| Summary: | 碩士 === 逢甲大學 === 統計與精算所 === 96 === This paper discusses methods for calculating stochastic reserves for participating whole life policies. Two dynamic processes, the equity performance and the yield curve, are adopted to model the financial risk factors stochastically. A cash flow model is established by including actuarial assumptions, for instance, dividend payment, mortality, lapse, commissions and expenses. This study demonstrates how to determine different CTE-level stochastic reserves under stochastic interest rate and cash flow models. In order to find the suitable CTE-level, the difference of stochastic reserves between cash surrender value and statutory reserve is compared. Furthermore, CTE-65 is recommended for calculating stochastic reserve competently.
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