Pricing Equity-linked Life Insurance with Minimum Death Guarantees：The Type A Case of Taiwan

[[abstract]]基於我國保險主管機關對投資型保險甲型之定期定額繳費法的監理政策，即保險金額與累積所繳保險費間的比例限制，可能造成投資型保險淪為投資商品而非保險商品，因此本文提出了二項改善方案，對此監理政策予以討論。本研究目的是評價這二種方案之避險成本，並檢驗保險業實務上常以台灣經驗生命表之死亡率直接當作避險成本費用率，其壽險公司的損益程度。本研究採用蒙地卡羅模擬法來進行評價分析，其研究結果顯示，首先，在收支相等的假設下，若投保年齡固定，保險金額愈高、理論上的避險成本愈高；若投保年齡愈高、避險成本愈高。其次，若保險公司直接使用生命表之死亡率做為避險成本費用率的計價方式，則保險公司的損益將有嚴重的錯估。[[abstract]]Based on regulation of equity-linked life insurance which the limited ratio of amount insured and accumulated insurance premium, it possibly causes the equity-linked life insurance products to degenerate into the investment products. Therefore, we broach the two improved plans and study the issues of regulation of equity-linked life insurance. The purpose of this paper is to evaluate the hedging costs and check the net present value where the death rate of mortality table is hedging cost, using Monte Carlo simulation. We also provided numerical estimator of hedging costs and net present value. The findings are as follow: 1. In actuarial equity, given the age, the higher amount insured, the higher is the hedging cost of theory. The higher the age, the higher is the hedging cost. 2. If death rate of mortality is to be considered directly as the hedging cost, the net present value of the liability of insurance companies will be greatly biased