台灣利率變動型年金商品設計與利率宣告策略關聯性之研究

孟嘉仁(Chiaren Meng)

指導教授 ： 李賢源

國立臺灣大學/管理學院/財務金融學研究所/碩士(2004年)

https://doi.org/10.6342/NTU.2004.10384

摘要

目前人壽保險市場中，利率變動型年金是傳統型商品中較新且對利率水準較為敏感的壽險商品。最近壽險公司利用銀行通路，以比定存高的利率水準為訴求，搶占銀行定存後，利率變動型年金與六年期養老險及連動債券是三個較為成功的商品。由於因市場對利率走升之預期心理，利率變動型年金將會比保證利率鎖定一段期間的商品更受歡迎。

台灣的利率變動型年金，在商品設計上還在較為原始的階段。隨著市場競爭，更為多樣化的商品設計是可預期的。利率變動型年金的主要利潤來源是利率差距（interest spread），利率差距是壽險公司的利率（yield）與宣告利率之差距，精算人員在商品設是擬定宣告利率策略時，通常也只用單一的固定利率差距假設，而忽略了商品設計中給予顧客的諸多隱含選擇權對商品最終利潤之影響。

本研究利用隨機利率模型及現金流量分析，針對目前市場之兩型利率變動型年金商品及其他可能之商品設計，在不同的利率宣告策略下，模擬顧客行為與利率水準之關聯，進而探討出商品設計與額外利率差距之對價關係。

關鍵字

利率差距 ； 隨機利率模型 ； 現金流量分析 ； 利率變動型年金

並列摘要

The Single Premium Deferred Annuity has recently been introduced to the insurance market in Taiwan. Among all other “ general account “ traditional insurance products in the market, The SPDA is most sensitive to the movement of interest rates. With the recent development in Bank insurance market in Taiwan, insurance companies have successfully developed products with a guarantee rate that is higher than the rate of a certificate of deposit. The most popular insurance products in the bank channel are: 6-year endowment, structured note, and SPDA. With the anticipation of a rising interest rate, the SPDA is gaining its popularity since the rates offered by the other two products are locked in for a period of time.

The current SPDA in Taiwan’s market is still very primitive in its product design that we expect to get more complexity and variety when the competition kicks in. The main source of earnings for an SPDA is the interest spread that is the difference between the yield of the insurance company and the declared interest rate. With the common practice of the product pricing or the crediting strategy setting, the actuaries are likely to use a single interest path and a fixed interest spread for their actuarial valuation while ignoring the financial impact of those options embedded in the product design.

I have engaged the stochastic interest rate model and cash flow analysis in my study where under the different crediting strategies the policyholder’s behavior has been simulated by the various interest rate scenarios and the cost of each product feature or product provision has been calculated on an excess

並列關鍵字

Single Premium Deferred Annuity ； Interest spread ； Stochastic interest rate model ； Cash flow analysis

參考文獻

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