隨機死亡率與利率下人壽保險準備金之探討

A Study of Policy Reserves under the Environment of Stochastic Mortality Rate and Stochastic Interest Rate

吳淑雯(Shu-Wen Wu)

指導教授 ： 林麗銖

共同指導教授 ： 楊曉文(Shau-Wen Yang)

淡江大學/商學院/保險學系保險經營碩士班/碩士(2005年)

https://doi.org/10.6846/TKU.2005.00428

摘要

由於近年來醫療水準提升及生活環境改善，使得人類之平均餘命逐年延長；另一方面，台灣市場利率水準逐年走低，使許多公司面臨利差損之問題。然而目前國內壽險公司在定價保險商品與提存責任準備金時，採用某一預定利率而且沒有考慮到死亡率改善情形，因此可能造成保費與責任準備金過高或不足的問題產生。故本研究將分別探討生死合險、定期壽險與限期繳費終身壽險，在隨機利率與考慮死亡率改善的假設下，對各險種保費與責任準備金之影響。本文以CIR利率模型為研究模型。
研究發現，在本文的假設條件下，當利率符合CIR模型時對限期繳費終身壽險之影響最大；而在考慮死亡率改善的假設對定期壽險之影響最大。另外，惟有計算保費與責任準備金所採用之假設與未來市場環境皆相同時，保險公司才會符合收支相等原則。

關鍵字

死亡率推估 ； CIR模型 ； 責任準備金 ； 現金流量

並列摘要

In recent years, the advance in medical treatment level and living environment; on the other hand, the life insurance industry in Taiwan is affected by the low interest rate and extraordinary competition. In this research, we attempt to calculate the net premium and reserves for three different types of life insurance contracts such as endowment insurance, term life insurance, whole life insurance, using term structure interest rates instead of fixed discount rates and the improvement of mortality rate. The comparison of the net premium and reserves using term-structure interest rates with those using fixed discount rates is analyzed. The interest rate model we apply in this research is CIR. The results of the study show that using fixed discount rate and fixed mortality rate method to calculate the net premium and reserves makes an insurer more risky.

並列關鍵字

Mortality Projection ； CIR Model ； Reserves ； Cash Flow

參考文獻

12、蔡政憲、郭維裕、江彌修(2005)，The distribution of policy reserves considering the policy-year structures of surrender rates and expense ratios，2005保險與危險管理學術研討會

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