跨國死亡率模型之建構及長壽債券定價之應用： 以CBD世代死亡率模型為架構

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姓名

李昆驊(Kuen-hua Li) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

跨國死亡率模型之建構及長壽債券定價之應用：以CBD世代死亡率模型為架構
(Multi-country Mortality Modeling and Its Application in Pricing Longevity Bonds under the CBD Cohort Mortality Framework)

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摘要(中)

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。

摘要(英)

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.

關鍵字(中)

★ 長壽風險
★ 跨國
★ 世代效應
★ 二因子模型

關鍵字(英)

★ Longevity Risk
★ Multi-Countries
★ Cohort effect
★ two- factor model

論文目次

目錄
摘要 I
目錄 II
第一章研究動機 1
第二章文獻回顧 3
2-1長壽商品證券化介紹 3
2-2 死亡率模型 7
第三章CBD跨國死亡率模型建構 10
3-1 CBD跨國死亡率模型建構 10
3-2 參數估計 13
3-3死亡率模型預測 16
第四張長壽跨國債券定價 20
第五章結論與建議 26
參考文獻 27

參考文獻

[1]. Blake, D., A. J. G. Cairns and K. Dowd, 2006a, Living with Mortality: Longevity Bonds and Other Mortality-linked Securities, British Actuarial Journal, 12(1), 153-197.
[2]. Blake, D., A. Cairns, K. Dowd and R. MacMinn, 2006b, Longevity Bonds: Financial Engineering, Valuation and Hedging, Journal of Risk and Insurance, 73(4), 647-672.
[3]. Cairns, A.J.G., Blake, D., and Dowd, K. (2006b) “A Two-Factor Model for Stochas-
tic Mortality with Parameter Uncertainty: Theory and Calibration,” Journal of
Risk and Insurance, 73, 687-718.
[4]. Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D., Epstein, D., Ong, A., and
Balevich, I., 2009, A quantitative comparison of stochastic mortality models using
data from England & Wales and the United States, North American Actuarial
Journal, 13, 1-35.
[5]. Lee, R.D., and Carter, L.R. (1992) “Modeling and forecasting U.S. mortality,”
Journal of the American Statistical Association, 87, 659-675.
[6]. Li, N., and Lee, R., 2005, Coherent mortality forecasts for a group of populations:An extension of the Lee-Carter method. Demography, 42(3), 575-594.
[7]. Lin, Y. and Cox, S. H., 2005, Securitization of mortality risks in life annuities, Journal of Risk and Insurance, 72, 227-252.
[8]. Stallard E. (2006), Demographic Issues in Longevity Risk Analysis, The Journal of Risk and Insurance, 73(4), 575-609
[9]. Yang, S.S. and Wang, C.W., 2012, Pricing and Securitization of Multi-country Longevity Risk with Mortality Dependence, Insurance Mathematics and Economics.
[10]. Renshaw, A.E., and Haberman, S.,2003, Lee-Carter mortality forecasting with
age-speciﬁc enhancement, Insurance: Mathematics and Economics, 33, 255-272
[11]. Renshaw, A.E., and Haberman, S., 2006, A cohort-based extension to the Lee-Carter model for mortality reduction factors, Insurance: Mathematics and Economics, 38, 556-570

指導教授

楊曉文(Sharon S. Yang)

審核日期

2014-7-18

推文