Value at Risk of Life Insurance Policy Reserves

壽險保單準備金之風險值

蔡政憲(Chenghi-Sen Tsai) ； 郭維裕(Wei-Yu Kuo) ； 李孟倚(Meng-Yi Li)

《財務金融學刊》 11卷1期 (2003/04) Pp. 41-65

https://doi.org/10.6545/JFS.2003.11(1).2

摘要

作者們於本文中估計數種保險商品準備金之風險值。由於準備金沒有市場價格，作者們建立了一個包含死亡率風險，利率風險，解約率風險，以及參數估計風險的模擬模型來估計風險值。我們發現死亡率所產生的風險位很低，利率平風險以及利率模型的參數估計風險會使風險值顯著雙大，而解約率風險則會降低準備金的風險值，保險商品中，年金與終身壽險的風險值最大，生存險與生死合險次之，而定期壽險的風險值則最小。

關鍵字

風險值 ； 保單準備金 ； 人身保險

並列摘要

We estimate the value at risk (VaR) of life insurance policy reserves in this paper. Since the market price of reserves docs not exist we construct a simulation model considering mortality rate risk, interest rate risk, surrender rate risk, and parameter estimation risk to estimate the VaR. Simulation results show thatthe VaR from mortality rate risk is small but interest rate risk as well as the parameter estimation risk of interest rate model significantly enlarges the VaR. On the other hand, surrender rate risk reduces reserve VaR. With regard to individual products, annuity and whole life insurance have the largest VaRs, followed by pure endowment and endowment. Term life insurance has the smallest one.

並列關鍵字

Value at risk ； Policy reserves ； Life insurance

參考文獻

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