近年來的熱門話題是人口結構變遷對社會的影響，人口老齡化的問題最受到擔憂，造成此現象之原因為生育率及死亡率的下降。因死亡率下降造成預期壽命的延長，使個人承擔更多的長壽風險(Longevity Risk)，需要有更多的資金去支付年老退休後的生活花費及延長壽命的醫療支出，故近年來針對退休族群的儲蓄險、年金險、投資型保單的熱銷，也是反映了這個現象。對退休基金和壽險公司而言，身為長期的投資管理者，這是一個重要的訊號：若死亡率的增減會改變投資人的投資決策，則代表死亡率和資本市場之間可能存在著某種關聯。壽險公司及退休基金可利用此資訊，在做商品規劃及投資決策時，可多加考量死亡率變動所造成的風險，調整產品業務的比例、投資配置的組合，並做好投資上的避險策略。
    本研究採用台灣人口死亡率及經濟變數進行實證分析，探討台灣人口死亡率的變動對超額報酬產生的影響。
    實證結果得知死亡率與超額報酬有顯著的相關，除了壽險公司及退休基金可利用此資訊做投資規劃，對於一般投資人，也可利用此資訊做長壽風險的投資參考依據。

In recent years, the hot topic is the impact of demographic structure change on society. The problem of population aging is the most concern. The reason for this phenomenon is the decline of fertility and mortality. The increase in life expectancy due to the decline in mortality led to an additional risk of Longevity Risk, the need for more funds to cover the cost of living and prolonged life after retirement, Retirement group of savings insurance, annuity insurance, investment insurance selling well, but also reflects the phenomenon. For Retirement fund and Life insurance company, as a long-term investment manager, this is an important signal: if the increase or decrease in mortality will change the investor's investment decision, there may be some connection between the mortality and the capital market. Use this information, life insurance companies and pension funds in the planning and investment decisions, more consideration of the risk caused by changes in mortality, adjust the proportion of business products, adjust the investment portfolio, and do a safe hedge on investment strategy.
    This study uses Taiwan's population mortality and economic variables to conduct empirical analysis to explore the impact of changes in population mortality in Taiwan on excess returns.
    The empirical results show that the mortality is significantly related to the excess returns. In addition to life insurance companies and pension funds, this information can be used for investment planning. For general investors, this information can also be used as a basis for investing in longevity.

第一章 緒論      	1
  第一節 研究動機  	1
  第二節 研究流程	        4
第二章 文獻回顧	        5
第三章 研究方法    	9
  第一節 研究假說  	9
  第二節 研究模型        11
  第三節 變數定義        14
第四章 實證結果          18
  第一節 敘述統計        18
  第二節 實證分析        22
第五章 結論與建議        48
  第一節 結論            48
  第二節 建議            50
參考文獻                 51

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