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題 名 | 考慮動態解約率的保證年金選擇權保險商品訂價=Pricing Guaranteed Annuity Option with Dynamic Surrender Rates Consideration |
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作 者 | 喬治華; 莊聲和; 陳淑娟; 沈柏楷; | 書刊名 | 風險管理學報 |
卷 期 | 14:2 2012.12[民101.12] |
頁 次 | 頁95-120 |
分類號 | 563.78 |
關鍵詞 | 保證年金選擇權; 動態解約模型; 精算實務處理準則; 商品訂價; 保證給付費用率; Guaranteed annuity option; Dynamic surrender model; Actuarial guideline; Pricing; Guaranteed annuity rates; |
語 文 | 中文(Chinese) |
中文摘要 | 本文修正美國精算學術學會(American Academy of Actuaries, AAA)及美國保險監理官協會(National Association of Insurance Commissioners, NAIC)第43號精算準則中標準情境金額(standard scenario amount, SSA)所建議的解約模型,建立保證年金選擇權(guaranteed annuity option, GAO)訂價所需的動態解約模型。其次,依據壽險業採用的年金生命表,完成GAO的訂價模型。最後,實證動態解約率假設下的保證給付費用率及敏感性測試。實證結果顯示,忽略保戶解約行為的商品訂價偏高,保證給付費用率與保證年金率、資產波動係數以及死亡率改善呈現正向關係,與年金累積期間、資產與利率之關係以及起始利率則呈現負向關係。 |
英文摘要 | The price of guaranteed annuity option (GAO) is correlated with policyholders' surrender behaviors. The AIRC's draft of "Actuarial guideline for investment guarantee insurance product" emphasizes that insurers should construct dynamic surrender model for pricing and sensitivity analysis. In this paper, firstly, we revise the surrender model (suggested by American Academy of Actuaries, AAA) and adapt surrender rates (recommended by the Standard scenario amount of Actuarial Guideline VACARVM-CARVM for variable annuities, NAIC). Next, the price of GAO is calculated based on 1997's Taiwan Individual Annuity Table. Finally, we provide the numerical results and sensitivity analysis on various seniors including guaranteed annuity rates, terms of the contract, mortality tables, and economic situations. Our results show that the insurer will over price the GAO product when the surrender behaviors are ignored. |
本系統中英文摘要資訊取自各篇刊載內容。