系統識別號 | U0002-2505201813563300 |
---|---|
DOI | 10.6846/TKU.2018.00752 |
論文名稱(中文) | 人壽保險,最適利率與契約管制政策:上限請求權模式分析 |
論文名稱(英文) | Life insurance in a cap option framework: optimal insurer interest margin and regulatory implications |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 國際行銷碩士在職專班 |
系所名稱(英文) | Executive Master's Program of Business Administration (EMBA) in International Marketing |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 106 |
學期 | 2 |
出版年 | 107 |
研究生(中文) | 李堯婷 |
研究生(英文) | Yao-Ting Li |
學號 | 705520020 |
學位類別 | 碩士 |
語言別 | 英文 |
第二語言別 | |
口試日期 | 2018-05-05 |
論文頁數 | 20頁 |
口試委員 |
指導教授
-
林志鴻(lin9015@mail.tku.edu.tw)
委員 - 張慶暉 委員 - 林志娟 |
關鍵字(中) |
人壽保險 或有請求權分析 利差決策行為 |
關鍵字(英) |
Life insurance |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
公司擔保估值的上限期權理論適用於受監管人壽保險公司的或有債權。我們專注於利潤分享人壽保險保單,保單持有人有權獲得所需的保證利率和參與保險。導出並分析最佳保險公司利差,即投資資產利率和擔保利率之間的差額。研究結果指出,當保險公司的參與程度很高時,擔保利率的增加會增加最優利率。保險保證支付率使得人壽保險公司不輕易採取追逐風險策略,有助於保持金融穩定。然而,迫使公司提高率參與度會使公司更容易追逐風險,從而對金融穩定性而言,則會產生不利影響。因此,我們提出更嚴格的監管制度不能成為金融穩定的一致後果。 |
英文摘要 |
A cap option theory of corporate security valuation is applied to the contingent claim of a regulated life insurance company. We focus on a profit-sharing life insurance policy that the policyholder is entitled to a required guaranteed interest rate and a participation bénéficiaire. The optimal insurer interest margin, i.e., the spread between the invested asset interest rate and the guaranteed rate, is derived and analyzed. We show that an increase in the guaranteed rate increases the optimal interest margin when the insurer’s participation level is high. Guaranteed rate as such makes the life insurance company less prone to risk-taking, contributing to the financial stability. However, forcing the company to increase the participation level makes the company more prone to risk-taking, thereby adversely affecting the financial stability. We argue that stricter regulation can not be the consistent consequence of the financial stability. |
第三語言摘要 | |
論文目次 |
中文提要 I 英文提要 II 目錄 III Chapter 1 Introduction 1 Chapter 2 Model basics 5 Chapter 3 Solving the model 11 Chapter 4 Conclusion 18 References 19 表目錄 IV Table 1 Responsiveness of interest margin to the required guaranteed interest rate 14 Table 2 Responsiveness of interest margin to the participation level 16 圖目錄 V Figure 1 Examples of cap option surfaces. 13 Figure 2 Responsiveness of interest margin to the required guaranteed interest rate when 0.85, 0.90, and 0.95.14 Figure 3 Responsiveness of interest margin to the participation level when 2.25%, 3.00%, and 3.75%. 16 |
參考文獻 |
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