附保證給付投資型保險之責任準備金和風險基礎資本探討-以勞退新制變額年金保險為例

• Main Authors: Hsiao-Hsu Chang, 張孝旭
• Other Authors: 楊曉文
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/40071936600994481715

碩士 === 國立臺灣大學 === 財務金融學研究所 === 93 === This paper review the guildlines and researches of insurance products with guarantees in Canada、America and Hong Kong. Though the guildlines and researches in these countries are a little diffenent，they all encourage to use stochastic approach to determine reserve and risk based capital.And this paper combine the topic about the variable annuity products of the New Labor Retirement Pension System in Taiwan. Following the previous guildlines and researches,we adopt a stochastic approach to perform an analysis of average guarantee cost、guaratee reserve and risk based capital about variable annuity products of the New Labor Retirement Pension System.Finally the paper show the simulation results of average guarantee cost、guaratee reserve and risk based capital of GMDB and GMMB.