近期研究發現人口統計變數對資本市場報酬會產生影響,在此前提下,壽險公司管理死亡率風險,可進一步加入死亡率對壽險公司資產面的影響。因此,壽險公司除了採用負債面的自然避險方式,亦可同時透過資產面調整來處理死亡率的不確定性。本研究延伸Gründl, Post & Schulze (2006) 所建立的模型,以德國資料為例,模擬死亡率變動對壽險公司資產負債價值同時造成影響時,壽險公司如何藉由調整投資組合、契約組合、與期初資本投入等因素來達到股東價值極大化。 Recently some researchers were found that the demographic variables affect asset’s rate of return. Based on these, asset and liability value are correlated with mortality rate is assumed in this paper. The investment decision, underwriting decision and capital decision are three risk management tools to hedge demographic risks for life insurance companies We extend the Gründl, Post & Schulze (2006) to investigate these decisions to maximize shareholder value.