附保证给付投资型保单之长期资产报酬率模型.pdf

風險管理學報 第十卷 第一期 2 0 0 8 年 3 月 Journal of Risk Management Vol.10 No.1 March 2008 pp. 73-109 Long-Term Taiwan Equity Return Models for Equity-Linked Guarantees 附保證給付投資型保單之長期資產報酬率模型 ∗ ** 張智凱 （Chih-Kai Chang ） 陳玉亭 （Yu-Ting Chen ） Abstract This paper mainly investigates long term equity return in the Taiwan stock market. We attempted to find the optimal model among and perform diagnostic analysis of the stochastic asset models, such as the independent lognormal model, the ARCH-type model, the Regime-Switching Lognormal model, and the Stochastic Log-Volatility model, all of which have been proposed by the American Academy of Actuaries. In addition, the most suitable long term equity model was determined. In the empirical study of the Taiwan stock market, the parameter estimations were carried out using maximum likelihood estimate and efficient moment of method. Following, we compared log-likelihood, Akaike Information Criterion and Schwartz Bayesian Criterion and drew Quantile-Quantile plots to test tails, to determine the appropriateness of models. Finally, Conditional Tail Expectation risk measures of stochastic equity models were estimated from simulation of the liability of a guaranteed minimum accumulation benefit contract. Th