臺灣博碩士論文加值系統

本文應用蒙地卡羅模擬法並同時考量隨機波動度與雙指數跳躍擴散過程 （SVCJ）來評價保險公司之資產模型，並利用Andersen（2000）提出的最佳執行邊界法來計算保險公司所隱含違約風險之賣權價值，此違約選擇權允許保險公司提前違約，其性質近似美式賣權但其中屬於履約價之保單準備金並非固定的值，保單準備金會隨著時間而遞增。接著本文對分紅保單做敏感度分析，考慮本國壽險業者的資本結構，比較槓桿比率在較高或較低下對參數敏感度之情形。

In this paper, we use Monte Carlo simulation approach with stochastic volatility and the double exponential jump diffusion process （SVCJ） model to simulate the assets of the insurance companies and the use of Andersen （2000） proposed a method to calculate the optimal exercise boundary implicit insurance companies including the right to sell the value of default risk, this default option allows early exercise, its approximate nature American put option strike price but the policy reserve is not a fixed value, the policy reserve increments over time. This paper implements sensitivity analysis of the participating policy when the insurance company has a higher or lower leverage levels.

中文摘要 I
英文摘要 II
目 次 III
表 次 IV
圖 次 V
第一章 緖論 1
第一節 研究動機與目的 1
第二節 論文架構概述 4
第二章 文獻回顧 5
第一節 隨機波動模型 6
第二節 跳躍-擴散模型 9
第三節 美式蒙地卡羅 11
第四節 保單文獻 13
第三章 研究方法 15
第一節 保單價值模型 15
第二節 資產模型假設 17
第三節 美式蒙地卡羅 19
第四章 研究結果 22
第一節 蒙地卡羅模擬價格 22
第二節 敏感度分析 23
第五章 結論 33
參考文獻 35

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