保本型變額壽險之評價分析

Abstract

本研究是以保本型變額壽險的評價分析為節疇，保本型變額壽險屬於「利率敏感型」的壽險保單，保險給付與契約所明定的投資組合及最低保證利率相關，與傳統保險在評價過程上存在明顯的差異。本文分別以躉繳生存保險、躉繳定期保險、定期繳生存保險及分期繳定期保險四種基本類型的保險為研究的對象，應用選擇權計價的平賭理論及財務經濟的套利定價模型，同時配合人壽保險死亡風險分攤的特性，建構附有最低保證給付變額壽險的定價模式，進而計算保本型變額壽險的保費。

This study explores the practical applications on evaluation of net premiums for the variable life insurance policies with endogenous minimum guarantees. Four basic insurance policies are separately studied: the single and periodic premium(s) for guaranteed unit-linked pure endowment and term life insurance. Arbitrage pricing model and the theory of martingales provide a powerful technique for the analysis of equilibrium prices. Risk sharing methodology is employed to derive the premium under a specific reference portfolio for different variable life insurance policies, and extend them to the case where the minimum guarantees are endogenous.