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題名:變額人壽保險之保證與解約價值
書刊名:保險專刊
作者:張士傑 引用關係林威廷楊尚穎 引用關係
作者(外文):Chang, Shih-chiehLin, Wei-tingYang, Shang-yin
出版日期:2009
卷期:25:2
頁次:頁133-169
主題關鍵詞:附保證變額壽險BGM利率模型解約選擇權最小平方蒙地卡羅法Minimum guaranteeBGMWithdrawal optionLeast square Monte Carlo
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(1) 專書(0) 專書論文(0)
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  • 點閱點閱:3
本文針對附保證變額人壽保險契約進行評價,假設投保人可投資兩類型標的:股價指數及債券型基金,分別計算不含解約權及含解約權之躉繳純保費、隱含之保證和解約權價值,並且於投資比例、最低保證、保證給付成長率、解約保證給付成長率和首次解約時點變動下,探討於保證與解約權價值之影響。結果顯示:(1)股票比例顯著影響保證和解約權價值於保費比重。(2)投資比例、保證給付和保證給付成長率顯著影響保證價值。起始保證給付和解約之保證給付成長率增加造成解約權價值增加;而保證給付成長率和首次解約期間增加,解約權價值遞減。
This paper studies the fair valuation for guarantee and withdrawal options embedded in the variable life insurance policies. The benefits of the policyholder are linked to the performance of equity index fund and bond index fund. The results show that (1) when the guarantee equals to the initial asset, the guarantee and withdrawal options significant increase given the high proportion in equity fund. (2) The guarantee increases when the proportion of equity fund, the guarantee and the growth of minimum guarantee increases. The withdrawal option increases when guarantee and growth of withdrawal guarantee increases. The withdrawal option decreases when minimum guarantee and duration of initial turnover increase. The withdrawal guarantee heavily influenced by the portfolio mix.
期刊論文
1.Brennan, M. J.、Schwartz, E. S.(1978)。Finite difference methods and jump processes arising in the pricing of contingent claims: A synthesis。Journal of Financial and Quantitative Analysis,13(3),461-474。  new window
2.Brace, Alan、Gatarek, Dariusz、Musiela, Marek(1997)。The Market Model of Interest Rate Dynamics。Mathematical Finance,7(2),127-155。  new window
3.Bacinello, A. R.、Persson, S. A.(2002)。Design and Pricing of Equity--Linked Life Insurance under Stochastic Interest Rate。Journal of Risk Finance,3(2),6-21。  new window
4.Bacinello, A. R.(2005)。Endogenous Model of Surrender Conditions in Equit--Linked Life Insurance。Insurance: Mathematics and Economics,37,270-296。  new window
5.Bacinello, A. R.、Ortu, F.(1993)。Pricing Equity-linked Life Insurance with Endogenous Minimum Guarantees。Insurance: Mathematics and Economics,12(3),245-257。  new window
6.Brennan, M. J.、Schwartz, E. S.(1976)。The Pricing of Equity-linked Life Insurance Policies with an Asset Value Guarantee。Journal of Financial Economics,3,195-213。  new window
7.Nielsen, J. A.、Sandmann, K.(1995)。Equity-linked Life insurance: A Model with Stochastic Interest Rates。Insurance: Mathematics and Economics,16,225-253。  new window
8.Boyle, P.(1977)。Options: A Monte Carlo Approach。Journal of Financial Economics,4(3),323-338。  new window
9.Albizzati, M. O.、Geman. H.(1994)。Interest Rate Management and Valuation of the Surrender Option in Life Insurance Policies。Journal of Risk and Insurance,61(4),616-637。  new window
10.Hull, J.、White, A.(1990)。Pricing Interest Rate Derivative Securities。The Review of Financial Studies,3,573-592。  new window
11.Longstaff, F. A.、Schwartz, E. S.(2001)。Valuing American Option by Simulation: A Simple Least-Squares Approach。The Review of Financial Studies,14(1),113-148。  new window
12.Persson, S. A.、Aase, K. K.(1997)。Valuation of Minimum Guaranteed Return Embedded in Life Insurance Products。Journal of Risk and Insurance,64(4),599-617。  new window
13.Turnbull, S. M.、Wakeman, L. M.(1991)。Quick Algorithm for Pricing European Average Options。Journal of Financial and Quantitative Analysis,26,377-389。  new window
14.Vorst, A. C. F.(1992)。Pricing and Hedge Ratios of Average Exchange Rate Options。International Review of Financial Analysis,1,179-193。  new window
15.Wu, T. P.、Chen, S. N.(2007)。Equity Swaps in a Libor Market Model。The Journal of Futures Markets,27(9),893-920。  new window
16.Heath, David C.、Jarrow, Robert A.、Morton, Andrew J.(1992)。Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation。Econometrica,60(1),77-105。  new window
17.Black, Fischer、Scholes, Myron S.(1973)。The Pricing of Options and Corporate Liabilities。Journal of Political Economy,81(3),637-654。  new window
18.Cox, John C.、Ingersoll, Jonathan E. Jr.、Ross, Stephen A.(1985)。A Theory of the Term Structure of Interest Rates。Econometrica,53(2),385-407。  new window
19.Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。  new window
20.Cox, John C.、Ross, Stephen A.、Rubinstein, Mark(1979)。Option Pricing: A Simplified Approach。Journal of Financial Economics,7(3),229-263。  new window
圖書
1.財團法人保險事業發展中心(2007)。投資型保險商品。台北市:財團法人保險事業發展中心。  延伸查詢new window
2.Rebonato, R.(1999)。Volatility and Correlation。Chichester:Wiley。  new window
圖書論文
1.Bacinello, A. R.、Ortu, F.(1993)。Pricing Guaranteed Securities-linked Life Insurance under Interest Rate Risk。Actuarial Approach for Financial Risks。  new window
2.Delbaen, F.(1990)。Equity Linked Policies。Bulletin Association Royal Actuaries Beiges。  new window
 
 
 
 
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