IFRS 17風險調整之研究

Abstract

國際會計準則理事會（IASB）於2017年發布國際財務報導準則第十七號（IFRS 17），並規劃於2022年後實施。由於其負債之認列評價方式可分為：要素法、浮動收費法與保費分攤法，皆與固有制度相去甚遠，對於保險業經營產生重大衝擊，甚或改變保險商品之生態，故本文將對要素法項下之風險調整進行討論。\n本文先計算生死合險、終身壽險及年金保險三種保單之最佳估計負債，再透過風險值衡量法與資本成本法對其進行風險調整之分析。在風險值衡量法部分，藉由主成分分析與時間序列進行隨機模擬；在資本成本法部分，本研究按我國精算實務處理準則計算風險調整值。而在利率建構部分，本研究參採保險資本標準（ICS）建議的Smith-Wilson利率模型作為計算基礎。\n實驗結果發現，生死合險由風險值衡量法與資本成本法估計之風險調整皆隨時間經過而遞減，但衡量終身壽險時卻非如此。若使用資本成本法計算之終身壽險風險調整先是逐年遞增至保單中期，而後再隨時間遞減，且其值與使用風險值衡量法評價時有顯著差距。在年金保險部分，兩種方法所計算之風險調整仍有差異，只是不如計算終身壽險時明顯。實驗結果亦證明風險值調整法是利率中立的，但資本成本法卻容易受到利率與最佳估計負債之影響。此外，使用風險衡量法時，亦須注意解約率之變動較死亡率更能對風險調整產生影響。\n最後，本文針對實驗結果提出四點關於政策之建議：（一）風險值衡量法與資本成本法應當併行；（二）資本成本法所計算之風險係數應當適度調整且區間應當合理劃分，亦須解決長年期保單受到折現率影響之問題；（三）公司在接軌IFRS 17時，可將風險調整設定在「個體」層級，藉以達到自然避險的效果；（四）定價時解約率之估計應與時俱進，解約率之變動較死亡率波動更大也未必隨時間而改善。

The International Accounting Standards Board (IASB) has issued International Financial Reporting Standards No. 17 (IFRS 17) since 2017 and plans to implement it after 2022. The liability recognition and evaluation methods of IFRS 17 can be divided into building block approach, variable fee approach and premium allocation approach. They are all very different from the current ones and thus will have significant impacts on insurance operations and products.\nThis thesis discusses the risk adjustment under building block approach. We first calculate the best estimate liabilities of the endowment insurance, whole-life insurance and annuity insurance. Then the risk adjustment is analyzed through the Value at Risk technique (VaR technique) and cost of capital technique (CoC technique). In the VaR technique, the risk adjustment is calculated by random simulation which is carried out by principal component analysis and time series analysis. In the CoC technique, the risk adjustment is calculated according to the actuarial standards of practice issued in Taiwan. With regard to the construction of yield curves, we employ the Smith-Wilson method as used by the Insurance Capital Standard (ICS).\nThe results indicate that the risk adjustment of the endowment calculated by the VaR and the CoC techniques are both diminishing as the goes by. But the same cannot be said for whole-life insurance. When calculating the risk adjustment of whole-life insurance with the CoC technique, it increases gradually until the middle term of the policy, and then decreases with time. This differs significantly from the VaR technique. The risk adjustments of an annuity policy calculated by these two techniques are also different, but not as significant as those in the whole-life insurance.\nThe results also show that the VaR technique is interest-rate neutral, but the CoC technique would be affected by interest rate and the best estimated liabilities. In addition, it should be noted that changes of lapse and surrender rates have more impact on risk adjustment than changes of mortality rate under the VaR technique.\nLastly, this paper comes up with four policy suggestions: (1) The VaR technique and the CoC technique should be implemented at the same time. (2) The risk coefficient used in the CoC technique shall be adjusted appropriately and its interval shall be divided reasonably. And the problem in the CoC technique that the long-term insurance policies are affected by the discount rate shall be solved. (3) When the insurance companies confront IFRS 17, the risk adjustment might be set at the "entity" level in order to consider the diversification benefits. (4) The estimates of the lapse and surrender rate at pricing should be updated frequently. Lapse and surrender rate are more volatile than mortality rates and may not improve with time.