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Showing 141 to 143 of 143 (0.029 seconds)| 141 |
壽險公司責任準備金涉險值之估計 / The Estimation of Value at Risk for the Reserve of Life/Health Insurance Company詹志清, Chihching Chan Unknown Date (has links)
中文摘要
在本文中，我們依據模擬的風險因子變動，包括死亡率風險，利率風險，解約率風險以及模型的參數風險，來估計第一個保單年度的期末責任準備金之涉險值 (Value at Risk)。本文中，雖僅計算生死合險保單的準備金之涉險值，但是本文所提供的方法以及計算過程可以很容易的應用到其它險種，甚至配合資產面的考量來計算保險公司盈餘(Surplus)的涉險值，進而作為清償能力的監測系統。
本文的特點包括下列幾項：第一，本文提供了一個不同於傳統短期間(Short Horizon)的涉險值計算方式，來估計壽險商品的保單責任準備金(Policy Reserve)的涉險值。第二，本文利用生命表來估計死亡率風險所造成的涉險值。第三，我們利用隨機利率模型來捕捉隨機利率對於責任準備金涉險值的影響。第四，我們考慮解約率對於責任準備金涉險值的影響，值得注意的是，在我們的解約率模型中，引入的利率對於解約率的影響。第五，本文亦考慮風險因子模型當中的參數風險對於涉險值的影響。最後，我們利用無母數方法計算出涉險值的信賴區間，而信賴區間的估計在模擬過程當中尤其重要，因為它可以用來決定模擬次數的多寡。
本文包含六節：第一節為導論。第二節為計算死亡率風險的責任準備金涉險值。第三節是計算加上利率風險後責任準備金涉險值的變化。第四節則為加上解約率後對涉險值的影響。第五節為計算涉險值的信賴區間。第六節是我們的結論以及後續研究的方向探討。
本文包含六節：第一節為導論。第二節為計算死亡率風險的責任準備金涉險值。第三節是計算加上利率風險後責任準備金涉險值的變化。第四節則為加上解約率後對涉險值的影響。第五節為計算涉險值的信賴區間。第六節是我們的結論以及後續研究的方向探討。 / ABSTRACT
In this paper, we estimate the VAR of life insurer's terminal reserve of the first policy year by the simulated risk factors, including mortality risk, interest rate risk, lapse rate risk, and estimation risks, of future twenty years. We found that the difference between the VAR under the mortality risk and the interest rate risk is very large because interest rate is a stochastic process but not mortality rate. Thus, the dispersion of interest rate is more then mortality rate. In addition, the VAR will reduce a lot after adding the impact of lapses because the duration of the reserve reduced. If we neglect the impact of lapses to VAR, we will overestimate the VAR significantly.
The features of this paper are as follows. First, we provide an approach to measure the VAR of a life insurer's reserve, and it is rather different from traditional VAR with short horizons. Second, we use mortality table to estimate the VAR of a life insurer's reserve. Third, we use stochastic interest rate model to capture the effect of random interest rate to the VAR of a life insurer's reserve. Fourth, we relate the future cash outflows to interest rate and produce a reasonable estimator of VAR. Fifth, we consider the effect of estimation errors to the VAR of a life insurer's reserve. Last, we calculate the confidence interval of the VAR estimates of the policy reserves.
This paper consists of six sections. The first section is an introduction. In the second section, we present the method used to estimate the variance of the mortality rate and then estimate the VAR of reserves from these variances. In the third section, we explore how to use stochastic interest rate model to estimate the reserve's VAR and the VAR associated with the parameter risk of the interest rate model. In the fourth section, we analyze the contribution of the lapse rate risk and the parameter risk of the lapse rate model to the reserve's VAR. We also analyze the relative significance of the interest rate risk, the lapse rate risk, and the mortality rate risk in terms of their marginal contributions to the VAR of an insurer's reserves in this section. In the fifth section, we calculate the confidence intervals of the VAR estimates discussed in the previous sections. The last section is the conclusion section containing our conclusions and discussions about potential future researches.
