Lee-Carter死亡率模型下壽險公司準備金風險之量化__臺灣人文及社會科學引文索引資料庫

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題名：	Lee-Carter死亡率模型下壽險公司準備金風險之量化
書刊名：	風險管理學報
作者：	黃雅文
作者(外文)：	Hwang, Ya-wen
出版日期：	2012
卷期：	14:2
頁次：	頁141-160
主題關鍵詞：	死亡改善率；壽險公司；準備金；Mortality improvement；Life insurer；Reserve
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:1 點閱:9

本研究藉由模擬準備金分佈來探討死亡改善率與隨機利率對準備金風險之影響。研究結果發現死亡改善率對準備金風險之影響十分顯著，尤其是年金商品。且在死亡改善率下，隨機利率會惡化死亡改善率對準備金之影響。因此，本研究建議壽險公司在商品計價時將死亡改善率納入考量。

以文找文

This study investigates the influence of life insurer's reserves under mortality improvement and stochastic interest rate through simulating the distribution of reserves. The numerical results show that mortality improvement risk is significant for the life insurer's reserves, especially in annuity policies. Moreover, the stochastic interest rates will deteriorate the influence of mortality improvement. Therefore, life insurers should incorporate the mortality improvement into pricing and valuation.

以文找文

期刊論文
1.	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。
2.	Beekman, J. A.、Fuelling, C. P.(1990)。Interest and Mortality Randomness an Some Annuities。Insurance: Mathematics and Economics，9，185-196。
3.	Beekman, J. A.、Fuelling, C. P.(1991)。Extea Randomness in Certain Annuity Models。Insurance; Mathematics and Economics，10，275-287。
4.	Beekman, J. A.、Fuelling, C. P.(1993)。One Approach to Dual Randomness in Life Insurance。Insurance: Mathematics and Economics，2，173-182。
5.	Bellhouse D. R.、Panjer, H. H.(1981)。Stochastic Modeling of Interest Rate with Applications to Life Contingencies - Part II。Journal of Risk and Insurance，48，628-637。
6.	Booth, H.、Maindonald, J.、Smith, L.(2002)。Applying Lee-Carter under Conditions of Variable Mortality Decline。Population Studies，56(3)，325-336。
7.	Frees, E.、Carriere, W. J.、Valdez, E.(1996)。Annuity Valuation with Dependent Mortality。Journal of Risk and Insurance，63，229-261。
8.	Giaccotto, C.(1986)。Stochastic Modeling of Interest Rate: Actuarial vs. Equilibrium Approach。Journal of Risk and Insurance，53，435-453。
9.	Huang, Hong-Chih、Yue, Jack C.、Yang, Sharon S.(2008)。An Empirical Study of Mortality Models in Taiwan。Asia-Pacific Journal of Risk and Insurance，3(1)，150-164。
10.	Khalaf-Allah, M.、Haberman, S.、Verrall, R.(2006)。Measuring the Effect of Mortality Improvements on the Cost of Annuities,。Insurance: Mathematics and Economics，39，231-249。
11.	Koissi, M. C.、Shapiro, A. F.(2006)。Fuzzy Formulation of the Lee-Carter Model for Mortality Forecasting。Insurance: Mathematics and Economics，39，287-309。
12.	Lee, R. D.、Miller, T.(2001)。Evaluating the Performance of the Lee-Carter Method for Forecasting Mortality。Demography，38(4)，537-549。
13.	Olivieri, A.(2001)。Uncertainty in Mortality Projections: An Actuarial Perspective。Insurance: Mathematics and Economics，29，231-245。
14.	Panjer, H. H.、Bellhouse, D. R.(1980)。Stochastic Modeling of Interest Rate with Applications to Life Contingencies - Part Ⅰ。Journal of Risk and Insurance，47，91-110。
15.	Renshaw, A. E.、Haberman, S.(2003)。Lee-Carter Mortality Forecasting with Age- specific Enhancement。Insurance: Mathematics and Economics，33，255-272。
16.	Tsai, C.、Kuo, W.、Chiang, D.(2009)。The Distribution of Policy Reserves Considering The Policy-Year Structures of Surrender Rates and Expense Ratios。The Journal of Risk and Insurance，76，909-931。
17.	Yang, S. S.、Yue, J. C.、Huang, H. C.(2010)。Modelling Longevity Risk Using Principle Component: A Comparison with Existing Stochastic Mortality Models。Insurance: Mathematics and Economics，46，254-270。
18.	蔡政憲、陳威光、詹志清(20030700)。On the Distribution of Life Insurance Reserves in a Stochastic Mortality, Interest Rate, and Surrender Rate Environment。證券市場發展，15(2)=58，1-30。
19.	Tsai, Chenghsien、Kuo, Weiyu、Chen, Wei-Kuang(2002)。Early surrender and the distribution of policy reserves。Insurance: Mathematics and Economics，31(3)，429-445。
20.	Cairns, Andrew J. G.、Blake, David、Dowd, Kevin(2006)。A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration。Journal of Risk and Insurance，73(4)，687-718。
21.	Cairns, Andrew J. G.、Blake, David、Dowd, Kevin、Coughlan, Guy D.、Epstein, David、Ong, Alen、Balevich, Igor(2009)。A Quantitative Comparison of Stochastic Mortality Models Using Data from England and Wales and the United States。North American Actuarial Journal，13(1)，1-35。
22.	Gompertz, Benjamin(1825)。On the Nature of the Function Expressive of the Law of Human Mortality, and on a New Mode of Determining the Value of Life Contingencies。Philosophical Transactions of the Royal Society of London，115，513-583。
23.	Renshaw, Arthur E.、Haberman, Steven(2006)。A Cohort-Based Extension to the Lee-Carter Model for Mortality Reduction Factors。Insurance: Mathematics and Economics，38(3)，556-570。
24.	Lee, Ronald D.(2000)。The Lee-Carter method for forecasting mortality, with various extensions and applications。North American Actuarial Journal，4(1)，80-93。
25.	De Schepper, A.、Goovaerts, M.(1992)。Some Further Results on Annuities Certain with Random Interest。Insurance: Mathematics and Economics，11，283-290。
26.	Parker, G.(1994)。Moments of the Present Value of a Portfolio of Policies。Scandinavian Actuarial Journal，1，53-67。
27.	Gaillardetz, P.、Marceau, E.(1999)。On Life Insurance Reserves in a Stochastic Mortality and Interest Rates Environment。Insurance: Mathematics and Economics，25，261-280。
28.	Parker, G.(1996)。A Portfolio of Endowment Policies and its Limiting Distribution。ASTIN Bulletin，26，25-33。
29.	Frees, E. W.(1990)。Stochastic Life Contingencies with Solvency Considerations。Transaction of the Society of Actuaries，42，91-148。
30.	Lee, R. D.、Carte, L. R.(1992)。Modeling and Forecasting U.S. Mortality。Journal of the American Statistical Association，87(419)，659-675。
31.	Koissi, M. C.、Shapiro, A. F.、Hognas, G.(2006)。Evaluating and Extending the Lee-Carter Model for Mortality Forecasting: Bootstrap Confidence Interval。Insurance: Mathematics and Economics，38(1)，1-20。

