Actuarial vs. Equilibrium Approach, Journal of Risk and Insurance, 53: 435-453.
Grosen, Anders, and Peter Lochte Jorgensen, 1997, Valuation of Early Exercisable Interest Rate Guarantees, Journal of Risk and Insurance, 64: 481-503.
描述 碩士
國立政治大學
風險管理與保險研究所
87358009
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002002030
資料類型 thesis
dc.contributor.advisor 蔡政憲zh_TW
dc.contributor.advisor Tsai, Cheng-Hsienen_US
dc.contributor.author (Authors) 李孟倚zh_TW
dc.contributor.author (Authors) Li, Meng-Yien_US
dc.creator (作者) 李孟倚zh_TW
dc.creator (作者) Li, Meng-Yien_US
dc.date (日期) 2000en_US
dc.date.accessioned 31-Mar-2016 16:37:27 (UTC+8)-
dc.date.available 31-Mar-2016 16:37:27 (UTC+8)-
dc.date.issued (上傳時間) 31-Mar-2016 16:37:27 (UTC+8)-
dc.identifier (Other Identifiers) A2002002030en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/83349-
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) 87358009zh_TW
dc.description.abstract (摘要) 責任準備金的風險管理是人壽保險公司營運的重要課題之一，其牽涉到保單現金流量的數階動差及分佈之估計，為此我們必須清楚的設定隨機脫退和隨機利率模型，並將保單之重要特性—利率敏感性現金流量納入考慮，否則將誤導保險公司過度規避利率風險及高估其破產的危險性。zh_TW
dc.description.abstract (摘要) One of the major topics in insurance companies’ operations is the risk management of the reserves. Sound risk management of reserves involves the estimation of the moments and distribution of cash flows associated with sold policies. To estimate the moments or the distribution of future cash flows, one must model stochastic decrements and stochastic discount rates explicitly. Besides, one must consider an important feature of insurance policies: future cash flows may be interest-rate-sensitive. Ignorance of such characteristic may mislead the insurer to over-hedge the interest rate risk and jeopardize the solvency of insurers.en_US
dc.description.tableofcontents 封面頁
證明書
致謝詞
論文摘要
目錄
1. Introduction
2. The Simulation Model
2.1 Mortality Risk
2.2 Interest Rate Risk
2.2.1 The Term Structure Models
2.2.2 Maximum likelihood Estimation of the Vasicek’s Model
2.2.3 Simulation Results
2.3 Lapse Rate Risk
2.3.1 Lapse Rate Model and Its Estimation
2.3.2 Simulation Results
2.4 Summary
2.5 The Confidence Intervals of the Maximum Dispersion Estimates
3. Portfolios of Endowment, Pure Endowment, Term Life, Whole Life and Annuity
4. Conclusions and Discussions
Tables
Figures
References		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002002030en_US
dc.subject (關鍵詞) 蒙地卡羅模擬法zh_TW
dc.subject (關鍵詞) 解約率風險zh_TW
dc.subject (關鍵詞) 最大分散zh_TW
dc.subject (關鍵詞) Monte Carlo Simulationen_US
dc.subject (關鍵詞) lapse risken_US
dc.subject (關鍵詞) maximum dispersionen_US
dc.title (題名) 人壽保險公司商品組合責任準備金之涉險值研究zh_TW
dc.title (題名) Value-at-Risk For the Reserve of Multi-product Life Insurersen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Albizzati, Marie-Odile and Helyette Geman, 1994, Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies, Journal of Risk and Insurance, 61: 616-637.
American Council of Life Insurance, 1999, The Life Insurance Fact Book (Washington D.C.: ACLI)
Babbel, David F., 1995, Asset-Liability Matching in the Life Insurance Industry, The Financial Dynamics of the Insurance Industry (New York: IRWIN Professional Publishing)
Beekman, John A. and Clinton P. Fuelling, 1990, Interest and Mortality Randomness in Some Annuities, Insurance: Mathematics and Economics, 9: 185-196.
Beekman, John A. and Clinton P. Fuelling, 1991, Extra Randomness in Certain Annuity Models, Insurance: Mathematics and Economics, 10: 275-287.
Beekman, John A. and Clinton P. Fuelling, 1993, One Approach to Dual Randomness in Life Insurance, Scandinavian Actuarial Journal, 2: 173-182.
Bowers, Newton L., Hans U. Gerber, James C. Hickman, Donald A. Jones, and Cecil J. Nesbitt, 1986, Actuarial Mathematics (Schaumburg, Illinois: Society of Actuaries).
Briys, Eric and Francois de Varenne, 1997, On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls, Journal of Risk and Insurance, 64: 673-694.
Frees, Edward W., 1990, Stochastic Life Contingencies with Solvency Considerations, Transaction of the Society of Actuaries, 42: 91-129.
Giaccotto, Carmelo, 1986, Stochastic Modeling of Interest Rates: Actuarial vs. Equilibrium Approach, Journal of Risk and Insurance, 53: 435-453.
Grosen, Anders, and Peter Lochte Jorgensen, 1997, Valuation of Early Exercisable Interest Rate Guarantees, Journal of Risk and Insurance, 64: 481-503.		zh_TW