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    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/85419


    題名: 權益連結壽險之動態避險：風險極小化策略與應用
    Dynamic Hedging for Unit-linked Life Insurance Policies: Risk Minimization Strategy and Applications
    作者: 陳奕求
    Chen, Yi-Chiu
    貢獻者: 張士傑
    陳威光
    Chang, Shih-Chieh
    Chen, Wei-Kuang
    陳奕求
    Chen, Yi-Chiu
    關鍵詞: 等價原則
    Black-Scholes評價公式
    不完全市場
    均數變異避險
    風險極小化
    principal of equivalience
    Black-Scholes valuation formula
    markets incompleteness
    mean-variance hedging
    risk-minimization
    self-finance strategy
    counting process
    intrinsic risk
    日期: 2001
    上傳時間: 2016-04-18 16:28:46 (UTC+8)
    摘要: 傳統人壽保險契約之分析利用等價原則(principal of equivalience) 來對商品評價。即保險人所收保費之現值等於保險人未來責任(保險金額給付)之現值。然而對於權益連結壽險商品而言，其結合傳統商品之風險(如利率風險、死亡率風險等)與財務風險，故更增加其評價困難性。過去研究中在假設預定利率為常數與死亡率為給定的情況下，利用Black-Scholes (1973)評價公式推導出公式解。然而Black-Scholes評價公式是建構在完全市場上，對於權益連結壽險商品而言其已不符合完全市場之假設，因此本文放寬完全市場之假設來對此商品重新評價與避險。
    In this study, actuarial equivalent principle and no-arbitrage pricing theory are used in pricing and valuation for unit-linked life insurance policies.　Since their market values cannot be replicated through the self-finance strategies due to market incompleteness, the theoretical setup in Black and Scholes (1973) and Follmer and Sondermann (1986) are adopted to develop the pricing and hedging strategies. Counting process is employed to characterize the transition pattern of the policyholder and the linked assets are modeled through the geometric Brownian motions. Equivalent martingale measures are adapted to derive the pricing formulas. Since the benefit payments depend on the performance of the underlying portfolios and the health status of the policyholder, mean-variance minimization criterion is employed to evaluate the financial risk. Finally pricing and hedging issues are examined through the numerical illustrations. Monte Carlo method is implemented to approximate the market premiums according to the payoff structures of the policies. In this paper, we show that the risk-minimization criterion can be used to determine the hedging strategies and access the minimal intrinsic risks for the insurers.
    參考文獻: 一、中文部分
    1.陳松男與鄭翔伊(1999), 「組合型權證之正確評價即避險方法」證券市場發展季刊 第十一卷第四期。
    2.郭怡馨，「保本型變額壽險之評價分析」，國立政治大學風險管理與保險學研究所碩士論文，民國88年6月。
    二、英文部分
    1.Aase, K.K and Person , S.A.(1994).”Pricing of Unit-Linked Life Insurance Policies,” Scandivnal Actuarial Journal 1:26-52.
    2.Bacinello, A.R. and F. Ortu(1993b).”Pricing equity-linked life insurance with endogenous minimum guarantees,” Insurance Mathematics and Economics 12, 245-252.
    3.Bacinello, A.R. and Persson, S.A.(1998).”Design and Pricing of Equity-Linked Life Insurance under Stochastic Interest Rate , ” Preprint, Institute of Finance and Management Science. The Norwegian School of Economics and Business Administration.
    4.Black. F. and Scholes. M.(1973).”The pricing of options and corporate liabilities, ” Journal of Political Economy 81:637-654.
    5.Bjork, T.(1996). Arbitrage Theory in Continuous Time, Stockholm School of Econnmics.
    6.Brennan, M.J. and Schwartz, E.S.(1976).”The Pricing of Equity-Linked Life Insurance Policies with an Asset Value Guarantee,” Journal of Financial Economics 3:195-213.
    7.Brennan, M.J. and Schwartz, E.S. (1979a).”Alternative Investment Strategies for the Issuers of Equity-Linked Life Insurance Policies with an Asset Value Guarantee,” Journal of Business 52:63-93.
    8.Brennan, M.J. and Schwartz, E.S. (1979b). ”Pricing and Investment Strategies for Guaranteed Equity-Linked Life Insurance,” Monograph no. 7 The S. S. Huebner Foundation for Insurance Education, Wharton School, University of Pennsylvania, Philadelphia.
    9.Broadie, M and Detemple, J. (1995) “Amercian Capped Call Options on Dividend-Paying Assets, ” The Review of Fiancial Studies 8:161-191.
    10.Follmer, H and D. Sondermann (1986). “Hedging of non-redundant Contingent Claims,” Contributions to Mathematical Economics, 205-223.
    11.Follmer, H and M. Schweizer (1988). “Hedging by sequential regression: An introduction to the mathematics of option trading,” The ASTIN Bulletin 18(2):147-160.
    12.Gentle, D (1993). “Basket weaving, ” Risk (6), 51-52.
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    14.Hull, John C. (2000). Options, Futures, and Other Derivatives, Fourth edition.
    15.Johnson, Herb (1987). “Options on the Maximum or the Minimum of Several Assets, ” Journal of Financial and Quantitative Analysis 22, 277-282.
    16.Margrabe, W. (1978). “The Value of an Option to Exchange One Asset for Another, ” Journal of Finance 33, 177-186.
    17.Moller, T (1996). “Risk-Minimizing Strategies for Unit-Linked Life Insurance Products, ” Master Thesis.
    18.Moller, T (1998a). “Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts, ” ASTIN Bulletin 28, 17-47.
    19.Moller, T (2000). “Quadratic Hedging Approaches and Indifference Pricing in Insurance, ” Ph.D. Thesis.
    20.Nielsen, J. and K. Sandmann (1995). “Equity-linked Life Insurance：A Model with Stochastic Interest Rates,” Insurance Mathematics and Economics 16, 225-253.
    21.Samuel, H. Turner. (1971). Equity-based Life Insurance in the United Kingdom.
    22.Schal, M.(1994), “On Quadratic Cost Criteria for Option Hedging, ” Mathematics of Operation Research 19, 121-131.
    23.Schweizer, M. (1988), “Hedging of Options in a General Semimartingale Model, ” Diss. ETHZ NO 8615, Swiss Federal Institute of Technology, Zurich.
    24.Schweizer, M. (1991), “Option Hedging for Semimartingale, ” Stochastic Processes and their Application 37, 339-363.
    25.Schweizer, M. (1993), “Approximating Random Variables by Stochastic Integrals, and Applications in Financial Mathematics, ” Habiltationsschrift, University of Gottingen.
    26.Schweizer, M. (1994), “Risk-Minimizing Hedging Strategies under Restricted Information, ” Mathematical Finance 4, 327-342.
    27.Schweizer, M. (1995a), “Variance-Optimal Hedging in Discrete Time, ” Mathematics of Operation Research 20, 1-32.
    28.Schweizer, M. (1995b), “Approximation Pricing and the Variance-Optimal Martingale Measure, ” to appear on Annals of Probability.
    29.Stulz, R. (1982) “Options on the Minimum or the Maximum of Two Risky Asset：Analysis and Applications, ” Journal of Financial Economics 10, 161-185.
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    88358015
    資料來源: http://thesis.lib.nccu.edu.tw/record/#A2002001470
    資料類型: thesis
    顯示於類別:[風險管理與保險學系] 學位論文

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