保單責任準備金的死亡率風險探討

Abstract

隨著醫療技術的進步，長壽風險的議題受到更多關注，事實上，對保險公司來說，任何方向的死亡率改變都可能為公司帶來風險。本文借用Duration的概念，定義保單責任準備金對死亡率的敏感度為Mortality Duration，藉以作為衡量死亡率風險的指標。我們以年金商品為例，觀察隨著商品逐漸到期，Mortality Duration有什麼變化。我們發現，在某些情形下，若能有效配置新保單與舊保單之間的比例，對於死亡率風險的規避將有所幫助。另外，我們也觀察到，除了死亡率本身，商品遞延給付期間的設定、折現利率的改變皆能對死亡率風險造成影響。

Longevity risk has become an important issue because of the advance in medical technology. In fact, both the decrease and increase of mortality rate may cause insurance companies to have more risks. In this paper, we defined mortality duration as the sensitivity of reserve to mortality rate, and use it as the measurement of mortality risk. We studied the term structure of mortality duration and found some interesting results. In some cases, we may find an appropriate proportion between old policies and new policies for insurance companies, which can help a better dynamic equilibrium of mortality duration match. In addition, we also found deferred period and interest rate as two factors which may cause mortality risk to change.