壽險保單之存續期間分析

Duration Analyses on Life Insurance Policies

10.30003/JRM.200205.0002

蔡政憲(Cheng-Hsien Tsai)；何憲章(Hsien-Chan Ho)；鄒治華(Chih-Hua Tsou)

存續期間 ； 利率風險 ； 壽險保單 ； Duration ； Interest Rate Risk ； Life Insurance Policies

風險管理學報

4卷1期（2002 / 05 / 01）

47 - 75

繁體中文

保單的存續期間因現金流量模式的不同與一般債券有很大的差異。壽險保單未來不只會產生現金流出（給付和費用），還會有現金流入（保費），其淨現金流量因而有可能變號，所以壽險保單的存續期間可能小於0，也可能大於到期日，甚至還可能因為準備金接近0的關係而有很大的數值。此外，保單的存續期間不太受死亡率下降的影響，解約率升高通常會使存續期間的數值降低，而佣金的平準化則會使原本正的存續期間變小。

Estimating the duration of the life insurance policy is the first step in measuring the interest rate risk for life insurance companies. Life insurance policy's duration is quite different from bond's due to the difference in the cash flow pattern. Life insurance policies generate not only cash outflows as payments to policyholders from insurers but also cash inflows as premiums from policyholders to insurers. The net cash flow may have sign changes. The duration of the life insurance policy therefore could be negative or longer than the maturity of the policy. It could even be huge if the reserve is close to zero. Moreover, the mortality rate does not have a significant impact on policy duration; early surrender would reduce policy duration in general; and leveling commission rate makes positive duration smaller.

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