投資型人壽保險於脫退模型下之風險價差

• Main Author: 吳湘媛
• Language: 中文
• Published: 國立政治大學
• Subjects: 附保證年金型投資商品; 脫退因素; 隨機波動模型; guaranteed annuity-type investment products; lapse rates; withdrawal rates
• Online Access: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0098358022%22.

本文針對附保證年金型投資商品進行評價，其中被保險人脫退因素除受到死亡解約因素之外，對經濟環境影響因素產生解約問題，如利率攀升、經濟成長率、失業率等亦須考慮。附保證年金型投資商品公帄價值為保險公司販賣投資型年金商品須對負債面進行評價，以確保被保險人之權益，保險商品價值除因投資市場環境變動造成投資商品價值累積變動之外，對於被保險人因應市場環境轉變造成脫退問題亦影響保險公司對於投資型商品準備金價值評估，本篇依照Kolkiewicz & Tan(2006)之研究，假設附保證年金型投資商品評價方式，除投資標的受到市場變動影響外，對於經濟環境變動造成被保險人解約狀況亦考慮於核保模型中，因脫退因素考慮層面過廣，故本篇主要以死亡、經濟環境變動劇烈與利率上升導致解約因素為主要考慮狀態。 本研究推導之模型主要得出下列結果：(1)附保證年金型商品的公帄價格以保險年期的影響最大，其次為風險性資本市場長期帄均波動，而死亡率影響附保證投資年金型商品主要由風險性資本市場價值決定。(2)契約初始為主要解約期間，當解約力持續增加至一定值，契約後期解約率將趨於帄坦，本研究推估契約前期經濟市場波動易造成被保險人解約狀況，故解約程度增加。(3)主要投資型商品風險價差問題影響因素為長期市場波動程度，因風險價差之衡量主要考慮風險因子變動因素導致與公帄價值或期初保費差距，依照模型假設變動因子以風險性資產價值波動程度影響最巨，其次為保險期間，因此歸納出風險價差因子主要變動來源為風險性資產價值。 === In this paper, the goal is to evaluate fair value of guaranteed annuity-type investment products. In addition to death factors, the insured terminate by other reasons, such as interest rates raising, economic growth rate, and unemployment rate. Accordance with the liabilities side, the reserve of guaranteed annuity-type investment products must match it’s fair value. There is a question how to accurately evaluate fair value of guaranteed annuity-type investment products. The price of guaranteed annuity-type investment products is affected by two parts. One is cumulative index price change in value of investment goods, the other one is withdrawal rates. Kolkiewicz & Tan’s research assume guaranteed annuity-type investment products evaluation methods which is affected by market environment and termination status of the insured. The results show that (1) The major impact on fair value of guaranteed annuity-type investment products is mainly from the period of the insurance contracts. The secondary effect is long-term average risk capital market volatility. (2) The main terminate time is the beginning of the contracts. When the lapse rates continued to increase to a certain value, lapse rate tends to smooth.(3) The major impact on risk spread of guaranteed annuity-type investment products is mainly from long-term market volatility. To sum up, the major changes in sources of risk spreads factor are from asset value.