臺灣博碩士論文加值系統

In the past few years, the variable insurance is one of the hottest products on the market, but policy value depends on investment performance during accumulation period. If investment performs poorly, policyholder is not indemnify when lost occurs. Hence, the GMDB rider was created. This rider is an option that protects the policyholder if policyholder passes away during accumulation period, premium will be returned in full. However, since this rider is an option and option has value. In this paper, we will simulation the cost of GMDB. From the study, we found that even under VaR (95) GMDB does not cost much. Insurance company can choose either to charge the rider or use it as a selling point to attract customers.

Chapter 1. INTRODUCTION..........................................1
Chapter 2. LITERATURE REVIEW....................................3
Chapter 3. AN INTRODUCTION TO VARIABLE INSURANCE............6
3.1 Variable Life Insurance .........................................6
3.2 Variable Universal Life Insurance .................................7
3.3 Variable Annuity...............................................7
3.4 Major Guaranteed types.........................................7
Chapter 4. FRAMEWORK ON COST OF GMDBs IN VARIABLE
ANNUITIES..............................................9
4.1 Introduction to Models .........................................9
4.2 Monte Carlo Simulation .......................................11
Chapter 5. SIMULATION RESULTS..................................13
Chapter 6. CONCLUSION...........................................25
6.1 Conclusion..................................................25
6.2 Suggestion..................................................26
Work Cited........................................................27








Index of Table
Table 4.1 Simulation parameters.........................................12
Table 5.1 Simulation results at age 30.....................................14
Table 5.2 Simulation results at age 35.....................................15
Table 5.3 Simulation results at age 40.....................................16
Table 5.4 Simulation results at age 45.....................................17
Table 5.5 Simulation results at age 50.....................................18
Table 5.6 Simulation results at age 55.....................................19
Table 5.7 Simulation results at age 55.....................................20
Table 5.8 Parameters assumed from 3 markets..............................21
Table 5.9 Simulation results from 3 markets under VaR(95) ...................22
Index of Figure
Figure 5.1 Average cost at age 30........................................14
Figure 5.2 Average cost at age 35........................................15
Figure 5.3 Average cost at age 40........................................16
Figure 5.4 Average cost at age 45........................................17
Figure 5.5 Average cost at age 50........................................18
Figure 5.6 Average cost at age 55........................................19
Figure 5.7 Average cost at age 60........................................20
Figure 5.8 Mortality rate vs. Cost under VaR(95)...........................21
Figure 5.9 Simulation results from 3 markets under VaR(95)..................22
Figure 5.10 Simulation results on Dow Jones and S&P 500...................23

Work Cited
1.王棻瑩，2002，付保證給付之投資型保險商品成本訂價：以變額年金保險死亡保證為例，私立淡江大學保險學系保險經營碩士班碩士論文。
2.張孝旭，2005，付保證給付投資型保險之責任準備金和風險基礎資本探討---以勞退新制變額年金保險為例，國立台灣大學財務金融研究所碩士論文。
3.曾柏方，2004，付有最低保證給付投資型保險之評價與分析，國立政治大學金融研究所碩士論文。
4.連婉萱，2006，隨機利率模型下分紅保單之紅利分配與資產配置策略，私立逢甲大學保險學系碩士論文。
5.Boyle, P. P. and M.R. Hardy, 1997, Reserving for Maturity Guarantees: Two Approaches, Insurance: Mathematics & Economics, 113-127.
6.Cox, J. C., J. E. Ingersoll and S. A. Ross, 1985, A Theory of the Term Structure of Interest Rates, Econometrica, 53(2), 385-407.
7.Ula, E. R., 2006, The Effect of the Real Option to Transfer on the Value of Guaranteed Minimum Death Benefits, Journal of Risk and Insurance, 73(1), 43-69.
8.財團法人保險事業發展中心，http://www.tii.org.tw/fcontent/database/sta_test2/genrep_selectG.asp?us_license=Z