臺灣博碩士論文加值系統

本研究主要目的在探討一風險中立的壽險公司，並假設其可銷售兩種期繳平準保單：即傳統固定利率生死合險以及新式可分紅之生死合險，並在考慮破產成本對公司盈餘的影響下，求出分紅保單之合理均衡保費，因為若未考慮破產成本存在會造成公司盈餘價值的高估，導致分紅保單保費的低估，本研究指出破產風險的存在的確會造成公司盈餘錯估的風險。
此外，本研究也針對在不同的解約敏感度以及長期利率的條件下，進行最適保單配置比例與風險性資產配置比例的敏感度分析，我們發現風險性資產配置比例的變動對於壽險公司的期末盈餘價值與期末盈餘的風險值影響程度相對較大。

第一章 緒論
1.1 研究動機
1.2 研究目的
1.3 研究架構
第二章 相關文獻回顧
2.1 保險公司的盈餘價值
2.2 保險商品的隱含選擇權的相關文獻
2.3 保單價值準備金的風險管理
第三章 模型設定
3.1 契約內容
3.2 建立模型
3.2.1 資產面
3.2.2 負債面
3.3 加入破產成本的壽險公司期末盈餘分配
第四章 數值分析
4.1 參數設定
4.2 統計數值分析結果
4.2.1 保單配置比例變動的影響
4.2.2 長期利率走勢變動的影響
4.2.3 解約係數變動的影響
4.3 長期利率變動之敏感度分析
4.4 解約係數變動之敏感度分析
4.5 破產成本與均衡價格之敏感度分析
第五章 結論與後續建議
參考文獻

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