臺灣博碩士論文加值系統

近年來全球各地頻頻遭受大型災害，因為地震、海嘯、新型流感、疾病或是恐怖攻擊等造成極端死亡率的出現，嚴重衝擊保險與再保險公司。為了將此系統風險轉移至資本市場，保險與再保險公司發展出死亡率證券化的金融商品，2003年底發行的Swiss Re mortality bond 即為其中最受矚目商品之一。本文假設死亡率為可轉換常態分佈，並在間斷時間經濟模型下，使用均衡定價法對Swiss Re mortality bond定價。此外，類似Wang transform及無套利定價法之結果，本研究推導出風險中立評價關係式，表示任何壽命相關連結商品的價格皆可視為未來期望報酬以無風險利率折現；且本研究方法不似Wang transform需扭曲標的資產的分佈，也不似無套利定價法需要大量的交易資料進行資產複製，更適合用來評價新興且標的資產為不可交易之壽命連結商品。最後導出類似Black-Scholes評價公式的封閉解。

Securitization of catastrophic mortality risk provides an effective approach for the pension funds and insurance companies to transfer the mortality risk to capital market. With the increasing amounts of the mortality-linked contingent claims, a fair and accurate pricing method is necessary. In this paper, we come up with a general equilibrium approach to price the Swiss Re mortality bond in a discrete time economy. We differentiate our approach from other previous ones for assuming a more general distribution, which is known as a transformed normal distribution. Although we start our model under some strict assumptions, including the representative’s preference and the distribution of the wealth and mortality rate, we finally obtain a risk-neutral (preference-free) valuation relationship and the price of mortality bond could be the expected value of its terminal payoff, discounted by the risk-free rate. Furthermore, we find a closed-form solution for pricing the Swiss Re mortality bond.

摘要 i
Abstract ii
目錄 iii
圖目錄 iv
表目錄 v
第一章　諸論 1
1.1研究動機與目的 1
1.2研究架構 4
第二章 文獻回顧 6
2.1 Swiss Re mortality bond 6
2.2死亡率隨機模型 9
2.3壽命連結商品定價方法 13
第三章 均衡模型與評價方法 17
3.1均衡定價模型 17
3.2評價公式之封閉解 19
第四章　評價與參數估計 24
4.1資料來源 24
4.2死亡率模型與參數估計 25
4.3數值結果 31
第五章　結論與建議 34
附錄一 36
附錄二 39
附錄三 41

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