Duration analyses of life insurance policies

摘要衡量壽險公司利率風險的初步作法是估算保單的存續期間。保單的存續期間因現金流量模式的不同與一般債券的存續期間有很大的差異。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問可能小於○，也可能大於到期日，甚至還可能因為準備金接近○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問的數值降低，而佣金的平準化則會使原本正的存續期問變小。從壽險公司銷售保單組合可能的結果（平穩、成長、衰退等三種型態）來分析負債存續期間，由其結果可知一個新創立或成長型的壽險公司其所面臨利率風險的衝擊要大於一個處於平穩型或衰退型的壽險公司。關鍵字：存續期間、利率風險、淨現金流量、壽險保單、準備金AbstractEstimating the duration of the life insurance policy is the first step in measuring the interest rate risk of the life insurance company. Life insurance policy's duration is quite different from bond's due to the difference in the pattern of cash flows. Life insurance policies generate not only cash outflows as payments to policyholders from insurance companies but also cash inflows as premiums from policyholders to insurers. Furthermore, the net cash flow usually turns from inflow to outflow as time goes by. 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 its reserve is close to zero. Besides, the mortality rate does not have a significant impact on policy duration; early surrenders of policies would reduce policy duration in general; and leveling commission rate would make positive duration smaller. Findings concluding from analyzing the likely results, referring to the steadying, growing and declining modes, of insurance portfolios offered by life insurance companies for analyzing their liability duration, indicate that the interest rate risk exposure by a start-up life insurance company or a growing life insurance company is greater than a life insurance company that is at a steadying or declining phase.Keywords: duration, interest rate risk, net cash flow, life insurance policies, reserve