投資策略、清償能力與分紅保單公平定價之研究

Investment Strategy、Solvency and Fair Pricing for Participating Policies

10.6226/NTURM2006.17.1.91

楊曉文(Sharon S. Yang)；黃泓智(Hong-Chih Huang)；黃麗容(Li-Long Huang)

分紅保單 ； 清償能力 ； with-profit policies ； solvency

臺大管理論叢

17卷1期（2006 / 12 / 01）

91 - 111

繁體中文

本研究探討英式分紅保單的投資特性與公平定價問題。英式分紅保單的特色為最低紅利保證機制及報酬率平順化的特性，近年來亦漸漸受到國內保險公司的重視。本研究運用模擬的方法，以效率前綠的概念來分析不同投資策略下，直接投資與分紅保單在風險與報酬上的比較，並更進一步探討在不同投資策略下分紅保單所隱含的合理預定利率與公司清償能力的關係。研究結果發現當保險公司的投資策略愈積極時，和直接投資來比，購買分紅保單對於保戶而言較有利，且愈長年期（25年期）的保單效果愈明顯，但保險公司的清償力降低，另外，在定價方面，投資策略愈積極時，所隱含的預定利率較低，但保證的期間紅利較高，本研究的結果有利於國內保險公司了解英式分紅保單的財務精算與經營課題。

In this study, we deal with the fair pricing of with-profit policies sold in UK. The features of UK with-profit policies are that the credited return is smoothed and is associated with some types of minimum guarantee. In this research, we make use of simulation analysis to compare the efficiency frontier between buying a with-profit policy and investing directly in the market. In addition, we calculate the fair pricing interest rate under different investment strategies and its impact on the insurer's solvency. In this research, we find that when the insurer sets the investment strategy more aggressive, it is more advantage to buy with-profit policies. The effect is more significant for the policies with longer maturity. However, when considering the insolvency risk, the insurer intends to set a lower pricing interest rate. The research findings are helpful for the local insurance company's reference.

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