台灣利率變動型年金商品設計與利率宣告策略關聯性之研究

The Single Premium Deferred Annuity has recently been introduced to the insurance market in Taiwan. Among all other “ general account “ traditional insurance products in the market, The SPDA is most sensitive to the movement of interest rates. With the recent development in Bank insurance market in Taiwan, insurance companies have successfully developed products with a guarantee rate that is higher than the rate of a certificate of deposit. The most popular insurance products in the bank channel are: 6-year endowment, structured note, and SPDA. With the anticipation of a rising interest rate, the SPDA is gaining its popularity since the rates offered by the other two products are locked in for a period of time.

The current SPDA in Taiwan’s market is still very primitive in its product design that we expect to get more complexity and variety when the competition kicks in. The main source of earnings for an SPDA is the interest spread that is the difference between the yield of the insurance company and the declared interest rate. With the common practice of the product pricing or the crediting strategy setting, the actuaries are likely to use a single interest path and a fixed interest spread for their actuarial valuation while ignoring the financial impact of those options embedded in the product design.

I have engaged the stochastic interest rate model and cash flow analysis in my study where under the different crediting strategies the policyholder’s behavior has been simulated by the various interest rate scenarios and the cost of each product feature or product provision has been calculated on an excess