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

NCUIR > School of Management at National Central University > Graduate Institute of Finance > Electronic Thesis & Dissertation > Item 987654321/71781

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/71781

Title:	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
Authors:	李綾;Lee,Ling
Contributors:	財務金融學系
Keywords:	保單責任準備⾦金;隨機現⾦金流量測試;Stochastic Cash Flow Testing;liability reserve adequacy
Date:	2016-07-25
Issue Date:	2016-10-13 13:52:11 (UTC+8)
Publisher:	國立中央大學
Abstract:	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。;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.
Appears in Collections:	[Graduate Institute of Finance] Electronic Thesis & Dissertation

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	425	View/Open

社群 sharing

Loading...