隨著經濟發展，人類的壽命逐年增長，受之衝擊最大的為退休基金及提供年金商品的保險公司。保險公司因承保而承擔之死亡率風險及長壽風險，是無法經由大數法則分散之系統風險。傳統主要透過再保險或本身的資本準備來因應此風險，造成風險過度集中於保險與再保險市場。

證券化是一個使保險業得以有效移轉死亡率風險至資本市場的風險管理工具。死亡率債券及長壽債券在國外已行之有年，本論文參考國外長壽債券發行條件，計算台灣發行長壽風險債券理論市場價格，及隱含的風險市場價格，同時考慮參數不確定風險之影響。研究方法採用二因子死亡率模型(Cairns, Blake and Dowd (2006))，利用台灣歷史資料估計參數，模擬未來存活率。使用風險中立機率之定價方法，計算台灣長壽風險的市場價格，並應用至不同發行條件（連結族群年齡及債券年期），計算債券之理論市場價格，作為台灣保險公司發行壽命連結證券化商品之參考。

In insurance studies, longevity risk is defined as the uncertainty of mortality improvement in the future. Recently, it is significant that the average life span is longer than expected, especially among higher age people. During the near two decades, mortality-linked securities are prevalent in the U.S and European financial markets, and through securitization it successfully helps transfer mortality risk from insurance industry to capital market.

The main purpose of this paper is to derive the reasonable market price of Taiwan longevity bond and also the market price of longevity risk. The approach applied in this paper puts the underlying stochastic mortality into consideration, and parameter uncertainty is also stressed. We use risk-neutral probability measure when pricing. One contribution of this paper is to introduce the two-factor mortality model to life offices in Taiwan. It also provides as a reference of pricing longevity bonds issued in the future.

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