投資型保單之定價－附有保證本金

Abstract

投資型保單給付的保險金，受投資標的資產之影響而決定價值多寡，本文針對附有保證本金的投資型保單定價。在投資型保單的定價上，價格決定需同時考量生死風險及投資組合風險，其定價較傳統壽險定價複雜。有別於一般精算觀念，本研究從財務經濟理論的觀點，以人的生命力隨機序列走勢來決定死亡和生存機率，並分析保險費用之死亡保險金及滿期生贈金，即本文將具不確定性的保險金報償與生命力機率密度函數結合而成投資型保單定價模型。此外，本文亦顯示模型的比較靜態分析結果。

With characteristics of minimum guarantee and uncertain benefit, the value of equity-linked life insurance contract depended upon the performance of a reference portfolio. This article provides the insurance contract valuation from the perspective of financial economics. Based on the process of the force of life, as used in Tsai, Shyu and Liao(2000), the benefit of mortality and benefit of expiration can be decided. We also compare the premium of equity-linked life insurance contract with traditional premium, such like Tsai, Shyu and Liao(2000) and Brennan and Schwartz(1976). The comparative analysis of contract value is also made in this paper.