Lee-Carter死亡率模型下壽險公司準備金風險之量化

Quantifying the Risk of Life Insurer's Reserve under Lee-Carter Model

黃雅文(Ya-Wen Hwang)

《風險管理學報》 14卷2期 (2012/12) Pp. 141-160

https://doi.org/10.30003/JRM.201212.0003

摘要

本研究藉由模擬準備金分佈來探討死亡改善率與隨機利率對準備金風險之影響。研究結果發現死亡改善率對準備金風險之影響十分顯著，尤其是年金商品。且在死亡改善率下，隨機利率會惡化死亡改善率對準備金之影響。因此，本研究建議壽險公司在商品計價時將死亡改善率納入考量。

關鍵字

死亡改善率 ； 壽險公司 ； 準備金

並列摘要

This study investigates the influence of life insurer's reserves under mortality improvement and stochastic interest rate through simulating the distribution of reserves. The numerical results show that mortality improvement risk is significant for the life insurer's reserves, especially in annuity policies. Moreover, the stochastic interest rates will deteriorate the influence of mortality improvement. Therefore, life insurers should incorporate the mortality improvement into pricing and valuation.

並列關鍵字

Mortality Improvement ； Life Insurer ； Reserve

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