Constructing a Pricing Model of Life Settlement Securitization and Profit Model of Life Settlement Corporation

[[abstract]]在美國，絕症患者為換取生活品質的改善與醫療費用之籌措，將本身所擁有的未到期壽險保單以折價的方式售出，這就是所謂的保單貼現(Viatical Settlement)，最早是以幫助愛滋病患者為主，後來絕症重病患者或慢性病患者甚至一定年齡以上的老年人也都以此工具來滿足其財務上的需要，此類則稱為老人保單貼現（Life Settlement）。而其發展從一開始的公益救助漸漸演變成一項可行的新興金融衍生性投資工具。本文即針對投資者與保單貼現公司方面，試圖去建構一個投資保單貼現證券化評價模式與公司利潤的評價模型。 研究結果發現，雖然保單貼現之投資有獲取超額報酬之機會，但仍以獲得保單貼現公司於交易契約中所保證之最低報酬，機率最大；並且根據保單貼現證券化評價模式模擬分析，發現此項投資風險相當大，投資者必須謹慎選擇；在保單貼現公司之利潤模式方面，本研究也發現，除了對支出成本需審慎控管外，保單被保險人之死亡風險大小，對公司之利潤有相當顯著之影響，且各變數對利潤變動之影響，以可能性最高的利潤變動比率最大。[[abstract]]In U.S.A., patients with terminal illness sell their personal undue life insurance policies at a discount for improving their life quality and raising money for medical expense. This is the so-called viatical settlement. In early stage, it aimed to help patients with AIDS. Latter, patients with terminal or chronicle illness and elder insured use this tool to satisfy their financial needs. The latter we call life settlement. Its development started as a public welfare rescue and then evolved into an innovative financial investment tool. In this article we attempt to construct a pricing model of life settlement securitization and a profit model of Life Settlement Corporation. The research results indicate that though it is possible to get excess return from life settlement, however, to obtain the minimum return in the contract guaranteed by the life settlement corporation is the most possible. And the simulation results of pricing model show the high volatility of this investment return. In respect of the pricing of the life settlement corporation, it is also found in this research that the magnitude of the mortality risk of the insured has significant effect on the profit of the corporation, besides that the expense cost should be controlled carefully