The Application of Stochastic Models in Insurer’s Cash Flow Testing
碩士 === 國立中央大學 === 財務金融學系 === 104 === The purpose of this research is to apply two financial scenario generator models - CAS-SOA financial scenario model and AAA financial scenario model proposed in the actuarial practice in the U.S., to produce a set of interest rate scenarios and equity return scen...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/32220925856765262075 |
| Summary: | 碩士 === 國立中央大學 === 財務金融學系 === 104 === The purpose of this research is to apply two financial scenario generator models - CAS-SOA financial scenario model and AAA financial scenario model proposed in the actuarial practice in the U.S., to produce a set of interest rate scenarios and equity return scenarios for the actuarial use in Taiwan. We first calibrate the stochastic models and select the best fitted model to produce the economic scenarios. We then model the cash flow and discuss the influences of the results on reserve adequacy test. In Taiwan, the appointed actuary must use the stochastic cash flow testing to assess the adequacy of reserve since 2001. This paper takes traditional life insurance as an example to calculate the premiums and reserves. According to the best fitted model, we use AAA model to produce interest rate scenarios and use CAS-SOA model to produce equity returns scenarios. The results show that the reserves are adequate under the setting asset allocation.
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