保本型變額壽險的評價在隨機利率與跳躍風險的環境下

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姓名

吳淑瑜(Shwu-Yu Wu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

保本型變額壽險的評價在隨機利率與跳躍風險的環境下
(Equity-Linked Life Insurance under Stochastic Interest Rate and Jump Risks)

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摘要(中)

探討有關於附有最低保證給付金額的投資型保單的評價，並考慮了利率風險後，使用最小平方法去評價美式選擇權保單的價值。之後，因為金融危機與景氣循環在現實生活中是常常出現的，所以我們加入了跳躍風險來看保單的保費。最後，探討在各個假設條件變動下的敏感度分析，來看保費的變化。

摘要(英)

This thesis considers the valuation of equity-linked life insurance policies with an asset value guarantee. After thinking the stochastic characteristic of interest rates, we use least-square approach to value the insurance premium with minimum guarantee. Finally, we use Grant, Vora, and Weeks(1996) to value the insurance premium under jump risks. Afterwards, we examine the sensitivity of insurance premium to parameters, such as volatility, instantaneous interest rate elasticity reference portfolio, instantaneous risk-free rate of interest, minimum guaranteed interest rate, correlation coefficient and finally the effect of the jump risks.

關鍵字(中)

★ 變額壽險
★ 跳躍風險

關鍵字(英)

★ Equity-Linked Life Insurance
★ Jump Risks

論文目次

ABSTRACT 1
1. INTRODUCTION 1
2. THE MODEL 4
2.1. Equity-Linked Life Insurance with an Asset value Guarantee （ELPAVG） 4
2.2. Investment Portfolio 5
2.3. Mortality risk 7
3. NUMERICAL METHOD 9
3.1. Simulation process 9
3.1.1. Random Variable 9
3.1.2. Least-Square Method 9
3.2. Jump Risks 10
4. NUMERICAL RESULTS 12
4.1. The effect of jump risks 12
4.2. The effect of volatility 12
4.3. The effect of the instantaneous interest rate elasticity of reference portfolio 13
4.4. The effect of the instantaneous risk-free rate of interest 13
4.5. The effect of the minimum guaranteed interest rate 14
4.6. The effect of the correlation coefficient 14
5. CONCLUSION 15
REFERENCE 16

參考文獻

Reference
郭怡馨, 1999, “保本型變額壽險計價之評論：理論與應用 ”, 風險管理學報第一卷第二期 1999年, 15-40.
彭成彰, 2001, “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.
Bacinello, A.R. and F. Ortu, 1993a, “Pricing Equity-linked life Insurance with Endogenous Minimum Guarantees,” Insurance：Mathematics and Economics , 13, 245-257.
Black, F, and M. Scholes, 1973, “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy, 81, 637-654.
Brenna, M. J. and E.S. Schwartz, 1976, “The pricing of Equity-linked Life Insurance Policies with an Asset Value Guarantee,” Journal of Financial Economics, 3 , 195-213.
Brenna, M. J. and E.S. Schwartz, 1979, “Alternative Investment Strategies for the Issuers of Equity-linked Life Insurance Policies with an Asset Value Guarantee,” Journal of Business,52, 63-93.
Cox,J , J. Ingersoll and S. Ross, 1985, “The Term Structure of Interest rate,” Econometrica, 53, 363-607.
Duan, J. C. and A. Moreau and C.W. Sealey, 1995, “Deposit Insurance and Bank Interest Rate Risk：Pricing and Regulatory Implications,” Journal of Banking and Finance, 19, 1091-1108.
Dwight Grant, Gautam Vora, and David E. Weeks, 1996 ,“Simulation and the Early-Exercise Option Problem, ” The Journal of Financial Engineering, 5.
Francis A. Longstaff, and Eduardo S. Schwartz ,2001, “Valuing American Option by Simulation：A simple Least-Squares Approach, ” Review of Financial Studies, 14, 113-148.
Harrison, J.M. and D. Kreps, 1979, “Martingales and arbitrage in multiperiod Securities markets,” Journal of Economic Theory, 20, 380-408.
Nielsen, J.A. and K.Sandmann, 1995, “Equity-linked Life Insurance：A Model with stochastic interest Rates,” Insurance：Mathematics and Economics, 16,225-253.
Phelim P. Boyle, 1977, “Options：A Monte Carlo Approach,” Journal of Financial Economics, 4, 323-338.

指導教授

張傳章(Chuang-Chang Chang)

審核日期

2002-7-3

推文