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研究生： 吳淑瑜
Shwu-Yu Wu
論文名稱： 保本型變額壽險的評價在隨機利率與跳躍風險的環境下
Equity-Linked Life Insurance under Stochastic Interest Rate and Jump Risks
指導教授： 張傳章
Chuang-Chang Chang
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
畢業學年度： 90
語文別： 英文
論文頁數： 36
中文關鍵詞： 變額壽險 、跳躍風險
外文關鍵詞： Equity-Linked Life Insurance, Jump Risks
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    • 探討有關於附有最低保證給付金額的投資型保單的評價，並考慮了利率風險後，使用最小平方法去評價美式選擇權保單的價值。之後，因為金融危機與景氣循環在現實生活中是常常出現的，所以我們加入了跳躍風險來看保單的保費。最後，探討在各個假設條件變動下的敏感度分析，來看保費的變化。

    This thesis considers the valuation of equity-linked life insurance policies with an asset value guarantee. After thinking the stochastic characteristic of interest rates, we use least-square approach to value the insurance premium with minimum guarantee. Finally, we use Grant, Vora, and Weeks(1996) to value the insurance premium under jump risks. Afterwards, we examine the sensitivity of insurance premium to parameters, such as volatility, instantaneous interest rate elasticity reference portfolio, instantaneous risk-free rate of interest, minimum guaranteed interest rate, correlation coefficient and finally the effect of the jump risks.

    ABSTRACT 1 1. INTRODUCTION 1 2. THE MODEL 4 2.1. Equity-Linked Life Insurance with an Asset value Guarantee （ELPAVG） 4 2.2. Investment Portfolio 5 2.3. Mortality risk 7 3. NUMERICAL METHOD 9 3.1. Simulation process 9 3.1.1. Random Variable 9 3.1.2. Least-Square Method 9 3.2. Jump Risks 10 4. NUMERICAL RESULTS 12 4.1. The effect of jump risks 12 4.2. The effect of volatility 12 4.3. The effect of the instantaneous interest rate elasticity of reference portfolio 13 4.4. The effect of the instantaneous risk-free rate of interest 13 4.5. The effect of the minimum guaranteed interest rate 14 4.6. The effect of the correlation coefficient 14 5. CONCLUSION 15 REFERENCE 16

    Reference
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    彭成彰, 2001, “保證給付變額壽險之選擇權評價分析 ”, 中央大學財務管理研究所碩士論文.
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