| Summary: | 碩士 === 國立政治大學 === 風險管理與保險研究所 === 100 === In this article, we focus on the causes and the features of lapse rate including year, sex, size, underwriting method, premium payment mode, policy year, interest rate and interest rate difference by collecting and analyzing the empirical data of endowment, whole life insurance and term life insurance in Taiwan from Taiwan Insurance Institute. Then we take factors that have effect with lapse rate into account to establish model, and we hope to accurately estimate the lapse rate of endowment, whole life insurance and term life insurance in Taiwan by these models, and assist the life insurance companies’ financial decision making.
After analyzing, we find the most effective factor of this study is the policy year, which means the year after issuing, so we take this one as our primary consideration of our lapse rate model. Then we add the interest rate difference and interest rate in the further two models. Beside this, we further consider the important factors in the part of analysis and put it in the fourth model by using Logistic Regression Model. Finally, we apply these four models to the policy reserve of life insurance company by taking endowment policy as an example simulating the cash flow. We find that the results was same as Tsai et al. (2002) that distribution of policy reserve is strongly affected by interest rate risk, but can decrease interest rate risk the company have to face in the future by adding our lapse rate models, especially the policy year model, and the fourth lapse rate model which count into most factors was not the same as Tsai et al. producing result between policy year model and the policy- interest rate model. From the results of all the lapse rate model. We can know that considering different factors in the model will bring such distinct contribution amount of reserve for life insurance company.
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