保單貼現市場與評價之敏感度分析

Abstract

保單貼現的出現，打破了壽險公司長期以來在壽險保單次級市場的壟斷地位；藉由保單貼現，被保險人可以得到高於解約金的價值，用以解決資金需求或從事新的財務規劃，保單收購公司由買賣保單之間賺取佣金，投資人也獲得投資金額與死亡理賠間的差額，報酬率則取決於被保險人的實際死亡時間，可謂創造了三贏的局面。然而，保單貼現市場仍存在許多問題；首先是商品結構及相對應的風險並沒有一個完整的說明，再來是貼現金額評價方法的不透明，而生命預期的準確性也備受質疑。因此在本文中，先對保單貼現市場、商品結構及風險特性進行分析。再以假設的單一保單貼現商品為基礎，分析各評價因素、生命預期錯估及死亡率改善等，對市場參與者的影響。最後以實際的保單貼現證券化商品為例，來研究生命預期錯估對保單貼現證券化商品的影響。分析結果發現，在各項評價因素中，生命預期及折現率是保單貼現評價的決定性因素；保費的高低對評價有一定的影響力；被保險人年齡及保險公司信用評等對於評價沒有很大的影響。在單一保單貼現商品的分析部份，生命預期錯估對各參與者有很大的影響，死亡率改善則因被保險人多為高年齡層，影響有限。而在證券化商品的分析部份，生命預期錯估的影響因證券化架構的不同，有很大的差別，在投資金額小於死亡理賠的例子中，生命預期錯估對投資人有很大的影響；但對於投資金額等於死亡理賠的例子則幾乎沒有影響，所有的損益都由殘值組吸收。

The emergence of life settlement had broken the long-existed monopoly status of life insurance companies in the secondary market for life insurance policies. Through a life settlement transaction, the insured could sell his policy for an amount greater than the surrender value of the policy and then use the money to satisfy the need for cash or to fund new financial planning, the settlement provider could charge a commission on the deal, and the investor(s) could get the difference between the face amount of the policy and the settlement amount. It seems that all participants will benefit from the deal; however, there still have lots of problems in this market. Firstly, there are no complete description of the product structure and associated risks. Moreover, the settlement pricing model is opaque. Finally, the accuracy of life expectancy is suspicious. This article begins by analyzing life settlement market, product structure and associated risks. Next, based on a theoretical probabilistic model, the article investigates the impacts of settlement pricing factors, life expectancy misevaluation and mortality improvement to every participant in this market. The results show that life expectancy and discount rate play critical roles on the evaluation of life settlement; policy premium level is influential in life settlement pricing; age of insured and credit rating of life insurance companies are nearly no effect. Finally, the article evaluates the influences of life expectancy misevaluation on life settlement securitization products by analyzing real-world products. The magnitude of influences depends on the securitization structure. When the money invested is smaller than the total face amount in the asset pool, life expectancy misevaluation do impact investors’ rate of return. On the contrary, there is no effect on the investors’ rate of return when the money invested is equal to the total face amount in the asset pool. All the gains or losses caused by life expectancy misevaluation are absorbed by the residual class.