請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62523
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 曾郁仁 | |
dc.contributor.author | Ming-Hsiu Hsieh | en |
dc.contributor.author | 謝明秀 | zh_TW |
dc.date.accessioned | 2021-06-16T16:03:47Z | - |
dc.date.available | 2018-07-08 | |
dc.date.copyright | 2013-07-08 | |
dc.date.issued | 2013 | |
dc.date.submitted | 2013-06-30 | |
dc.identifier.citation | Arrow, K. J. (1965) Aspects of the Theory of Risk-Bearing. Helsinki, Yrjo Jahnssonin Saatio.
Arrow, K. J. (1971) Essays in the Theory of Risk-Bearing. Chicago, Markham Publishing Company. Artzner, P., Delbaen, F., Eber, J. & Heath, D. (1999) Coherent Measures of Risk. Mathematical Finance, 9(3), 203-228. Aumann, R. J. & Serrano, R. (2008) An Economic Index of Riskiness. Journal of Political Economy, 116 (5), 810-836. Dickson, D. C. M., Hardy, M. R. & Waters, H.R. (2009) Actuarial Mathematics for Life Contingent Risks. Cambridge, Cambridge University Press. Chapter 1-6. Foster, D. P. & Hart, S. (2009) An Operational Measure of Riskiness. Journal of Political Economy, 117 (5), 785-814. Hadar, J. & Russell, W. (1969) Rules for Ordering Uncertain Prospects. American Economic Review, 59(1), 25-34. Holton, G. A. (2003) Value-at-Risk: Theory and Practice. Working Paper. San Diego, Academic Press. Pratt, J. W. (1964) Risk Aversion in the Small and in the Large. Econometrica, 32 (1-2), 122-136. Sharpe, W. F. (1963) A Simplified Model for Portfolio Analysis. Management Science, 9(2), 277-293. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62523 | - |
dc.description.abstract | 傳統上用來衡量風險的指標,不外乎是標準差、變異數、夏普指標及風險值等,但這些指標卻都有其缺失與不足之處。因此Aumann與Serrano(2008)在Journal of Political Economy提出了一個全新的風險指標─「Riskiness」,該指標具有諸多良好的經濟性質,如符合對偶性和正齊次性,此外還具備一階隨機單調及二階隨機單調,加上計算過程也相當容易。
本論文即是將該具備諸多良好性質的指標分別應用在四大人身保險商品(死亡保險、生存保險、生死合險及年金保險)上,計算此四類保險商品在不同情境假設下之Riskiness,並探討其變化,使保險公司能將此結果運用在保單設計的實務上,極小化其所承擔的風險。 研究結果顯示繳費方式為躉繳之生死合險的Riskiness遠低於死亡保險及生存保險,而年金保險的趨勢大抵和生存保險相同,死亡保險的趨勢則和生存保險完全相反。此外男性之Riskiness除了在死亡保險較女性低外,其餘均較女性高。 | zh_TW |
dc.description.abstract | When measuring the risk, we usually use standard deviation, variance, Sharpe ratio, value at risk, etc. However, there are a lot of drawbacks in these risk indices. For this reason, Aumann and Serrano brought a new risk index called “Riskiness” at Journal of Political Economy in 2008. “Riskiness” contains a large number of good economic characters. It satisfies duality and positive homogeneity. In addition, it is also provided with first-order monotonic and second-order monotonic. Moreover, its calculation process is not too complicated to use.
In this paper, I apply this new risk index “Riskiness” on the life insurance products, including life insurance, pure endowment, endowment insurance and annuity. The main purpose of this paper is to see how factors affect the riskiness under different assumptions. The insurance companies can use these results to apply on the design of the products, and minimize their risks. Research results show that the riskiness of endowment insurance is much lower than life insurance and pure endowment when the premiums are single payment. The trend of annuity is identical with pure endowment, and the trend of life insurance is opposite to pure endowment. Moreover, the riskiness of male is lower than female in life insurance, but higher in the other three insurances. | en |
dc.description.provenance | Made available in DSpace on 2021-06-16T16:03:47Z (GMT). No. of bitstreams: 1 ntu-102-R00723039-1.pdf: 1283615 bytes, checksum: 1875a0f9171acedd7685db75e59a7d0b (MD5) Previous issue date: 2013 | en |
dc.description.tableofcontents | 口試委員會審定書 i
誌謝 ii 中文摘要 iii 英文摘要 iv 圖目錄 vii 表目錄 ix 第一章 緒論 1 第二章 文獻回顧 2 2.1 常見風險指標之回顧 2 2.2 良好風險指標的特質 4 2.3 Riskiness新風險指標 5 第三章 研究方法 7 3.1 人身保險商品的Riskiness 7 3.2 保險商品之死亡率假設 8 3.3 不同保險商品之保險金額現值函數 8 3.4 不同繳費方式下之保費現值函數 10 3.5 不同保險商品的Riskiness 12 3.6 保險商品的期望值及變異數 20 3.7 欲探討影響各類型保單Riskiness之相關變數 21 第四章 研究結果 22 4.1 投保年齡 22 4.2 保險期間 26 4.3 保險金額 30 4.4 遞延給付期間 32 4.5 預定利率 35 4.6 附加保險費率 38 4.7 繳費方式 40 第五章 研究結論與建議 43 參考文獻 45 附錄 46 | |
dc.language.iso | zh-TW | |
dc.title | Riskiness在人身保險商品之風險控管上的應用 | zh_TW |
dc.title | Application of Riskiness on the Risk Management of Life Insurance Products | en |
dc.type | Thesis | |
dc.date.schoolyear | 101-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 黃瑞卿,王仁宏 | |
dc.subject.keyword | 風險,風險指標,Riskiness,夏普指標,風險值,保單風險, | zh_TW |
dc.subject.keyword | Risk,Risk Index,Riskiness,Sharpe Ratio,Value at Risk,Risk of Insurance Policy, | en |
dc.relation.page | 53 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2013-07-01 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
顯示於系所單位: | 財務金融學系 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-102-1.pdf 目前未授權公開取用 | 1.25 MB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。