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Title:	Solvency II長壽風險架構下自然避險策略之研究 A study of natural hedging strategy for dealing longevity risk under solvency II
Authors:	廖俊淵 Liao, Chun Yuan
Contributors:	黃泓智楊曉文 Huang, Hong Chih Yang, Sharon S 廖俊淵 Liao, Chun Yuan
Keywords:	Solvency II 標準模型內部模型長壽風險 SCR 自然避險
Date:	2017
Issue Date:	2017-07-24 12:05:29 (UTC+8)
Abstract:	本研究依照Solvency II的規範比較標準模型和內部模型，並透過模擬的數值分析保險公司應計提的SCR在兩種模型下的差異。同時也對影響SCR的因子做敏感度分析，研究結果指出，在不同的利率期間結構下，如果未來利率是走揚的情況，不論是標準模型或是內部模型所計算的SCR都會比利率持平或下降較低。此外，本研究亦考慮死亡率改善的程度所造成的影響，研究結果指出死亡率改善的程度越大，所計提的SCR也較大，而且死亡率改善的影響大於利率的影響。最後本研究也提出讓壽險商品和年金商品SCR可以互抵的概念，在死亡率改善的情況下，壽險商品會在保險合約的前期出現SCR的抵減效果，在後期則產生SCR，此現象為壽險的反轉效果，透過讓壽險SCR淨值等於年金險SCR的淨值可以計算出兩個險種的最適保額比，達成自然避險的效果。
Reference:	中文部分：李佩鏵，(2010)。Solvency II架構下長壽風險對於年金保險商品資本需求探討，碩士論文，東吳大學，財務工程與精算數學系，台北市。蔡政憲、何憲章、鄒治華，(2002)。壽險保單之存續期間分析，風險管理學報，第四卷第一期，47-75。西文部分： Bauer, D., Börger, M., Ruß, J., (2008). The Volatility of Mortality. Asia-Pacific Journal of Risk and Insurance, 3(1), 184-211. Boonen, T.J., (2015). Solvency II Solvency Capital Requirement for Life Insurance Companies Based on Expected Shortfall, STIN Bulletin, 45(1), 703-728. Booth, H., and Tickle, L, (2008). Mortality Modelling and Forecasting: A Review of Methods, Annals of Actuarial Science, 3(1-2), 3-43. Börger, M., (2010). Deterministic shock vs. stochastic value-at-risk — an analysis of the Solvency II standard model approach to longevity risk, Blätter der DGVFM, 31(2), 225-259. Börger, M., Fleischer, D., and Kuksin, N., (2014). Modeling The Mortality Trend Under Modern Solvency Regimes, ASTIN Bulletin, 44(1), 1-38. Brouhns, N., Denuit , M.,and Vermunt ,J.K., (2002). A Poisson Log-Bilinear Regression Approach to the Construction of Projected Lifetables. Insurance:Mathematics and Economics, 31(3), 373-393. CEIOPS. (2009a). CEIOPS` Advice for Level 2 Implementing Measures on Solvency II: Standard formula SCR - Article 109(c) Life underwriting risk, Retrieved June 12 2017, from: https://eiopa.europa.eu/ CEIOPS. (2009b). Final CEIOPS` Advice for Level 2 Implementing Measures on Solvency II: Technical Provisions - Article 86(d) Calculation of the Risk Margin, Retrieved June 12 2017, from: https://eiopa.europa.eu/ CEIOPS. (2010). QIS5 Calibration Paper, Retrieved June 12 2017, from: https://eiopa.europa.eu/ European Commission. (2010). QIS5 Technical Specification. Annex to Call for Advice from CEIOPS on QIS5, Retrieved June 12 2017, from: https://eiopa.europa.eu/ Koissi, M.C.,Shapiro,A.F.,and Högnäs,C., (2006), Evaluating and Extending the Lee-Carter Model for Mortality Forecasting:Boostrap Confidence Interval. Insurance:Mathematics and Economics. 38(1),1-20. Lee, R. D., and Carter, L. R., (1992). Modeling and Forecasting U.S. Mortality. Journal of the American Statistical Association, 87 (419), 659-671. Salah, S. B., and Belkacem, L., (2015). On the longevity risk assessment under solvency II. Journal of Applied Business Research, 31(3), 1149-n/a.
Description:	碩士國立政治大學風險管理與保險學系 104358025
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0104358025
Data Type:	thesis
Appears in Collections:	[Department of Risk Management and Insurance] Theses

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