台灣死亡率債券定價之探討

Abstract

隨著近年來科技的發達與醫學上的進步，台灣地區的人民平均壽命普遍增長(即死亡率逐年下降)，人口結構老化已是台灣必然之趨勢。本研究為探討與死亡率連結的衍生性商品-死亡率債券，建構出一個適用於台灣的死亡率債券。本研究利用Cairns, Blake and Dowd (2006)的二因子死亡率模型模擬死亡率，以台灣過去的歷史資料估計參數。並與實際死亡率去比較，探討模型的配適度(Goodness of Fit)是否合乎預期。定價的部分，本論文利用風險中立定價方法(Risk-Neutral Valuation)，計算台灣死亡率風險的市場價格，再計算債券的理論市場價格。此研究結果可作為未來保險公司發行死亡率債券之參考。

With the advancement in technology and medine in recent years, the average life expectancy of people in Taiwan generally increases (Mortality decrease year by year), it is an inevitable trend that the people in Taiwan are going to face an aging-population. Our objective is to study a mortality-linked security---mortality bond. Expect to construct a suitable mortality bond in Taiwan. We take Cairns, Blake and Dowd (2006) two-factor mortality model. By using the historical data in Taiwan to simulate mortality. In pricing, we use risk-neutral valuation to calculate the market price of mortality risk, and consider it as a theoretical market price. Our contribution can be used as a reference of pricing mortality bonds in the future.