李賢源臺灣大學：財務金融學研究所孟嘉仁2007-11-282018-07-092007-11-282018-07-092004http://ntur.lib.ntu.edu.tw//handle/246246/60762目前人壽保險市場中，利率變動型年金是傳統型商品中較新且對利率水準較為敏感的壽險商品。最近壽險公司利用銀行通路，以比定存高的利率水準為訴求，搶占銀行定存後，利率變動型年金與六年期養老險及連動債券是三個較為成功的商品。由於因市場對利率走升之預期心理，利率變動型年金將會比保證利率鎖定一段期間的商品更受歡迎。 台灣的利率變動型年金，在商品設計上還在較為原始的階段。隨著市場競爭，更為多樣化的商品設計是可預期的。利率變動型年金的主要利潤來源是利率差距（interest spread），利率差距是壽險公司的利率（yield）與宣告利率之差距，精算人員在商品設是擬定宣告利率策略時，通常也只用單一的固定利率差距假設，而忽略了商品設計中給予顧客的諸多隱含選擇權對商品最終利潤之影響。 本研究利用隨機利率模型及現金流量分析，針對目前市場之兩型利率變動型年金商品及其他可能之商品設計，在不同的利率宣告策略下，模擬顧客行為與利率水準之關聯，進而探討出商品設計與額外利率差距之對價關係。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第一章　緒論------------------------------------------------------------------ 6 第一節　研究動機與目的----------------------------------------- 6 第二節　研究方法-------------------------------------------------- 7 第三節　研究範圍與限制----------------------------------------- 7 第四節　論文架構-------------------------------------------------- 8 第二章　文獻回顧------------------------------------------------------------ 9 第一節　額外利率差距-------------------------------------------- 9 第二節　利率隨機模型-------------------------------------------- 11 第三節　保單脫退行為研究-------------------------------------- 13 第四節　現金流量分析-------------------------------------------- 14 第三章　利率變動型年金市場--------------------------------------------- 16 第一節　市場發展簡述-------------------------------------------- 16 第二節　市場需求研究-------------------------------------------- 18 第三節　商品設計-------------------------------------------------- 19 第四節　定價考量-------------------------------------------------- 23 第四章　量化模擬測試------------------------------------------------------ 28 第一節　利率變動型年金現金流量模型----------------------- 28 第二節　固定型現金流量模型----------------------------------- 32 第三節　隨機型現金流量模型----------------------------------- 34 第四節　測試結果-------------------------------------------------- 40 第五章　結論與建議--------------------------------------------------------- 44 第一節　結論-------------------------------------------------------- 44 第二節　後續研究建議-------------------------------------------- 46 參考文獻------------------------------------------------------------------------ 47 附錄：現金流量測試結果--------------------------------------------------- 48en-US利率差距隨機利率模型現金流量分析利率變動型年金Single Premium Deferred AnnuityInterest spreadStochastic interest rate modelCash flow analysisthesis