民國九十四年七月一日開始正式實施「勞工退休金條例」取代原來的勞基法退休金制度,勞退新制的優點為退休金帳戶的所有權屬於員工,為一個提供最低保證利率的可攜式帳戶。本文以Briys and Vareme (1997) 為理論架構基礎,配合Grosen and Jørgensen (2000) 所提出的緩衝率概念,運用至勞退年金保險制度,發展出一個具有多期保證利率的模型來衡量保單價值,並以蒙地卡羅數值模擬方法分析在隨機利率水準時之保單價值、隱含的紅利選擇權價值、及保險公司經營此業務的股東權益價值變動情況。模擬結果發現高分紅率會提高紅利選擇權價值,在其他情況不變之下,保單價值也會隨之提高,不過高分紅率會造成違約機率的提高。此外,增加保險公司資本量會降低違約風險及有助於提高保險公司本身的獲益。 In July 2005, the Taiwan Employee Retirement Income Security Act (TERISA) was enacted to replace the traditional retirement system regulated by Labor Standard Law. The merits of new retirement funds are portable and have minimum rate of return guarantees in TERISA. This paper analyzes participating life insurance policies with minimum return guarantees for annuity insurance system of pension plan by extending the works of Briys and Vareme (1997) and Grosen and Jørgensen (2000). A multi-period model is developed to measure the value of pension guarantees for insurers by incorporating the factors of stochastic interest rates, default risk, and bonus policies. In the study we employ Monte Carlo method to calculate the policy reserves, bonus option values, default probabilities, and insurer’s shareholder value. The simulation results show that a large bonus rate implies a more valuable bonus option, ceteris paribus. Policy values are raising in bonus rate, however, the high bonus policies are relative to the high probability of default. Furthermore, increasing the insurer's capital will reduce default probabilities and rise profit to insurers.