本研究介紹同調風險測量值（Coherent risk measures）應具備之特質 Artzner（1998）提出，並討論當現行涉險值存在不滿足一些同調風險測量值時，其在應用上所產生之問題。MGWP（1980），Boyle and Hardy （1997）， Hardy（2000），Yang（2001）及Wilkie, Waters和Yang（2003）應用涉險值做為投資型保險風險管上準備金提存方式之量化指標，本研究延伸上述研究改以同調風險測量值做為量化指標，並以英國近年來保險公司所面臨保證年金選擇權之投資型保單做為例子進行探討及分析。本研究針對Wirch and Hardy（1999）所建議同調性質之風險量化指標尾部涉險值（Conditional tail expectation）以及PH（Proportional hazards）、DP（Dual power）變形函數（Distortion function）風險衡量方法作探討，並針對其準備金提存之數值結果和涉險值的差異性進行分析。 In this paper we introduce the properties of a coherent risk measure(Artzner et al (1998)). The risk measure of Value at Risk that does not adhere to the consistency requirements are discussed. We consider the coherent risk measures of conditional tail expectation, proportional hazards and dual power distortion functions outlined by Wirch and Hardy (1999). MGWP (1980), Boyle and Hardy (1997), Hardy(2000), Yang (2001) and Wilkie, Waters and Yang (2003) using VaR to reserve for investment-linked contracts with guaranteed risk. Instead, we apply the coherent measures to reserve guaranteed annuity options. In addition, the comparison of the numerical results for VaR risk measure and coherent risk measure are analyzed.
