隨著醫療科技進步、醫療資訊迅速發展，降低了人口死亡率，使得人們平均餘命上升，推升老年人口比例，對於保險業而言，為了因應長壽風險，人們藉由購買年金商品填補退休金不足之部分；然而隨著投保客戶壽命之延長，退休基金及保險公司必須將更多資金投入長期債券，對長期債券的大幅需求將降低長期債券收益率，使長期債券難以提供養老金，因此，退休基金及保險公司必須更改投資策略，將資金投資於其他具發展潛力的之產業或投資高報酬之金融工具才能維持其收益。
    本文採用Black，Jensen and Scholes (1972) 市場單因子模型、Fama and French (1992) 二因子模型、Fama and French (1993) 三因子模型、Carhart (1997) 四因子模型，分別加入Box and Jenkins(1976)發展之自我回歸整合移動平均模型(ARIMA)預測之死亡率因子，對49個產業進行迴歸分析，試圖尋找在死亡率下降、人口老化的環境中，能夠獲利的產業，使退休基金及保險公司之年金保險得以有效運作。

With the advance in medical science and technology, reducing the mortality, making the life expectancy rise. For insurance industry, in order to cope with longevity risk, people purchase annuity products to cover the gaps for pension; however, with the extension of the life of insured, pension funds and insurance industry have to put more funds into long-term bonds, the substantial demand for long-term bonds will reduce long-term bond yields, making it difficult to offer enough pension, and insurance industry must change the investment strategy, invest in other potential industry or other high returns financial instruments to maintain their profitability. 
   This article takes Black and Scholes, Jensen (1972)one factor model, Fama and French (1992)two factor model, Fama and French (1993)three factor model, and Carhart(1997)four factor model, and add Box and mortality factor predicted by Jenkins arima model respectively, then conduct the regression analysis to forty-nine industries, trying to find out profitable industry under declining mortality and population aging, let pension funds and annuity insurance of insurance industry could operation effectively.

目錄
第一章  緒論	1
第一節  研究動機與目的	1
第二節  研究內容與架構	3
第二章  文獻回顧	4
第三章  研究方法	7
第一節  研究假說	7
第二節  研究模型	9
第三節  資料來源與變數定義	13
第四節  敘述性統計	18
第四章  實證結果	25
第一節  單根檢定	25
第二節  迴歸結果	28
第五章  結論與建議	42
參考文獻	44
附錄	46
圖次
圖1-1 2005年至2010年世界平均預期壽命	2
圖1-2 2005年至2010年世界平均預期壽命	2
圖3-1 ADR 0、EDR 0	22
圖3-2 ADR 25、EDR 25	22
圖3-3 GADR 0	23
圖3-4 GADR 25	23
圖3-5 UDR 0	24
圖3-6 UDR 25	24
表次
表3-1變數敘述統計表	19
表3-2死亡率變數與產業報酬之相關係數	20
表3-3四因子與死亡率變數相關係數矩陣	21
表4-1各變數ADF單根檢定	26
續表4-1各變數ADF單根檢定	27
表4-2 0歲以上整體人口實際死亡率	34
表4-3 25歲以上人口實際死亡率	35
表4-4 0歲以上整體人口實際死亡率成長率	36
表4-5 25歲以上人口實際死亡率成長率	37
表4-6 0歲以上整體人口預期死亡率	38
表4-7 25歲以上人口預期死亡率	39
表4-8 0歲以上整體人口未預期死亡率	40
表4-9 25歲以上人口未預期死亡率	41

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