附最低保證變額壽險於退休金市場之應用

本研究探討兩種附有最低保證給付之變額壽險，期望作為投資人在累積其退休基金時之可行方案。附最低保證變額壽險是由目前市面上保本型連動式債券轉變而成，為結構型商品與傳統壽險商品的組合。本研究所提出的商品包含兩種型態：固定型與計息型，其差異在於保證之內容：其一為固定不變，另一種將依循未來的隨機利率而變動。本研究將藉由模擬法分析不同的投資方式，說明為何附有保證型態的變額壽險是投資人在規劃其退休基金時的優先選擇。此外，對於提供此商品的保險公司而言，本研究亦探討此類商品的定價與避險程序，同時進行各參數對於保證價值的敏感度分析。
關鍵字：避險、最低保證、退休金、定價、變額壽險
The Application of Variable Life Insurance with
Minimum Guarantee in Retirement Pension Markets
Abstract
This paper introduces two variable life insurance products with minimum guarantees, which can be used as a product to cumulate retirement pension fund. The concept behind these two products is a structured commodity plus a term life insurance with minimum guarantees on both parts. The difference between the two products is on the guarantee amount-one is fixed, and the other is dependent on the stochastic interest rates. We demonstrate, via simulation approaches, how these two products can be used to cumulate the fund. Also, we investigate the pricing, risk management and parameters sensitivity analyses for the new products.
Keywords: hedging; minimum guarantees; pension fund; pricing; variable life insurance