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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/36262


    Title: 壽險保單之存續期間分析
    Duration analyses of life insurance policies
    Authors: 鄒治華
    Contributors: 蔡政憲
    鄒治華
    Keywords: 存續期間
    利率風險
    淨現金流量
    壽險保單
    準備金
    Duration
    Interest rate risk
    Net cash flow
    Life insurance policies
    Reserve
    Date: 2001
    Issue Date: 2009-09-18 17:43:02 (UTC+8)
    Abstract: 摘要
    衡量壽險公司利率風險的初步作法是估算保單的存續期間。保單的存續期間因現金流量模式的不同與一般債券的存續期間有很大的差異。壽險保單未來不只會產生現金流出 （給付和費用），還會有現金流入（保費），其淨現金流量因而有可能變號，所以壽險保單的存續期問可能小於○，也可能大於到期日，甚至還可能因為準備金接近○的關係而有很大的數值。此外，保單的存續期間不太受死亡率下降的影響，解約率升高通常會使存續期問的數值降低，而佣金的平準化則會使原本正的存續期問變小。從壽險公司銷售保單組合可能的結果（平穩、成長、衰退等三種型態）來分析負債存續期間，由其結果可知一個新創立或成長型的壽險公司其所面臨利率風險的衝擊要大於一個處於平穩型或衰退型的壽險公司。
    關鍵字：存續期間、利率風險、淨現金流量、壽險保單、準備金
    Abstract
    Estimating the duration of the life insurance policy is the first step in measuring the interest rate risk of the life insurance company. Life insurance policy`s duration is quite different from bond`s due to the difference in the pattern of cash flows. Life insurance policies generate not only cash outflows as payments to policyholders from insurance companies but also cash inflows as premiums from policyholders to insurers. Furthermore, the net cash flow usually turns from inflow to outflow as time goes by. The duration of the life insurance policy therefore could be negative or longer than the maturity of the policy. It could even be huge if its reserve is close to zero. Besides, the mortality rate does not have a significant impact on policy duration; early surrenders of policies would reduce policy duration in general; and leveling commission rate would make positive duration smaller. Findings concluding from analyzing the likely results, referring to the steadying, growing and declining modes, of insurance portfolios offered by life insurance companies for analyzing their liability duration, indicate that the interest rate risk exposure by a start-up life insurance company or a growing life insurance company is greater than a life insurance company that is at a steadying or declining phase.
    Keywords: duration, interest rate risk, net cash flow, life insurance policies, reserve.
    目錄
    第1章 緒論-----1

    第2章 文獻探討-----3

    第3章 研究方法-----4
    3．1 保單存續期間的計算方法-----4
    3．1．1 保單存續期間之計算-----4
    3．1．2 保單現金流量之計算-----4
    3．1．3 負債存續期間之計算-----7
    3．2 研究假設與限制-----7

    第4章 實證結果與分析-----9
    4．1 利率對保單準備金與淨現值的影響-----10
    4．2 保單存續期間之特質解析-----14
    4．2．1 負存續期間的緣由與意涵-----14
    4．2．2 超大存續期間的緣由與意涵-----17
    4．3 影響保單存續期間因素之敏感度分析-----21
    4．4 負債存續期間之分析-----31

    第5章 結論與建議-----33

    參考文獻-----35
    附錄-----36
    Description: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    89932164
    90
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G91NCCU3092012
    Data Type: thesis
    Appears in Collections:[經營管理碩士學程EMBA] 學位論文

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