死亡率改變對股票溢酬之影響–以國際資料為例

The effect of changing in mortality to stock premium–An example in international data

何駿(Chun Ho)

指導教授 ： 繆震宇

淡江大學/商學院/保險學系保險經營碩士班/碩士(2008年)

https://doi.org/10.6846/TKU.2008.00734

摘要

人口結構變遷對社會帶來的影響是近年來熱門的話題，其中令人最關注的就是人口老齡化的問題。其現象源自於生育率及死亡率的下降，對於個人而言，因死亡率下降造成預期壽命延長所致的長壽風險(Longevity Risk) ，使得個人需要有更多的資源去面臨年老退休後的生活，近年來退休及養老型的投資理財商品的興起某種程度上也反映了這個情形。這種現象也給了長期資金的管理者–壽險公司及退休基金一個啟示：若死亡率的變動會改變投資人的投資決策，則代表死亡率和資本市場之間可能存在某種聯結，這使得壽險公司及退休基金在面臨死亡率的變動風險時，除了以調整業務比例等負債面的自然避險方式外，還可考慮以資本市場進行資產面的避險。
本研究採用多國的死亡率及經濟變數進行實證分析，研究結果發現在部分國家之中可以找到死亡率對股票溢酬較有脈絡的影響。進一步將所有樣本國家依照社會福利給付程度及金融市場發展程度的不同再分類後進行實證分析，結果發現社會福利給付程度高或金融市場發展程度高的國家，其總體死亡率變數較為顯著，代表死亡率下降對股票溢酬造成的影響的傳遞效果在社會福利高給付程度及金融市場發展程度高的國家較佳。

關鍵字

死亡率 ； 股票溢酬 ； 人口結構

並列摘要

Demographic aging has become a popular discussion in recent years. The reason for this phenomenon is because of decreasing in birth rate and mortality rate. Decreasing of mortality rate may make investors’ life expectancy increase so they will generates a stronger need to invest for retirement. In another words, changing in mortality rate could affect stock market. This may reveal an important message to insurance company and pension fund: if mortality rate and stock market are correlated, this relation could be a new way for insurance company and pension fund to hedge the volatility of mortality rate.
This paper studies the link between mortality rate and stock market in fifteen countries, furthermore, we pooling these countries by G5 and OECD. We find that mortality rate variables indeed predict stock premium in several countries, but the relationship is not monotonic. To further describe which characteristics make the difference, we pooling these countries by social security and financial market development. The results reveal that mortality rate variables will be significant in the countries with high social security and high financial market development.

並列關鍵字

Mortality rate ； Stock premium ； Demographic

參考文獻

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