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研究生： 鄭又豪
Yo-Hao Cheng
論文名稱： 保單貼現訂價及對效率前緣的影響
Pricing Life Settlements and their Effects on Efficient Frontier
指導教授： 楊曉文
Sheau-wen Yang
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
畢業學年度： 100
語文別： 英文
論文頁數： 37
中文關鍵詞： 定價 、保單貼現 、效率前緣
外文關鍵詞： Pricing model, Efficient frontier, Life settlements
相關次數： 點閱：16  下載：0 
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    • 2007年的金融海嘯不論在廣度及深度上影響都非常深遠，而造成各市場間相繼崩跌的其中原因為投資組合中所選取的商品彼此呈現高相關程度。因此，機構投資者也開始將目標鎖定人壽保險市場，希望藉由人壽保險商品降低投資組合風險。人壽保險商品重要特色為標的不隨股票市場波動，而是隨著標的物死亡期間長短而波動。保單貼現指的是壽險商品間的交易，特定的保險人由於某些特定因素出售保單而獲取一定金額，而投資者可以在保險人死亡後獲得保險理賠。隨著法令的開放及相關法制的完整，人壽保單的交易也漸漸合法化，但在定價模型上並未有一致的共識，造成此類型交易的不夠明度。本研究探討利用隨機死亡率將保單貼現商品定價。再者，將商品公平定價後導入原有的投資組合，看此類型的商品對效率前緣會有何影響。

    After experiencing the global financial crisis during 2007, the investment banks notice that this recession is very profound in depth and width and they also discover that high correlation among products in portfolios is a very important factor which causes huge chain reaction among different markets. Therefore, institutional investors focus their attention on insurance market. The most vital characteristics of longevity-linked product is that they don’t fluctuate with stock market but the duration of survival of people. Life settlements are the transactions of life insurance products. Through this transaction, the particular insureds who have personal reasons can get a lump sum payment to reallocate their money; however, the investors who purchase polices gain the policy face value after the insureds died. With the completeness of relative regulation and openness of law, this type of sale is legal but there’s no consensus on pricing model, which makes pricing process not transparent and consistent. In this paper, we investigate using stochastic mortality process to pricing life settlements. Then, after pricing life settlements, we will put life settlements into original portfolios and analyze the effect of efficient frontier.

    摘 要 I Abstract II Acknowledgements III List of Tables VI List of Figures VII 1. Introduction - 1 - 1.1 Life settlements - 1 - 1.2 The market of life settlements - 3 - 1.3 Efficient frontier for life settlements - 4 - 2. Literature Review - 5 - 2.1 Life settlements - 5 - 2.2 The efficient frontier - 7 - 3. Model and Methodology - 8 - 3.1 Life settlements pricing model - 8 - 3.2 Mortality model - 10 - 3.3 Financial model - 11 - 4. Data and Parameters Setting - 13 - 4.1 Data - 13 - 4.2 Mortality rate simulation - 14 - 4.3 The parameters of financial model - 14 - 5. Analysis of Efficient Frontier for Life Settlements - 15 - 5.1 Assumptions on life insurance products - 15 - 5.2 Results and efficient frontier - 16 - 5.3 Sensitive analysis - 21 - 5.4 Scenario analysis - 22 - 6. Conclusion - 25 - Reference - 26 -

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