自2007年開始，次級房貸爆發所引發全球性之金融風暴，各市場相繼崩跌，許多機構投資者，如投資銀行、避險基金、退休基金等，甚至一般投資大眾，無不受到嚴重的衝擊。因應上述情況而衍生出之探討議題，即保單貼現商品市場。利用此商品特性：(1)價值變化最主要取決於標的物之死亡率；(2)與傳統的金融市場走勢低度相關，來降低投資組合的風險。所謂保單貼現商品，即壽險商品間之交易，保單持有人將其保險單以折價方式，透過仲介人(保單貼現公司)賣給投資人以獲取現金，投資人繳付後續年度保費，待保戶死亡，保險公司將此保額支付給投資人。其中所牽涉保戶之死亡率，即以隨機死亡率模型探討長壽風險對保單貼現價值影響，反映在投資組合效率前緣上，可發現利用二因子隨機死亡率模型所預測之死亡率，能使投資組合之風險降低。反之，使用Lee-Carter模型則無此效果。

We know that the global financial crisis in 2007 was caused by subprime-mortgage leading to a serious recession among different market. Many institution investors also suffered huge losses. In order to figure out the problem, insurance market is the hot issue around us. The characteristic of longevity-linked product is that they don’t fluctuate with traditional financial market but the duration of survival of people. Because of the properties, we could lower our risk in investment portfolios. Life settlements are the transactions of life insurance products. Through this way, the particular insured can get a payment from financial intermediary to reallocate their money; however, the investors who purchase polices need to pay the remainder insurance premium and gain the policy face value after the insured died. Then, mortality is the key point in this whole process. In this paper, we use stochastic mortality process to price life settlements. Then, after pricing life settlements, we will put life settlements into our portfolios and analyze the effect of efficient frontier. From the result, we can find that if using two-factor model to fit the mortality, considering life settlements can lower the risk of portfolios. On the other hand, using Lee-Carter model can’ get the same result.

摘要 .....................................................i
Abstract ................................................ii
致謝 ................................................... iii
目錄 .....................................................iv
表目錄 ....................................................v
圖目錄 ...................................................vi
第一章 緒論 ................................................1
第一節 研究動機與目的 .......................................1
第二節 保單貼現介紹 .........................................2
第二章 文獻回顧 .............................................5
第一節 有關保單貼現商品定價 ..................................5
第二節 有關保險商品效率前緣之分析 .............................7
第三章 模型與評價方法 .......................................8
第一節 保單貼現定價 .........................................8
第二節 死亡率模型 ...........................................9
第三節 財務動態模型 ........................................13
第四章 實證研究 ............................................15
第一節 資料來源與參數設定 ...................................15
第二節 投資組合對效率前緣之影響 ..............................17
第三節 比較不同死亡率模型-Lee Crater ........................19
第四節 考慮參數不確定性 .....................................23
第五章 結論 ...............................................26
參考文獻 ..................................................27
附錄一 ...................................................28

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