On the Distribution of Life Insurance Reserves in a Stochastic Mortality, Interest Rate, and Surrender Rate Environment_

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題名：	On the Distribution of Life Insurance Reserves in a Stochastic Mortality, Interest Rate, and Surrender Rate Environment
書刊名：	證券市場發展季刊
作者：	蔡政憲／陳威光／詹志清
作者(外文)：	Tsai, Chenghsien／Chen, Wei-kuang／Chan, Chihching
出版日期：	2003
卷期：	15:2=58
頁次：	頁1-30
主題關鍵詞：	提前解約；壽險準備金；利率風險；參數估計風險；Early Surrender；Life insurance reserves；Interest rate risk；Parameter estimation risk
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:2 共同引用:0 點閱:10

期刊論文
1.	Grosen, A.、Jorgensen, P. L.(2000)。Fair valuation of life insurance liabilities: the impact of interest guarantees, surrender options, and bonus policies。Insurance: Mathematics and Economics，26，37-57。
2.	Grosen, A.、Jørgensen, P. L.(1997)。Valuation of Early Exercisable Interest rate Guarantees。Journal of Risk and Insurance，64(3)，481-503。
3.	Duan, Jin-Chuan(1994)。Maximum Likelihood Estimation Using Price Data Of The Derivative Contract。Mathematical Finance，4(2)，155-167。
4.	Santomero, Anthony M.、Babbel, David F.(1997)。Financial Risk Management by Insurers: An analysis of the Process。Journal of Risk and Insurance，64(2)，231-270。
5.	Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics，5(2)，177-188。
6.	De Varenne, F.、Briys, E.(1997)。On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls。The Journal of Risk and Insurance，64，673-694。
7.	Bellhouse, D. R.、Panjer, H. H.(1981)。Stochastic Modeling of Interest Rates with Applications to Life Contingencies - Part II。The Journal of Risk and Insurance，48，628-637。
8.	De Schepper, A.、Goovaerts, M.(1992)。Some Further Results on Annuities Certain with Random Interest。Insurance: Mathematics and Economics，11，283-290。
9.	Giaccotto, C.(1986)。Stochastic Modeling of Interest Rates: Actuarial vs. Equilibrium Approach。The Journal of Risk and Insurance，53，435-453。
10.	Parker, G.(1997)。Stochastic Analysis of the Interaction Between Investment and Insurance Risks。North American Actuarial Journal，1，55-84。
11.	Parker, G.(1994)。Moments of the Present Value of a Portfolio of Policies。Scandinavian Actuarial Journal，1，53-67。
12.	Bellhouse, D. R.、Panjer, H. H.(1980)。Stochastic Modeling of Interest Rates with Applications of Life Contingencies。The Journal of Risk and Insurance，47，91-110。
13.	Parker, G.(1994)。Limiting Distribution of the Present Value of a Portfolio。ASTIN Bulletin，24，47-60。
14.	Beekman, J. A.、Fuelling, C. P.(1992)。Extra Randomness in Certain Annuity Models。Insurance: Mathematics and Economics，10，275-287。
15.	Beekman, J. A.、Fuelling, C. P.(1993)。One Approach to Dual Randomness in Life Insurance。Scandinavian Actuarial Journal，2，173-182。
16.	Gaillardetz, P.、Marceau, E.(1999)。On Life Insurance Reserves in a Stochastic Mortality and Interest Rates Environment。Insurance: Mathematics and Economics，25，261-280。
17.	Outreville, J. F.(1990)。Whole-Life Insurance Surrender Rates and the Emergency Fund Hypothesis。Insurance: Mathematics and Economics，9，249-255。
18.	Parker, G.(1996)。A Portfolio of Endowment Policies and its Limiting Distribution。ASTIN Bulletin，26，25-33。
19.	Parker, G.(1994)。Stochastic Analysis of a Portfolio of Endowment Insurance Policies。Scandinavian Actuarial Journal，2，119-130。
20.	Frees, E. W.(1990)。Stochastic Life Contingencies with Solvency Considerations。Transaction of the Society of Actuaries，42，91-148。
21.	Geman, H.、Albizzati, M. O.(1994)。Interest Rate Risk Management and Valuation of the Surrender Option in Life Insurance Policies。The Journal of Risk and Insurance，61，616-637。
22.	Beekman, J. A.、Fuelling, C. P.(1990)。Interest and Mortality Randomness in Some Annuities。Insurance: Mathematics and Economics，9，185-196。

圖書
1.	Black, K.、Skipper, H. D.(2000)。Life and Health Insurance。Upper Saddle River：Prentice-Hall。
2.	Nesbitt, C. J.、Gerber, H. U.、Hickman, J. C.、Jones, D. A.、Bowers, N. L.(1986)。Actuarial Mathematics。Schaumburg, IL：Society of Actuaries。
3.	Tanis, E. A.、Hogg, R. V.(1997)。Probability and Statistical Inference。Probability and Statistical Inference。New Jersey。
4.	Fitton, P.、McNatt, J. F.(1997)。The Four Faces of an Interest Rate Model。Advances in Fixed Income Valuation Modeling and Risk Management。New Hope, PA。
5.	A. M. Best Company(2000)。Best's Aggregates and Averages: Life-Health。Best's Aggregates and Averages: Life-Health。Oldwick, NJ。
6.	American Council of Life Insurance(1998)。Life Insurance Fact Book。Life Insurance Fact Book。Washington, DC。
7.	Babbel, D. F.(1995)。Asset-Liability Matching in the Life Insurance Industry。The Financial Dynamics of the Insurance Industry。New York, NY。

圖書論文
1.	Cox, S. H.、Laporte, P. D.、Linney, S. R.、Lombardi, L.(1992)。Single-Premium Deferred Annuity Persistency Study。Transactions of Society of Actuaries Reports。

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