投資連結保險之動態避險與內在風險：評估方法與應用

Hedging and Intrinsic Risks for Equity-linked Life Insurance Policies: Evaluation Methods and Applications

10.30003/JRM.200303.0002

張士傑(Shih-Chieh Chang)；田嘉蓉(Chia-Jung Tien)；陳奕求(Yi-Chiu Chen)

保證 ； 鐵達尼選擇權 ； 評價 ； 均變異數避險 ； 內在風險 ； Guarantees ； Titanic Option ； Valuation ； Mean-Variance Minimization Criterion ； Intrinsic Risk

風險管理學報

5卷1期（2003 / 03 / 01）

25 - 43

繁體中文

附保證之投資連結壽險乃結合共同基金與傳統壽險特性之投資型態保險，隱含以死亡時間為條件之選擇權價值，Milevsky與Posner（2001）因此定義為鐵達尼選擇權。傳統壽險應用精算等價原理評價，給定利率與死亡率假設進行評價，而附保證之投資連結壽險除包含傳統壽險之利率與核保風險外，因加入指定投資標的之市場風險，避險策略成敗攸關經理人之整體獲利表現。本研究回顧Follmer與Sondermann（1986）之均變異數避險策略，計算風險測度以評估保險人之內在風險，並舉例分析附有給付限制及連結投資組合之保險，由模擬結果發現保險人可藉由指定投資標的之資產配置、增加避險頻率及擴大承保同質風險之經濟規模以降低自身之內在財務風險。

Equity-linked life insurance with guarantees integrates the attributes from the mutual fund and life insurance. The execution of its implied options depends on the policyholder's survival. Hence Milevsky and Posner (2001) defined this kind of innovation as ”titanic option”. Since their values cannot be replicated uniquely through the self-financing strategies due to market incompleteness, the theoretical setup in Follmer and Sondermann (1986) are adopted to develop the valuation and hedging strategy. Given that the payoffs depend on the market values of the underlying portfolios and the health status of the policyholder, mean-variance minimization criterion is employed to evaluate the intrinsic risk. Finally, risk-minimization hedging strategies are examined through several examples. Based on our simulations, we find that the selected asset portfolio, the frequency in hedging and underwriting volume significantly affect the insurer's intrinsic risks.

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