不同制度下附保證型變額年金之資本要求研究

Abstract

台灣將於2026年採用以ICS2.0(Insurance Capital Standard 2.0)為基礎之新一代清償能力制度以取代過去的風險資本額制度(Risk-Based Capital)，而NAIC(National Association of Insurance Commissioners)對於附保證型商品之準則也隨著時間更迭，準備金制度VM21自2020年供保險公司自願性加入，逐漸取代AG43。\n本研究以躉繳最低死亡、提領保證變額年金(Guaranteed minimum death, withdrawal variable annuity)為例探討不同制度對附保證型商品的資本要求影響。準備金方面，研究發現VM21(Valuation Manual 21)準備金普遍較AG43(Actuarial Guideline XLIII)保守，保險公司需提存較高之準備金，且VM21準備金對市場波動的反應也較為劇烈。資本要求方面，相較於風險資本額制度RBC使用係數法計算，以ICS2.0透過壓力法計算之資本要求金額較高，且較能反映市場變化，當市場下跌時ICS2.0之資本要求較能即時反應該商品潛在風險。綜觀而言，ICS2.0制度較過去RBC更能反映市場現況，而VM21制度較AG43制度保守，因此保險公司未來發行附保證型商品時應謹慎估算準備金與資本要求以因應資本市場短時間的大幅波動，建議保險公司應在發行商品前考量風險胃納以利永續經營。

Taiwan will implement a new capital-adequacy requirement which is based on ICS2.0(Insurance Capital Standard 2.0) in 2026 to replace the Risk-Based Capital standard. Besides, the reserve standard for guaranteed minimum benefit variable annuity has changed from AG43(Actuarial Guideline XLIII) to VM21(Valuation Manual 21) which has been voluntarily adopted by insurance companies since 2020.\nThis research studies the impact on the capital requirement of single-payment guaranteed minimum death and withdrawal benefit variable annuity under the different capital standards. For the reserve, the research finds out VM21 is more conservative than AG43, and thus, insurance companies should prepare more reserves under the new standard. Besides, the VM21 reserve is more sensitive to the market, so the reserve amount is more volatile than the AG43 reserve. For the capital requirement, the capital requirement amount calculated by the stress test under ICS2.0 is more than the amount calculated by the factor-based method under RBC, and because ICS2.0 is more sensitive to the market, the capital requirement can better reflect the implied risk of the insurance product in the bear market. In short, ICS2.0 can better reflect the market condition, VM21 is more conservative than AG43, and thus, insurance companies should be more prudently to estimate reserve amount and capital requirement amount to react to the huge fluctuation of the market and to consider the risk capacity before issuing a guaranteed minimum benefit variable annuity to operate sustainably.