人壽保險公司經濟資本評估及風險分析：以利率變動型壽險為例

Abstract

台灣投資市場利率長期處於低檔，加上超額儲蓄的社會形態，為滿足投資消費市場需求，壽險公司開始大量銷售被稱為類定存商品的利變型壽險，利變型壽險利用宣告利率彈性調整保險契約價值，保單持有人可獲取高於銀行定存利率的宣告利率。然而，保險公司以宣告利率方式將所區隔資產的投資收益回饋給保單持有人，等同於事先稅前將收益分配於保單持有人，相較於傳統型商品而言，將降低壽險公司回饋股東的收益與自有資本的累積，因此銷售利變型商品時公司之財務清償能力尤其重要。\n另一方面，面臨利差損的壽險市場為提升資產投資收益，開始大量投資在台發行之國外債券，但美元自2016年初至2017年第一季末大幅貶值8.03%，導致壽險公司面臨巨額匯兌損失，匯率成為壽險業不得不面對的風險因子。\n本研究假設壽險公司以利變型壽險商品為主，特別加入匯率模型，建立完整模型對壽險公司之資產與負債進行動態分析，以經濟資本衡量壽險公司的清償能力，透過模擬結果發現\n(1) 比較各種風險因子後，匯率風險影響財務清償能力之程度最大，舉例而言，若匯率波動度上升20%，其一年經濟資本會上升近35%。\n(2) 傳統型壽險較彈性變動宣告利率之利變型壽險有較高的清償能力，在相同預定利率下，利變型壽險之十年經濟資本較傳統型高近32%。\n(3) 經濟資本在99.5%信心水準下大於風險資本總額與安定基金提撥金額，在95%信心水準下經濟資本與兩者則較為接近。

Interest rates of capital market in Taiwan keep very low for a long time. In order to satisfy demands of market, insurance companies started to sell interest-sensitive life insurance policies on a large scale. Interest-sensitive life insurance policies cumulate the policies value with elastic interest rate. However, insurance companies that sell interest-sensitive life insurance policies need to feedback some profit to their customers. Therefore, if insurance companies sell interest-sensitive life insurance policies, solvency of insurance companies will be very important particularly.\nOn the other side, insurance companies invest mass capital into foreigner bond published in Taiwan. Unfortunately, U.S. dollars depreciate substantially from 2016 to 2017. It leads to insurance companies faced mass loss. Exchange rate risk has been inevitable risk factor.\nThis paper assumes that an insurance company merely sell interest-sensitive life insurance policies. Also, add an exchange rate model into our asset-liability model to analysis exchange rate risk exactly. We use economic capital to assessment solvency of an insurance company.\nAccording to this paper, we can find that exchange rate risk is the important risk factor among all risks we considered. Because of profit feedback, Interest-sensitive life insurance policies are less solvent than traditional life insurance policies.