| 摘要(英) |
There are more challenges of operating in the life insurance industry because of the more strict requirements in overseeing, the developments in the account system such as “IFRS4” and the risk management system such as “Solvency Ⅱ”. For a life insurance company, the various departments are responsible for policies valuation, preparation of actuarial overseeing documentation, early warning of solvency and risk management in using the different methods, thus to communicate with each other and to make the largest profit are difficult. In this article, to establish the early warning system of solvency which is based on the equivalent theoretical methods with preparation of actuarial overseeing documentation, “IFRS4” and “Solvency Ⅱ” is the principal attempt.
The research method in this article is based on how to take the valuation of American-Option. First, the assets of a life insurance company are regarded as gearing sign bond. Second, Least-Squares Monte Carlo Method, single factor stochastic interest rate model and multi-variable simulation procedure are used to construct the early warning system of solvency. Finally, the efficient processes for coding is supplied.
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| 參考文獻 |
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