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。

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.

長期照顧保險; 商品設計; 風險效果

long-term care insurance; product design; risk effect