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研究生:李晏甄
研究生(外文):Yen-Chen Lee
論文名稱:隨機利率下股權連結保單之公平價值
論文名稱(外文):Fair Value of Equity-Linked Polices with Stochastic Interest Rates
指導教授:洪子倫張智凱張智凱引用關係
指導教授(外文):Tzyy-Leng HorngChi-Kai Chang
學位類別:碩士
校院名稱:逢甲大學
系所名稱:統計與精算所
學門:數學及統計學門
學類:統計學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:41
中文關鍵詞:解約選擇權偏微分方程股權連結保單分紅選擇權CIR 模型
外文關鍵詞:participating optionpartial differential equationCIR modelequity-linked contractssurrender option
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  • 被引用被引用:1
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Shen and Xu (2005) 於固定利率之下評價股權連結保單,此保單包含分紅選擇權與解約選擇權,分紅選擇權可視為歐式選擇權,解約選擇權可視為美式選擇權。本文於隨機利率CIR模型,根據Shen and Xu (2005) 之保險契約架構,結合死亡風險與財務風險,並利用偏微分方程評價分紅選擇權與解約選擇權之公平價值。此外,本文討論各種參數對股權連結保單之公平價值的敏感度分析,結果發現當資產波動、利率波動、資產波動與利率波動之相關係數和保單價值呈正相關,保證利率、長期利率水準、均數復歸調整係數與瞬間死力和保單價值呈負相關,保險公司透過敏感度分析,可作為評價可解約之股權連結保單之依據。
關鍵字:CIR模型、分紅選擇權、股權連結保單、偏微分方程、解約選擇權。
Shen and Xu (2005) employed fixed interest rate model to numerically calculate the fair value of equity-linked contracts containing a surrender option. The equity-linked contracts contain participating mechanism and surrender option. The participating mechanism can be considered a European option, and surrender option can be considered an American option. This study demonstrates a stochastic interest rate model. The contracts are based on Shen and Xu (2005) which combined the mortality risk and financial risk via partial differential equation (PDE). Additionally, the sensitivity of parameters are conducted. The result indicated that the correlations of fair value to asset volatility, interest rate volatility and correlation coefficient are positive, but the correlation between guaranteed interest rate, speed of adjustment, mean reversion and mortality are negative.
Keywords:CIR Model, equity-linked contracts, partial differential equation, participating option, and surrender option.
第壹章 前言 ……………………………………………………………1
第貳章 契約架構 ………………………………………………………5
第一節 保單契約架構 ………………………………………………5
第二節 公平價值 ……………………………………………………6
第三節 單位化方法 …………………………………………………7
第參章 評價分析………………………………………………………9
第一節 隨機利率模型與資產隨機過程………………………………9
第二節 公平價值的評價 ……………………………………………10
第肆章 數值分析……………………………………………………12
第一節 有限差分法 …………………………………………………12
第二節 保單價值與解約價值之關係 ………………………………12
第伍章 敏感度分析 …………………………………………………16
第一節 資產波動對公平價值的敏感度分析 ………………………16
第二節 利率波動對公平價值的敏感度分析 ………………………18
第三節 資產波動與利率動的相關係數對公平價值的敏感度分析19
第四節 保證利率對公平價值的敏感度分析………………………20
第五節 瞬間死力對公平價值的敏感度分析………………………22
第六節 均數復歸調整速度對公平價值的敏感度分析 ……………23
第七節 長期平均利率水準對公平價值的敏感度分析……………25
第八節 解約時間對公平價值的敏感度分析………………………26
第陸章 結論與建議……………………………………………………29
參考文獻 ………………………………………………………………31
附錄 保單價值變動的推導過程………………………………………34
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