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    Title: 年金保險長壽風險證券化之研究
    Other Titles: A study on securitization of longevity risk in life annuities
    Authors: 林健隆;Lin, Chien-lung
    Contributors: 淡江大學保險學系保險經營碩士班
    繆震宇;Maio, Chen-yu
    Keywords: 長壽風險證券化;死亡率改善;利率期間結構;年金保險;承保風險證券化;Securitization of Longevity Risk;Mortality Improvement;Term Structure of Interest Rates;Annuity;Securitization of Insurance Risk
    Date: 2006
    Issue Date: 2010-01-11 02:01:37 (UTC+8)
    Abstract: 近年來經濟快速的發展,生活品質提高,衛生環境改善、人類營養改善及醫療科技持續不斷的進步,使人類平均壽命延長,並隨著勞退新制的實施,開放200人以上之事業單位參加企業年金,保險公司面臨如此龐大的市場該如何管理其承保年金險之長壽風險便是一大課題。
    本研究蒐集過去關於證券化的文獻,加以整理歸納出幾種證券化的方式,另外本研究以Lin & Cox(2005)提出的年金保險長壽風險證券化的方法為基礎,引用台灣的生命表、利率市場資料,模擬台灣地區發行Mortality Bond的價格。結果發現:(一)死亡率改善較高之模型做為付息之門檻,其導致Mortality Bond的價格偏高;(二)保險公司經營年金保險業務時於一定之損失限額內可完全避險;(三) 本研究於計算Mortality Bond的價格時發現當lumda值愈大時,則Mortality Bond價格愈低;(四)男性與女性群體之Mortality Bond價格受死亡率改善的影響大於死亡率的高低;(五) 其他條件相同之情況下,Vasicek隨機利率模型具有較高之債券價格,其次則為CEV 隨機利率模型,CIR模型下之債券價格則是最低。
    The elderly population has been increasing rapidly in recent years because of the decline in mortality in Taiwan due to medical improvement and economic development. These changes make management of longevity risk more important than ever.
    We review relevant papers in the past, and conclude as follows:
    Securitization of future cash flows from a block of business, reserve funding securitization and life insurance risk transfer securitization. This research is based on the model under Lin & Cox(2005) which is similar to the Swiss Re. We use mortality table and Term Structure of Interest Rates to simulate mortality bond price in Taiwan. We find that:(1) The higher the mortality bond price is, the higher the strike level is.(2)Mortality bond hedges the insurer’s risk, that is the number of survivors exceeding the market’s expected value.(3)The higher the market price (lumda) is, the lower the mortality bond price.(4) Human mortality improvement influences the mortality bond price more than the mortality rate of gender. (5)The mortality bond price in Vasicek model is highest, but the mortality bond price in CIR model is lowest.
    Appears in Collections:[保險學系暨研究所] 學位論文

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