Mitigating the Mortality Risk of the Life Insurance Company through Intra-Product Hedging

透過保單商品的設計降低壽險的死亡率風險

10.6545/JFS.202306_31(2).0001

Fang-Wen Huang(黃芳文)；Hsiao-Tzu Huang(黃孝慈)；Chenghsien Jason Tsai(蔡政憲)

Mortality risk management ； life insurance ； product design ； 死亡率風險管理 ； 人壽保險 ； 商品設計

財務金融學刊

31卷2期（2023 / 06 / 30）

1 - 38

英文;繁體中文

We propose to alleviate the systematic mortality risk of a life insurer by product design. The systematic mortality risk associated with selling life insurance stems from the uncertain timing of the insured's deaths due to uncertain mortality rates. To mitigate this risk, we introduce a component through which the amount of payment would be smaller when the insured dies earlier than that estimated by the current mortality table. We provide theoretical derivations with figure illustrations and numerical analyses to demonstrate how death benefits change with the interest rate can immunize whole life and endowment policies from the systematic mortality risk.

我們提出以商品設計來降低保險公司的系統性死亡風險。現行壽險商品的系統性死亡風險源於被保險人死亡時間的不確定性。為降低此種風險，我們導入一個商品參數變動的設計。我們提供理論推導，並且以數據及圖形說明當死亡保險給付金額可以隨著利率而變化，將使終身壽險和養老保險產生抵免系統性死亡風險的效果。

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