The Evaluation , Performance , and Risk Analysis of VariableUniversal Life Insurance

• Main Authors: Hsien-Chao Cheng, 鄭憲超
• Other Authors: EnDer Su
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/27415839289901928512

碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 94 === ABSTRACT This paper studies variable universal life insurance (VUL) valuation and performance of the three insurance companies-A, B and C. We picked up five kinds of mutual funds for each company and created three kinds of porffolios as “active”, “stable”, and “conservative”. Using Brownian motion and Cox, Ingersoll, and Ross interest rate models to simulate the multivariable fund value in 7 years, we found that the number of positive net present value(NPV) for “active” portfolio are greater than those of “stable” and “conservative”, especially for A corporation . Also, we found that insurance values, total returns, net present values, and internal rate of returns (IRR) exhibit right-hand skewed and highly peaked. It is suitable for active investment. However, the insurance cost deduction of investment amount for A corporation is the lowest one and thus it has better performance among three companies regarding insurance values, total returns, net present values, and internal rate of returns. In the scenario analysis, if we solely invested in funds without considering additional fee of insurance and simulated the returns for the future seven years, we found that three companies’ investing performances are very outstanding especially for active portfolio.and B corporation active portfolio is the best among the three companies’ active portfolio. Then, we used sensitivity analysis to study the interest rate effect upon insurance value, total return, NPV, and IRR at the end of seventh year. we found that when the interest rate is higher, total return and IRR will also increase. However, the number of positive NPV and NPV itself will decrease and the change of interest has no effect upon insurance value in the future. In the end, we used delta-nomral and Monte Carlo to analyze the value at risk (VaR) and Sharp ratio to measure performances of companies’ products. The Sharp ratios of total returns, net present values, and internal rate of returns (IRR) showed that the performances of A corporation product are the best one. On the other hand, B corporation has the best Sharp ratio of insurance value. For the VaR analysis, we found that C corporation has the lowest absolutive and relative VaR values for all respects.