會議論文
1.	曾奕祥、余清祥(2005)。Lee-Carter模型分析：台灣地區死亡率推估之研究。延伸查詢
2.	Olivieri, A.、Pitacco, E.(2002)。Inference about Mortality Improvement in Life Annuity Portfolios。

研究報告
1.	楊曉文、梁正德、繆震宇(2009)。長壽風險對壽險業之經營影響及因應策略。財團法人保險事業發展中心。延伸查詢
2.	Brown, J. R.、Mitchell, O. S.、Poterba, J. M.(2000)。Mortality Risk, Inflation Risk, and Annuity Products。Cambridge, MA：National Bureau of Economic Research。
3.	Continuous Mortality Investigation Bureau(1999)。Standard Tables of Mortality Based on the 1991-1994 Experiences。UK：The Institute and Faculty of Actuaries。
4.	Wilmoth, J.(1993)。Computational Methods for Fitting and Extrapolating The Lee-Carter Model of Mortality Change。Berkeley：Department of Demography, University of California。

圖書
1.	Mitchell, O. S.、Poterba, J. M.、Warshawky, M. J.、Brown, J. R.(2001)。New Evidence on the Moneyâs Worth of Individual Annuities: The Role of Annuity Markets in Financing Retirement。Boston：MIT Press。
2.	The World Bank(1993)。The East Asian Miracle:Economic Growth & Public Policy。New York：Oxford University Press。
3.	行政院經濟建設委員會(2010)。2010年至2060年台灣人口推計。台北：行政院經濟建設委員者。延伸查詢

其他
1.	Currie, Iain D.(2006)。Smoothing and Forecasting Mortality Rates with P-splines，https://www.actuaries.org.uk/system/files/documents/pdf/currie.pdf。

圖書論文
1.	Friedman, B.、Warshawsky, M.(1990)。Annuity Prices and Saving Behavior in the United States。Pension in the U.S. Economy。Chicago：University of Chicago Press。

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