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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/124752

    Title: 附保證投資型保險商品資產配置之研究
    The study of asset allocation for investment guarantee insurance
    Authors: 徐英豪
    Hsu, Yin-Hao
    Contributors: 黃泓智
    Huang, Hong-Chih
    Hsu, Yin-Hao
    Keywords: 附保證投資型保險商品
    Investment guarantee insurance
    Expected account value
    Asset allocation
    Date: 2019
    Issue Date: 2019-08-07 16:15:12 (UTC+8)
    Abstract: 附保證投資型保險商品所連結之帳戶期待價值雖然會影響其市場競爭力,但所延伸之相關風險也是保險公司的考量重點,特別是準備金之提存金額。
    本研究便以保證最低死亡給付(Guaranteed Minimum Death Benefit)加上保證最低提領給付(Guaranteed Minimum Withdraw Benefit)雙重保證之變額年金保險為例,在美國保險監理官協會頒布之第43號精算作業準則(Actuarial Guideline XLIII;AG 43)的監理規範架構下,投資股票型與債券型雙資產,納入生命週期資產配置策略及自行以網格方式設計之資產配置策略,同時考量準備金之提存以及帳戶期待價值,並比較所有策略之模擬結果。
    Although the expected value of the account linked to the investment guarantee insurance will affect its market competitiveness, insurance companies also consider the related risks, especially the amount of reserve.
    Under the insurance regulation, the Actuarial Guideline XLIII (AG43) adopted by National Association of Insurance Commissioners, the amount of reserve and the expected account value of variable annuities with guaranteed minimum death benefit (GMDB) and guaranteed minimum withdraw benefit (GMWB) are considered at the same time. I assume investing in two different kinds of asset contain stocks and bonds, and analyze how the asset allocation strategies, including the life-cycle asset allocation affect the simulation results.
    The results of the study show that different asset allocation strategies will significantly affect the amount of reserve and the expected account value. If the amount of reserve is controlled under a certain extent, the asset allocation strategy with better account value expectation is the strategy that the weight of the stock-type asset increases over time.
    Reference: 1.人身保險業經營投資型保險業務應提存之各種準備金規範(中華民國97年)。
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    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0106358001
    Data Type: thesis
    DOI: 10.6814/NCCU201900404
    Appears in Collections:[風險管理與保險學系 ] 學位論文

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