177 /342
177
臺大管理論叢
2017/5
第
27
卷第
2S
期
177-208
DOI:10.6226/NTUMR.2017.MAR.RM104-025
長期照顧保險商品設計與風險效果分析
Analysis of the Risk Effect of the Product Design of Long-Term
Care Insurance
摘 要
本研究探討長期照顧商品設計對保險公司負債風險之影響。本研究透過連續馬可夫鍊
建構健康狀態轉換模型，並以風險值及條件尾端期望值作為風險衡量指標，分析長期
照顧保險結合年金或壽險之後是否可以降低保險公司負債風險險邊際值。研究結果發
現，結合長期照顧保險與壽險會產生自然避險，結合銷售會使負債風險邊際值下降；
而長期照顧保險結合年金保險，因無法產生避險效果，負債風險邊際值反而較分別銷
售時高，但是若近一步考慮逆選擇成本後，逆選擇成本降低效益大於其風險邊際值之
增加，因此整體經營風險也會降低。保險公司根據本研究結果進行商品設計與搭售策
略將有助於長期照顧與年金保險市場之成長，並可協助降低公司負債風險。
【關鍵字】
長期照顧保險、商品設計、風險效果
Abstract
This paper investigates the risk effect of the product design of long-term care insurance.
Specifically, we focus on analyzing the changes in risk characteristics resulting from
different combinations of long-term care insurance with annuity or life insurance. We use
value at risk and conditional tail expectation as risk proxies to evaluate the risk margin of
different product designs. A continuous-time Markov chain model is employed to model the
health status of insureds. We find that the combination of long-term care insurance with life
insurance reduces the risk margin. By contrast, the combination of long-term care insurance
with annuity increases the risk margin. However, when the adverse selection cost of the
annuity is further considered, the net risk effect of the combination of long-term care
insurance with annuity actually decreases, because the benefit of lowering the adverse
selection cost outweighs the increasing risk margin. This paper provides an effective risk
management tool for life insurance companies to more effectively control their liability risks
and offer more innovative retirement products to society.
【
Keywords
】
long-term care insurance, product design, risk effect
王儷玲
/
國立政治大學風險管理與保險學系教授
Jennifer L. Wang
, Professor, Department of Risk Management and Insurance, National Chengchi
University
邱于芬
/
東吳大學財務工程與精算學系助理教授
Yu-Fen Chiu
, Assistant Professor, Department of Financial Engineering and Actuarial Mathematics,
Soochow University
謝明華
/
國立政治大學風險管理與保險學系副教授
Ming-Hua Hsieh
, Associate Professor, Department of Risk Management and Insurance, National Chengchi
University
陳彥志
/
國立政治大學風險管理與保險學系博士候選人
Yen-Chih Chen
, Ph.D. Candidate, Department of Risk Management and Insurance, National Chengchi
University
Received 2014/12, Final revision received 2017/3