本文主要是探討利率期限結構模型於保險商品定價之應用，乃是將
利率期限結構模型引用到保險費之計算。本文以Vasicek（1977）與CIR（1985a）所發表之利率模型為研究模型基礎，以定期壽險、生死合險、終身壽險以及終身年金等商品為研究標的。研究重點包含：使用Vasicek與CIR模型對保險商品定價，並與固定預定利率方式計算之保險費加以比較分析。進一步，探討利率期限結構模型參數變化對保險費率影響之敏
感度分析。最後，以台灣市場資料為例對保險商品定價作模擬分析。
綜合本文研究結果發現：以往使用單一預定利率方式來定價保險商品，隱含忽略實際市場的利率期限結構，當市場利率較高，保險公司會
提供較高的預定利率，保費較低廉；然而當市場利率一旦走低，在壽險
契約具長期性的特質下，定價過低的問題自然顯現，使保險公司必須承
擔利率變動之風險。採用利率期限結構模型所模擬之純保費，不論考慮
不同時點之保險契約或是考慮利率之隨機性，皆是以長期平均利率水準
為基礎，並將未來利率之變動納入保費計算之因子，隨市場利率之變動
，利率期限結構模型能將之反應在保費之計算上，進而降低利率變動對
保險公司所帶來之風險。因此，建構符合市場趨勢的利率期限結構，並
作合理的保險定價顯得迫切與重要。

Abstract：
The article principally discusses the application of
term-structure interest rate model in pricing life insurance.
We attempt to calculate the net premium using term structure interest rates instead of fixed discount rates. We adopt two well-known term-structure interest rate models－Vasicek(1977) and Cox, Ingersoll, and Ross (1985a). The pricing method that incorporate term-structure interest rate for four different types of life insurance contracts such as endowment insurance, term life insurance,whole life insurance and annuity is presented.
In attempt to calculate the net premium that reflects the
trend of future interest rate for Taiwan financial market,
we consider three different interest rate data to calibrate
the Vasicek and Cox, Ingersoll, and Ross model separately.
We then use the parameters for the term structure to calculate the net premium. The comparison of the net premium using term-structure interest rates with those using fixed discount rates is analyzed. The sensitivity analysis is also carried out to exam the effect of changing the parameters used in the term-structure interest rate model.
The results of the study show that using fixed discount rate method to calculate the net premium at makes an insurer more risky. If the future market interest rate becomes lower than what the company estimates, using fixed discount rate method may cause the net premium substantially under-priced. Thus,the insurer may have to consider the variation of future interest rate in pricing life insurance.
Adopting term-structure interest rate model can reflect
the stochastic interest rate and reduce the interest rate risk
to the insurer in pricing life insurance. Therefore, it is
very important and imperative to establish term structure of interest rate that tally with market tendency and to price insurance products reasonably.

第一章 緒論 .............................................1
第一節 研究動機 .........................................1
第二節 研究目的 .........................................2
第三節 研究範圍 .........................................3
第四節 研究架構 .........................................3
第二章 相關文獻探討 .....................................5
第一節 利率期限結構理論 .................................5
第二節 單因子利率模型 ..................................11
第三節 文獻回顧 ........................................22
第三章 理論基礎與研究模型 ..............................27
第一節 純保險費之計算基礎與方式 .........................27
第二節 利率期限結構下純保險費之計算方式 .................34
第三節 研究模型 ........................................39
第四章 考慮利率期限結構下之保險商品定價..................49
第一節 研究假設 .......................................49
第二節 數值結果：情況一 ...............................51
第三節 模擬結果：情況二 ...............................60
第四節 保險期間變化對保險商品費率之影響 ................66
第五節 參數變化對保險商品費率之影響 ...................68
第五章 保險商品考慮利率期限結構之研究
─以台灣市場資料為例.............................75
第一節 參數估計方法介紹 ...............................75
第二節 參數估計 ........................................78
第三節 模擬結果 .......................................84
第六章 結論與建議 .......................................99
第一節 結論 ...........................................99
第二節 後續研究建議 ..................................103
參考文獻 ...............................................105
附 錄 ...............................................109

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