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題名 | Does Longevity Make Individual Annuities Attractive?=長壽風險是否提升年金保險之價值? |
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作者 | 林子綾; 蘇真慧; Lin, Tzuling; Su, Karen C.; |
期刊 | 財務金融學刊 |
出版日期 | 20150300 |
卷期 | 23:1 2015.03[民104.03] |
頁次 | 頁85-104 |
分類號 | 563.73 |
語文 | eng |
關鍵詞 | 年金之謎; 金錢價值; Lee-Carter模型; 長壽風險; Annuity puzzle; Money's worth; Lee-Carter model; Longevity risk; |
中文摘要 | 本研究以年金保險的金錢價值(money's worth)為指標,探討長壽風險存在時,是否提高保戶所購買年金的價值。本研究發現,英國女性年金保險的金錢價值較男性為高,顯示市場存在精算定價上的差異,並推估未來男性死亡率的改善程度較女性為佳。本研究更進一步推論,隨著死亡率改善程度的遞減,保險公司所承擔的長壽風險與成本亦隨之減低。 |
英文摘要 | The purpose of this study is to analyze the money's worth values of annuities under the existence of longevity. We observe that money's worth values are higher for women than for men, implying that a certain degree of actuarial unfairness exists. Predicted mortality rates derived from the Lee-Carter model indicate that there is a higher degree of men's mortality improvement in the future. Moreover, our analysis conducted over a five-year period reveals that longevity cost and longevity risk tend to decrease over time, indicating that the level and uncertainty of mortality improvement will decrease in the future. |
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