A Framework to Charge for Unit-linked Contracts when Considering Guaranteed Risk

• Main Author: 李永琮
• Other Authors: Lin, Hsin-Fa
• Format: Others
• Language: en_US
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/07743629319405893497

碩士 === 國立政治大學 === 保險研究所 === 92 === This paper proposes a framework to charge for unit-linked contracts when considering guaranteed risk. The charge is determined by two criteria of meeting the target internal rate of return and simultaneously reserving standard. The framework is built on the stochastic cash-flow analysis. Thus, we first model the cash flow for unit-linked contracts by means of simulation, using a stochastic model for future dynamics of the rate of return. In the cash flow model, we consider the reserves for the guaranteed risk. The reserving standard for the guaranteed risk is based on quantile risk measure. In our framework, we work out the charges in reverse. For illustrative purposes, we investigate a unit-linked policy with maturity guarantees. However, our framework would apply to other types of contacts and guarantees. Some sensitivity analyses are also carried out in this research.