| Summary: | 碩士 === 逢甲大學 === 統計與精算所 === 96 === Reserves are a major item on an insurance company’s balance sheet. A small change or error in the reserves can have a major impact on the income reported by a company. However, adequate reserves help to protect insurance companies against insolvency. Statutory reserves, using a single scenario and one size fits all reserve formula, cannot properly capture the contract risk. This research mainly applies the principle-based reserves method to calculate endowment policy stochastic reserves which consider the stochastic interest scenarios. For the stochastic interest scenarios, we consider the interest rate model prepared by the American Academy of Actuaries (AAA) C-3 Subgroup of the Life Risk-Based Capital Task Force and AAA Life Capital Adequacy Subcommittee C-3 Phase II 10,000 “pre-packaged” scenarios. These 10,000 “pre-packaged” scenarios were used to project net asset earned rates or discount rate. In addition, this study attempts to compare stochastic reserves with current statutory reserves in Taiwan. Moreover, this research compare the
age factor effect with stochastic reserves. The results in this research present some suggestion for insurance companies and supervisors to determine the adequacy of
reserves.
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