| Summary: | 碩士 === 逢甲大學 === 風險管理與保險研究所 === 100 === Managing the risk of policy reserves is important for the life insurers. The past papers focused on measuring the risk of life insurance policy reserves under stochastic interest rates and stochastic lapse rate. These papers found that the stochastic mortality rate is not important for the risk of life insurance policy reserves. However, this conclusion is not held when the mortality improvement is considered.
In this study, we not only consider the stochastic interest rates and surrender rates, but also apply the Lee-Carter mortality model to describe the mortality improvement. Moreover, we consider the expense ratio when we measure the risk reserves of the term life insurance policy and the annuity policy. In order to understand the risk of the policy reserve, we simulate the distribution of the policy reserves and apply the statistics to measure the risk which include the mean, standard deviation, kurtosis, skewness and value at risk.
The results show that the risk of policy reserves will reduce when we consider the mortality improvement. However, the risk of policy reserves is significantly worse when we consider the mortality improvement. The numerical results also show that the convex expense rate curve could reduce the uncertainty of policy reserves. Thus, we suggest that the life insurers have to take the mortality improvement into consideration when they price the products and manage the reserves. Finally, the reasonable expense rate structure will be beneficial to the life insurers to manage the risk of policy reserves.
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