隨機模型建構在保險業現金流量測試之應用

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姓名

李綾(Ling Lee) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

隨機模型建構在保險業現金流量測試之應用
(The Application of Stochastic Models in Insurer’s Cash Flow Testing)

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摘要(中)

本研究的目的在以美國精算實務所提出之隨機模型來建構模擬台灣利率與股價報酬率情境，並進行現金流量測試，探討其結果對保單責任準備金適足性之影響。台灣自民國一百年起規定，精算簽證人員須採隨機現金流量測試之方式，來評估保單之適足性與否。本研究首先以台灣市場資料配適隨機模型，並以傳統終身壽險為例，計算其保費與保單責任準備金，以最適之模型來模擬出一千組公債利率與股價報酬率未來三十年的情境，將其帶入現金流量測試中，以條件尾端期望值百分之六十五作為標準，進行保單準備金適足性測試。本文最終以Academy模型來模擬利率情境、CAS-SOA模型來模擬股價情境，在設定的資產配置下，保單責任準備金是適足的。

摘要(英)

The purpose of this research is to apply two financial scenario generator models - CAS-SOA financial scenario model and AAA financial scenario model proposed in the actuarial practice in the U.S., to produce a set of interest rate scenarios and equity return scenarios for the actuarial use in Taiwan. We first calibrate the stochastic models and select the best fitted model to produce the economic scenarios. We then model the cash flow and discuss the influences of the results on reserve adequacy test. In Taiwan, the appointed actuary must use the stochastic cash flow testing to assess the adequacy of reserve since 2001. This paper takes traditional life insurance as an example to calculate the premiums and reserves. According to the best fitted model, we use AAA model to produce interest rate scenarios and use CAS-SOA model to produce equity returns scenarios. The results show that the reserves are adequate under the setting asset allocation.

關鍵字(中)

★ 保單責任準備⾦金
★ 隨機現⾦金流量測試

關鍵字(英)

★ Stochastic Cash Flow Testing
★ liability reserve adequacy

論文目次

摘要 i
ABSTRACT ii
目錄 iii
圖目錄 vi
表目錄 vii
第一章緒論 1
1-1 研究動機與目的 1
1-2 章節架構 2
第二章文獻回顧 3
2-1 利率情境模型 3
2-2 股價情境模型 4
2-3 保險業發展之經濟模型 5
第三章利率情境模型與股價情境模型建構 7
3-1 利率模型 7
3-1-1 CAS-SOA模型 7
3-1-2 Academy模型 11
3-2 股價模型 12
3-2-1 Black-Scholes 12
3-2-2 CAS-SOA模型 13
3-2-3 Academy 模型 15
第四章模型配適分析與參數估計 17
4-1 資料來源 17
4-2 模型配適結果分析 19
4-2-1 利率模型 20
4-2-2 股價模型 21
4-3 模型參數估計與模擬結果 23
4-3-1 利率模型 23
4-3-2 股價模型 25
第五章隨機現金流量測試分析 29
5-1 保單商品假設 29
5-2 現金流量測試模型 32
5-3 實證分析 34
5-4 穩健性測試 37
第六章結論 46
參考文獻 47
附錄一保單之保費計算 50
附錄二保單責任準備金計算 51
附錄三保險業資產配置限制 65

參考文獻

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指導教授

楊曉文(Sharon S. Yang)

審核日期

2016-7-25

推文