隨著時間的演變，科技與人文不斷的進步，人類壽命有逐年漸增的趨勢，保險公司在制定保單時，若忽略死亡率改善的現象，易發生預測偏差的行為，進而造成盈虧。再者，保險市場的步伐開始與資本市場做連結，市場上也開始出現連結跨國死亡率指數的商品，可做為保險公司因應死亡率不確定的避險工具風險。為了使保險端能有效達到避險效果，本文試圖建構一個考慮跨國死亡率模型。採用Cairns(2006)二因子模型的想法，考量各國男女群組時間因子、年齡因子、世代因子的相關性，進而建構跨國死亡率模型，並且依據英格蘭&威爾斯、加拿大男女共四個群組的實際死亡率資料進行實證研究，以誤差衡量的方法MAPE和BIC比較原始的方法和本文研究方法的配適和預測死亡率的準確性。最後考量國與國之間死亡率有無相關的程度，分析考慮死亡率相關和世代效應，對債券定價上的影響。;With the changing time technology and humanity, there is a tendency in making wrong prediction behavior when issuing insurance policy in traditional insurance company which results in revenue loss. In addition, the pace of insurance market has been merged with capital market that provides diverse and low risk financial commodities to investors. In the market, there are multi-countries mortality index commodities on the risk. In order to achieve risk prevention efficiently for insurance policy holders, this research paper attempts to build a framework that takes consideration of multi-countries mortality. Firstly, not only based on four group data formed by males & females in Wales & in Canada but also applied for Cairns’ two-factor model that takes into account of time factor, age factor, and cohort factor, the framework of Multi-Countries mortality Model is constructed. Secondly, according to MAPE and BIC, the accuracy of death prediction and the fitness of the original approach to the one used in this research paper are compared. Finally, by considering the degree to whether the mortality between countries is relevant or not, the influence that mortality and cohort effect have caused on the pricing of bonds is analyzed.
