本研究將焦點放在附有最低保證給付的投資連結型商品,針對其定價與準備金做分析,目的是讓大家認識投資連結型商品以及發行者的風險。定價部分乃是藉由修正B-S賣權評價公式經計算獲得,而準備金部分則是參考英國精算協會所發展的精算準備金法(Actuarial Reserving Method),透過隨機模擬技術找出負債分配後,再依賴可靠的風險衡量值來估算所需之資本。經由本研究模擬的數據顯示,台灣股市相較於其他海外的股市其波動性更大,在投資人帳戶金額多半選擇投資於台股的條件下,更加考驗發行公司的風險管理能力,因此本研究在後半段提出了動態避險策略,作為保險公司降低風險的參考工具。另外本研究根據附保證投資連結型保單的資本要求,做了一連串的敏感度分析,結果可以給大家作為參考。
This paper examines the pricing of and reserving for certain guarantees that are associated with some insurance contracts. Specifically we deal with death and maturity guarantees, which provide a minimum level of benefits when the policy matures or when the policyholder dies, if earlier. Under actuarial reserving method using stochastic simulation techniques, we provide numerical estimates of the reserves required. The results suggest a higher level of reserve of investment guarantees in Taiwan. It highlights the risks associated with insurance products with investment guarantees in Taiwan. Further we describe hedging strategies which allow underwriting companies to reduce their risk exposure to these contracts. Since we do the calculations realistic by basing our numerical work on plausible parameter values and taking into account items such as expenses, transaction costs and the impact of lapses, our work has implications for current practice.
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