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| 研究生： |
林偉翔 Lin, Wei Hsiang |
|---|---|
| 論文名稱： |
考量死亡、利率、脫退與流動性風險下生死合險契約之盈餘分析 Surplus Analysis for Endowment Contracts Considering Mortality, Interest Rate, Surrender and Liquidity Risks |
| 指導教授： |
林士貴
Lin, Shih Kuei |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 金融學系 Department of Money and Banking |
| 論文出版年： | 2015 |
| 畢業學年度： | 103 |
| 語文別： | 英文 |
| 論文頁數： | 39 |
| 中文關鍵詞： | 脫退 、隨機利率 、生死合險 、流動性風險 |
| 外文關鍵詞： | Surrender, Stochastic Interest Rate Process, Endowment Contract, Liquidity Risk |
| 相關次數： | 點閱：80 下載：7 |
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當保險契約被發行時，保險公司必須被要求盡可能的具備承擔未來不可知的風險的能力。本文將死亡風險、利率風險、脫退風險以及流動性風險引入，並針對生死合險契約進行盈餘分析。在此以 Vasicek (1977) 所提出之隨機利率模型、根據被保險人理性行為作為基礎之脫退模型以及引入簡化後的 Longstaff、Mithal與Nies (2005)流動性風險債券價格來描述各種風險。根據上述模型假設下計算保費及準備金，遂以蒙地卡羅模擬法量化源於各種風險之盈餘。最後，本文計算保險公司之盈餘對各風險參數之敏感度分析，並計算各期破產與發生流動性問題之可能性。
Once insurance contracts are issued, the insurers should be capable to deal with the unknown conditions in the future as possible. In this paper, we analyze the impact of mortality, interest rate, surrender and liquidity risks on the surplus of endowment contract. We model the interest rate risk by Vasicek model, the surrender rate based on the rational behavior of policyholders and introduce the discounted price of zero coupon bonds as the liquidity risk. Under such assumptions, we compute the premium and reserve, demonstrate the simulated insurance surplus, and finally exhibit the statistics of the surplus from different sources. The simulated results show the sensitivity of the surplus to the parameters of the risks. At the same time, we also show the probabilities of insolvency and illiquidity of the insurer before the maturity date of the contract due to the fluctuating surrender rate and liquidity risk resulting from the stochastic interest rate.
1. Introduction 1
2. Endowment Contract 4
3. Assumptions for Models 6
3.1. Mortality Risk 6
3.2. Interest Rate Risk 6
3.3. Surrender Risk 8
3.4. Liquidity Risk 9
4. Premium and Reserve 11
4.1. Reserve Based on Assumed Interest Rate 11
4.2. Reserve and Premium 12
4.2.1. Case 1 12
4.2.2. Case 2 13
4.2.3. Case 3 14
5. Surplus Analysis 16
5.1. Surplus from Mortality Risk 18
5.2. Surplus from Interest Rate Risk 18
5.3. Surplus from Surrender Risk 19
5.4. Surplus from Liquidity Risk 19
5.5. Probability of Insolvency and Illiquidity 19
6. Numerical Illustrations 20
6.1. Sensitivity to Long-Term Interest Rate 20
6.2. Sensitivity to Volatility Parameter of Interest Rate 23
6.3. Sensitivity to Force of Reversion 25
6.4. Sensitivity to Parameter for Surrender Cash Value 28
6.5. Sensitivity to Parameter for Liquidity Risk 30
6.6. Sensitivity to Long-term Interest rate at Different Initial Interest rate 32
7. Conclusions 34
Appendices 35
A. Reserve Based on Assumed Interest Rate 35
B. Mortality Table 37
References 38
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