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,壽險公司面臨死亡率改善情況的管理策略,除了採用負債面的自然避險方式,可進一步加入死亡率對壽險公司資產面的影響,透過資產面與負債面的調整來處理壽險公司所面臨死亡率的不確定性。本研究延伸Gründl, Post & Schulze (2006) 所建立的模型,以台灣資料為例,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。研究發現,當資本市場報酬率受死亡率影響時,保險公司確實能夠藉由資本市場投資規避年金保險的死亡率變動風險。
Asset and liability value which were correlated with mortality rate is assumed in this paper. The investment decision, underwriting decision and capital decision were three risk management tools to hedge demographic risks for life insurance companies. The model of Gründl, Post & Schulze (2006) was referenced and modified in this study, and use the Taiwan data to investigate how the life insurance companies using these decisions to get the maximize of shareholder value when demographic rate was changed. We found that, when mortality affected the return on the capital markets, the life insurance companies can avoid the effect of the mortality changes to annuity by investment.