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    Title: 在死亡率持續改善下-檢驗目前死差分紅公式的適用性
    Authors: 曾耀輝
    Contributors: 黃泓智
    曾耀輝
    Keywords: 死差益
    死差分紅公式
    Date: 2011
    Issue Date: 2011-09-29 16:53:35 (UTC+8)
    Abstract: 由於死亡率持續改善之下,大部分人身壽險商品在評價時享有相當大的死差益,在此情況之下,保險公司會依目前既定的分紅方式,將死差益分還給保戶,本研究利用模擬的方式檢測出目前死差分紅公式在部分人身壽險商品的使用上存在不合理的現象,即死差分紅的金額超過死差益的額度,使得保險公司出現損失。若以20歲男性購買生死合險商品為例,每一元的保額,保險公司將損失0.34元,女性部分每一元保額則損失約0.43元,這樣的結果對保險公司的現金流量將產生非常大的影響;死亡險的部分,由平均數的角度,目前死差分紅公式的結果是合理的,即分紅金額等於死差益額度,但若觀察其他統計數據,則結果不如預期,大約有一半以上保單的死差益無法支付因死亡率改善必須給付的死差紅利,此時若保險公司的現金流量要達到一個平衡的話,保單的數量必須夠多,否則保戶人數過少容易出現連續虧損的情況,造成保險公司現金流量不穩定。為了改善此不合理現象,本研究針對原死差分紅公式不合理之處提出修正,並使用模擬的方式檢測公式修正後的適用性,其結果顯示,修正後的死差分紅公式除了在保障期間為終身的部分仍然有不合理的現象之外,其餘年齡與保障期間的組合中皆能有效改善。
    Reference: 英文部分
    Cairns, A. J.G., Blake, D., Dowd ,K., Coughlan, Guy D., Epstein, D., Ong, A., and Balevich, I. (2007). A quantitative comparison of stochastic mortality models using data from England and Wales and the United States. Department of Actuarial Mathematics and Statistics, School of Mathematical and Computer Sciences.
    Cairns, A.J.G., Blake, D., and Dowd, K. (2006b). A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration," Journal of Risk and Insurance, 73: 687-718.
    Currie I.D., Durban, M. and Eilers, P.H.C. (2004). Smoothing and forecasting mortality rates," Statistical Modelling, 4: 279-298.
    Currie, I.D. (2006). Smoothing and forecasting mortality rates with P-splines.
    Talk given at the Institute of Actuaries, June 2006.
    See http://www.ma.hw.ac.uk/»iain/research/talks.html
    Eckart, C. and Young, G. (1936). The Approximation of One Matrix by Another of Lowe Rank. Psychometrika 1:211-218.
    Gompertz, B. (1825). On the nature of the function expressive of the law of human mortality, and on the mode of determining the value of life contingencies. Phil. Trans. Roy. Soc. 115:513-585.
    Koissi, M.C., and Shapiro, A.F. (2008). The Lee-Carter Model Under the Condition of Variables Age-Specific Parameters. Presented at the 43rd Actuarial Research Conference, Regina, Canada
    Lee, R.D., Carter, L. R. (1992). Modeling and forecasting US mortality. Journal of the American Statistical Association 87 (419), p.659-675.
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    Yue, C. J. (2002). Oldest-Old Mortality Rates and the Gompertz Law: A Theoretical and Empirical Study Based on Four Countries. Journal of Population Studies (TSSCI), vol. 24, 33-57.
    Yang, Sharon S.,Jack C. Yue, Hong-Chih Huang(2010).Modeling Longevity Risks using a Principal Component Approach: A Comparison with Existing Stochastic Mortality Models. Insurance:Mathematics and Economics,46:254-270
    中文部分
    余清祥(1997),「修勻-統計在保險的應用」,雙葉書廊
    余清祥與曾奕翔(2005),Lee-Carter模型分析:台灣地區死亡率推估之研究,2005年台灣人口學會學術研討會論文。
    陳文琴(2008),「死亡率改善模型的探討及保險商品自然避險策略之應用」,政治大學風險管理與保險學系碩士論文
    呂政治(2009),「各險種經驗死亡率之分析與其保費高低估之探討」,政治大學風險管理與保險學系碩士論文。
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    98358024
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0983580241
    Data Type: thesis
    Appears in Collections:[Department of Risk Management and Insurance] Theses

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