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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/67484


    Title: 建構台灣壽險業解約率期限結構
    Modeling the Term Structures of Lapse Rates in Taiwan.
    Authors: 杜於叡
    Contributors: 蔡政憲
    杜於叡
    Keywords: 解約率
    主成分分析
    ARMA模型
    期限結構
    lapse rate
    principle component analysis
    ARMA model
    term structure
    Date: 2013
    Issue Date: 2014-07-14 11:32:19 (UTC+8)
    Abstract: 　　過去有相當多的文獻針對解約率建立模型，但由於資料取得之困難，鮮少文獻針對不同保單年度之解約率進行分析，本研究將以台灣壽險業資料分析不同保單年度之解約率行為，期望能找出解約率之期限結構，提供壽險業者訂價或風險管理之參考依據。
    　　本研究使用台灣壽險業1987年至2011年間之生死合險及終身壽險資料，透過資料分析顯示兩險種之解約率關聯性不大，且應將繳別分為三類進行分析，分別為不分繳別、月繳及年繳和半年繳及季繳三類，針對各保單年度進行主成分分析，結果顯示皆需6至8個主成分方可達到90%之解釋力，並透過ARMA模型檢驗選定之主成分與總體經濟變數間之關聯性，進而觀察是否符合利率假說及緊急資金假說，最後透過VAR模型或ARMA模型模擬總體經濟變數和各主成分之分數，並利用主成分分析之結果將主成分分數轉換回保單年度變數，完成各保單年度解約率之模擬，建構出台灣壽險業解約率之期限結構。
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    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    101358024
    102
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101358024
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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