附保證投資型保單準備金之提存必須反應該商品所會面臨之風險，故評估方法及精算假設的合理性便顯得相當重要。其中對於保戶行為之精算假設，不單受到保單內含之財物選擇權及附保證價值所影響，其中包含保戶年齡、保單價值大小以及保單持有期間等，皆能反應保戶的解約行為(Knoller et al. (2012))。本研究便以監理的角度出發，以保證最低提領給付(guaranteed minimum withdrawal benefit GMWB)為例，依照美國保險監理官協會(National Association of Insurance Commissioners NAIC)頒布之精算準則Actuarial Guideline XLIII (AG43)之規範，納入不同投資收益模型以及保戶型為進行分析。投資收益模型部分考量對數常態模型(LN)以及狀態轉換對數常態模型(RSLN2)，其中因狀態轉換對數常態模型厚尾的性質，其所計算之準備金金額較對數常態模型(LN)來的高。保戶行為部分，以中年族群來說，理性保戶行為在小型保單所需提存的準備金最高；大型保單則為Knoller et al. (2012)的保戶解約模型最高。顯示保戶行為假設不同對準備金會造成相當的影響，壽險公司必須依照自身的經驗資料擬訂相對應的解約率模型，如實提存反映真實風險的準備金數額。 Policyholder behavior is important for the reserve of investment guarantee products to reflect the real risk that insurer will meet. Knoller et al. (2012) presented that policyholder behavior is not only affected by the “in-the-moneyness” of the embedded financial options but also affected by the other factors such as policyholder’s financial literacy, age, policy size and curtate duration. Based on the insurance regulation, we analyze the impact of policyholder behaviors on reserving of variable annuities with guaranteed minimum withdrawal benefit (GMWB). Under the Actuarial Guideline XLIII (AG43) adopted by National Association of Insurance Commissioners, we consider different market models and policyholder behavior in our research. The results show that Regime Switching Lognormal model (RSLN-2) which follows heavy tail presents a higher reserve requirement rather than Lognormal model (LN). For the middle-aged adults, the optimal behavior presents the highest reserve requirement under the small policies. The regression model of Knoller et al. (2012) presents the highest reserve requirement under the large policies. Our analyses indicate significant impact between different policyholder behavior assumptions, so the insurers should use their experience to draw up their own surrender model to calculate the true reserve they need.
