Risk analysis for guaranteed minimum benefit life insurance riders

• Main Author: 李一成
• Other Authors: 張士傑
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/69053675402314968601

碩士 === 國立政治大學 === 風險管理與保險研究所 === 96 === Insurers have investment risks because they issue the guaranteed minimum benefit life insurance riders. Therefore, the purpose of this thesis is analyzing the risk for the riders. In the context, we implement numerical PDE solution to compute the ruin probability of separate account which is the probability that guaranteed minimum benefit life insurance riders will lead to financial insolvency under stochastic investment returns. Moreover, we will do sensitivity analyses to discuss the two aspects, market factors and contract designs, how to influence the ruin probability. Finally, we conclude two main results: 1. For market factors, the rate of investment return is negatively related to ruin probability; however, the volatility is positive correlation. 2. For contract designs, the results show negative correlation between ruin probability and insurance fee, withdrawals, and withdrawal period. But the initial account value shows positive correlation.