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

• Main Authors: Chia-Chin Liou, 劉嘉進
• Other Authors: Min-Sun Horng
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/66081304206370993790

碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 93 === 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.