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    政大機構典藏 > 商學院 > 金融學系 > 學位論文 >  Item 140.119/31240
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/31240


    Title: 保本型變額壽險之評價
    Authors: 江兆育
    Contributors: 廖四郎
    龐元愷

    江兆育
    Keywords: 保本型變額壽險
    蒙地卡羅
    BGM Model
    Date: 2006
    Issue Date: 2009-09-14 09:35:30 (UTC+8)
    Abstract: 本研究針對保本型變額壽險-投資標的為債券型基金進行進行評價分析。由於投資型保險擁有投資與保障的功能,且將投資風險轉嫁給投保人,與傳統壽險有明顯的差異。爲防止投保人承受過多的投資風險而失去保險中保障的功能,在條款中加上一最低保證給付金額,使投保人只須負擔部分的投資風險,保險公司也可提升其產品競爭力。

    在保本型變額壽險的評價模型上,運用精算數學中收支相等原則,採用Nielsen and Sandmann(1995)的模型架構求算合理保費。同時採用利率模型-BGM Model,透過市場可觀察到的LOBOR報價,更精確有效地對利率期間結構進行模擬分析。再針對死亡保險及生死合險,兩種目前國內壽險市場上的主流商品,探討在分期繳費方式下的合理保費。

    最後,因為此模型不存在封閉解,透過蒙地卡羅法進行數值模擬,針對參數可能的變動進行敏感度分析。
    Reference: 中文部分
    1.曾柏方(2004),附有最低保證給付投資型保險之評價與分析,政治大學金融研究所碩士論文。
    2.中華民國人壽保險商業同業公會(2003),臺灣壽險業第四回經驗生命表(民國八十四年至民國八十八年),初版,台北市:中華民國人壽保險商業同業公會。
    3.林鴻鈞(2003),「六大重點看保本商品:如何說明投資型保單是最佳選擇」,Advisers財務顧問,第175期,115~117頁。
    4.翁建勳(2002),變額保險之模擬研究,逢甲大學統計與精算所碩士論文。
    5.彭成彰(2002),保證給付變額壽險之選擇權評價分析,中央大學財務管理研究所碩士論文。
    6.陳家明(2000),變額壽險,初版,台北市:財團法人保險事業發展中心。
    7.張智星(2000),MATLAB程式設計與應用,初版,新竹市:清蔚科技。
    8.郭怡馨(1999),保本型變額壽險之評價分析,政治大學風險管理與保險學研究所碩士論文。
    9.廖泗滄(1988),壽險數理,初版,台北市:台北市人壽保險商業同業公會。
    英文部分
    1.Bacinello, A.R., and Ortu, F.(1993), “Pricing Equity-Linked Life Insurance with Endogenous Minimum Guarantees.”Insurance: Mathematics and Economics, 12, 303.
    2.Bacinello, A.R., and Ortu, F.(1994), “Single and Periodic Premiums for Guaranteed Equity-Linked Life Insurance under Interest Rate Risk: the Log-normal + Vasicek Case.”Financial Modelling, L. Peccati and M. Viren (Eds.), Physica-Verlag, Heidelberg, Germany, 1-25
    3.Black, F., and M.J. Scholes (1973),“The Pricing of Options and Corporate Liabilities.”Journal of Political Economy, 81, 637-659.
    4.Bolye, P. (1977),“A Monte Carlo Approach.”Journal of Financial Economics, 4, 323-338.
    5.Brace, A., D. Gatarek, and M. Musiela. (1997),“The Market Model of Interest Rate Dynamics.”Mathematical Finance, 7, 127-155.
    6.Brennan, M.J., and E. Schwartz. (1976),“The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee.”Journal of Financial Economics, 3, 195-213.
    7.Carverhill, A., and L. Clewlow (1990),“Flexible Convolution.”Risk, 3, 25-29.
    8.Cox, J.C., J.E. Ingersoll, Jr., and S.A. Ross. (1985). “A Theory of the Term Structure of Interest Rates.”Econometrica, 53, 385-407.
    9.Heath, D., R. Jarrow, and A. Morton (1992),“Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation.”Econometrica, Vol. 60, No 1, 77-105.
    10.Ho, T., and S. Lee (1986),“Term Structure Movements and Pricing Interest Rate Contingent Claims.”Journal of Finance, 41, 1011-1029.
    11.Hull, J.C., and A. White (1990),“Pricing Interest-Rate-Derivative Securities.” Review of Financial Studies, 33, 423-440. 58.
    12.Hull, J.C. (2000), Option, Futures & Other Derivatives, ed., U.S.A., Prentice-hall International.
    13.Nielsen, J.A., and K. Sandmann, (1995),“Equity-Linked Life Insurance: a Model with Stochastic Interest Rates.”Insurance: Mathematics and Economics, 16, 225-253.
    14.Persson, S. A., and K. K. Aase, (1997),“Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products.”The Journal of Risk and Insurance, Vol.64, No.4, 599-617.
    15.Turnbull, S. M. and L. M. Wakeman, (1991),“Quick Algorithm for Pricing European Average Options.”Journal of Financial and Quantitative Analysis, 77-389.
    16.Vasciek, O., (1997),“An Equilibrium Characterization of the Term Structure.”Journal of Financial Economics, 5, 177-188.
    17.Vorst, A. C. F., (1992), “Pricing and Hedge Ratios of Average Exchange Rate Options.”International Review of Financial Analysis, 1, 179-193.
    Description: 碩士
    國立政治大學
    金融研究所
    92352033
    95
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0923520331
    Data Type: thesis
    Appears in Collections:[金融學系] 學位論文

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