English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 110934/141854 (78%)
Visitors : 47823284      Online Users : 467
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/64606


    Title: 壽險保單準備金之有效存續期間分析
    Other Titles: Effective Duration Analyses on the Policy Reserves of Life Insurance
    Authors: 詹芳書;蔡政憲
    Chan, Linus Fang-Shu;Tsai, Chenghsien
    Contributors: 風管系
    Keywords: effective duration;policy reserve;aggregate reserves
    Date: 2012-03
    Issue Date: 2014-03-12 16:03:50 (UTC+8)
    Abstract: Life insurers need to employ effective duration to measure the interest rate risk of policy reserves because the surrender rate depends on interest rates, which makes cash flows interest-rate-sensitive. This study uses a general surrender rate model and CIR interest rate model, besides assuming different interest rate sensitivities according to product characteristics. Products analyzed include term life insurance, endowment and pure endowment. We first calculate the effective durations of these products’ reserves by policy years. Then we calculate effective durations of reserves aggregated by products, and across products. Our results identify a new pattern of effective durations of policy reserves with time to maturity on three types of policies not reported by Tsai (2009). Furthermore, the gap between duration of usingTreasury bonds to match policy reserves broadens as the interest rate falls.
    Relation: 財務金融學刊, 20(1), 33-62
    Data Type: article
    DOI 連結: http://dx.doi.org/10.6545/JFS.2012.20(1).2
    DOI: 10.6545/JFS.2012.20(1).2
    Appears in Collections:[風險管理與保險學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML2969View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback