死亡率改善對錯誤定價風險的影響

Abstract

C-2風險主要是捕捉保險公司錯誤定價的風險，此篇論文考慮死亡率改善的情況，利用蒙地卡羅模擬，模擬不同險種不同投資組合下，保險公司所承擔的錯誤定價風險。結果發現在死亡率改善的情況下，保險公司在定期險、養老險、終生險、終身還本險承擔的錯誤定價風險較小,但生存險的錯誤定價風險相對提高。現行C2係數可能高估前4項險種的風險，而低估生存險風險。

The risk-based capital formula developed by the National Association of Insurance Commissioners (NAIC) help insurance providers to assess the risk inherent in an insurer’s contractual obligations and asset portfolio. The risks in the C-2 category (C-2 risk) arise from the likelihood of inappropriate pricing. The purpose of this study is to examine the effects of death improvement on the mispricing risk. Simulations were conducted on three portfolios of 1,000 lives, 10,000 lives, and 100,000 lives respectively, with each life subjected each year to specific mortality and lapse rates. The models also considered the death dividends. The risk factors for the simulations were targeted at the 95% confidence level. The result indicates that with death improvement, insurance companies suffer lower mispricing risks from term, endowment, whole life polices as well as from whole life with survival benefit policies, yet they are likely to suffer a higher risk from pure endowment insurances.