同調風險測量值在保證給付投資型保險準備金提存之應用

• Main Author: 鄭宇宏
• Other Authors: Chengh-Sien Tsai
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/41620746483956175184

碩士 === 國立政治大學 === 風險管理與保險研究所 === 91 === In this paper we introduce the properties of a coherent risk measure（Artzner et al（1999））. The risk measure of Value at Risk that does not adhere to the consistency requirements is discussed. We consider the coherent risk measures of conditional tail expectation（also known as Tail-VaR）, proportional hazards and dual power distortion functions outlined by Wirch and Hardy（1999）. MGWP（1980），Boyle and Hardy（1997），Hardy（2000），Yang（2001），Wilkie, Waters and Yang（2003）use VaR and the latter two papers also apply conditional tail expectation to reserve for investment-linked contracts with guaranteed risk. Instead, we apply the coherent measures to reserve two different types of guarantee：guarantee minimum death benefit and guaranteed annuity options attached to variable annuity contracts and unit-linked contracts separately. In addition, the comparison of the numerical results for VaR risk measure and coherent risk measure are analyzed.