在過去利率低靡的總體環境下，壽險公司推出連結市場利率的利率變動型年
金，以因應壽險公司降低利率風險的需求。然而隨著市場利率的復甦，保戶的解約行為會受到保單宣告利率及市場利率所造成的利率差影響，當利率差愈高，保戶愈有誘因解約。因此保險公司在推出利變型保單時須考量利率差對保戶解約的影響。此外，發行保單時的宣告利率策略、資產配置策略都會影響公司未來營運。
本文透過模擬四組情境，針對不同情境設定及不同策略進行敏感度分析的結果發現（1）不論何種情境下，加碼利率越高，保險公司的破產機率越高（2）加碼利率越高，利率差大於零的機率越低，因此加碼利率越高者其解約率大多為解約率的下限1%，因此每期的解約给付大幅降低，可保有資產繼續留在公司內部投資，且由於投資標的的報酬率遠高於宣告利率，因此總盈餘反而較高（3）不論何種情境下，投資不動產的比例越高，破產機率越高，其次為股票，債券最安全（4）期初資本越高，破產機率越低，且總盈餘及目標函數越高。但計算期初資本20億及30億的年報酬率發現，情境一中期初資本20億的A公司投資報酬率為12.8%，情境二中期初資本30億的A公司投資報酬率為11.9%，顯示在其他條件相同下，資本額愈低的公司投資報酬率愈高。 / The paper analyzes that under the low interest rate of overall environment, life insurance developed the floating-rate annuity that linked market rate, enabling to reduce the interest rate risk. However, with the rise of interest rate, insurers will suffer from loss caused by surrendering. In addition to surrendering, different declared interest rate of floating-rate annuity, capital and the ratio of asset portfolio will influence the solvency of insurance companies.
This paper simulates the stochastic interest rate model and different asset models and analyzes the solvency of insurance company under different declared interest rate strategies, and different asset allocation strategies. Finally, we offer the life insurance to decide of the floating-rate annuity in advance.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0943580171 |
| Creators | 林丹琪 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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