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La conversion des actes juridiques / The conversion of legal actsBouaziz, Hafedh 13 February 2017 (has links)
La thèse se propose d’abord de redéfinir la notion de conversion. L’analyse du droit positif montre que la définition classique de la conversion, comme l’opération qui consiste à tirer d’un acte nul un acte nouveau valable, peut s’élargir à un double point de vue. On ne s’était occupé que de la conversion des actes juridiques ; on a découvert qu’elle peut être étendue aux actes instrumentaires. Dans le même sens, on n’avait envisagé qu’une cause de la conversion, la nullité d’un acte ; on admet aujourd’hui qu’elle pouvait opérer à la suite d’une cause survenant a posteriori, à l’instar de la caducité, la prescription, la forclusion et la résolution. La conversion peut, dès lors, être définie comme la technique qui donne effet, par la volonté de la loi ou du juge, à un acte juridique, qui n’a pu se former, à cause d’un vice originaire, ou qui n’a pu survivre, en raison d’une cause survenant a posteriori, lorsque les éléments qui demeurent correspondent à la définition d’une figure juridique nouvelle, satisfaisant l’objectif économique poursuivi par les parties.La thèse se propose également de moderniser ou de rénover le régime de la conversion. La conversion modernisée exige l’intervention active du juge pour vérifier que les conditions de la conversion sont réunies, mais aussi et surtout pour se prononcer sur son opportunité. La conversion place de la sorte le juge au rang de véritable formateur ou de « faiseur» du contrat. Les analyses doctrinales qui présentent la conversion comme reposant sur une prétendue volonté virtuelle des parties sont artificielles. Il n’y a pas cependant lieu de diaboliser l’office du juge en prétendant que la conversion est un procédé exorbitant et autoritaire. Les inquiétudes que peut faire naître l’accroissement du rôle du juge dans la conversion s’apaisent dès lors que le juge est tenu de puiser les éléments de l’acte nouveau dans l’acte initial. Elles doivent encore être tempérées par la recherche constante d’un acte nouveau qui répond au but initialement voulu par les parties.L’ambition de cette thèse était donc double : la redéfinition de la notion de conversion, d’une part et la rénovation de son régime, d’autre part. Au regard de cette analyse renouvelée, la conversion est vouée à un avenir prospère en tant que technique tendant au sauvetage des actes juridiques. / The thesis proposes to redefine the notion of conversion. The analysis of positive law shows that the classical definition of conversion, such as (like) the operation which consists in drawing from a null act a valid new act, may be extended from a double point of view. All that had been done was the conversion of legal acts; it has been discovered that it can be extended to instrumental acts. In the same sense, there had been contemplated only one cause of conversion, the nullity of an act; it is now accepted that it could operate as a result of a case arising a posteriori, like the lapse, the prescription, the foreclosure and the resolution. Conversion may, therefore, be defined as the technique which gives effect, by the will of the law or the judge, to a legal act which has not been formed because of an original defect or which Was able to survive because of a posteriori cause when the elements which remain correspond to the definition of a new legal figure satisfying the economic objective pursued by the parties.The thesis also proposes to modernize or renovate the regime of conversion. The modernized conversion requires the active intervention of the judge to verify that the conditions of the conversion are met, but also and especially to decide on its expediency. Conversion thus places the judge at the rank of true trainer or "maker" of the contract. The doctrinal analyzes which present conversion as based on an alleged virtual will of the parts are artificial. There is, however, no need to demonize the office of the judge by claiming that conversion is an exorbitant and authoritarian process. The anxiety which may arise from the increase of the role of the judge in conversion is appeased as soon as the judge is obliged to draw the elements of the new act into the original act. They have yet to be tempered by the constant search for a new act which responds to the original purpose of the parties.The ambition of this thesis was therefore twofold: the redefinition of the notion of conversion on the one hand and the regeneration of its regime on the other. In view of this renewed analysis, conversion is destined for a prosperous future as a technique for the rescue of legal acts.
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Mecanismes de regulació en l'activitat biològica del factor de transcripció SnailDomínguez Solà, David 03 April 2003 (has links)
Els factors de transcripció de la família Snail són fonamentals en la "transició epiteli-mesènquima", procés morfogènic essencial en el desenvolupament embrionari i en els fenòmens metastàsics tumorals.En els mamífers l'activitat d'Snail és modulada per dos mecanismes. (i) En el promotor humà es troben regions definides de resposta a factors repressors, predominants en les cèl·lules epitelials, i elements diferenciats de resposta a inductors de la "transició epiteli-mesènquima". (ii) L'activitat d'Snail és condicionada també per la seva localització subcel·lular, modulada per mecanismes no transcripcionals: la fosforilació d'Snail determina si és o no exclós del nucli. Al citosol no pot actuar com a repressor transcripcional però pot interaccionar amb la xarxa microtubular, que estabilitza i en condiciona el dinamisme. Això coincideix amb l'activació de la GTPasa RhoA i la reorientació dels filaments de vimentina, fets associats a l'adquisició de capacitat migratòria. L'efecte com a repressor transcripcional i la modulació del dinamisme microtubular són possiblement esdeveniments coordinats necessaris per al rol biològic d'Snail en mamífers. / Snail family of transcription factors is fundamental to the "epithelial-mesenchymal transition", morphogenic process essential to embryonic development and metastatic phenomena in tumors.Snail's activity is modulated in two ways in mammals. (i) The human promoter harbors definite regions that respond to repressor factors, which prevail in epithelial cells; and differentiated elements that respond to known inducers of the "epithelial-mesenchymal transition". (ii) Snail's activity is also conditioned by its subcellular localization, mechanism not dependent on its transcriptional control: Snail phosphorylation determines whether Snail is excluded or not from the nucleus. When in the cytosol, Snail is unable to act as a transcriptional repressor, but however binds to the microtubular meshwork, which becomes stabilized and whose dynamism is conditioned as a result. This fact coincides with the activation of the RhoA GTPase and reorientation of vimentin filaments, both phenomena being related to the acquisition of cell motility. The transcriptional repressor and the microtubule dynamics effects are probably two coordinated events necessary to Snail's biological role in mammals.
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