| dc.contributor.advisor | 楊曉文<br>黃泓智 | zh_TW |
| dc.contributor.advisor | Yang, Sheau-Wen<br>Huang, Hong-Chih | en_US |
| dc.contributor.author (Authors) | 吳佩軒 | zh_TW |
| dc.contributor.author (Authors) | Wu, Pei-Syaun | en_US |
| dc.creator (作者) | 吳佩軒 | zh_TW |
| dc.creator (作者) | Wu, Pei-Syaun | en_US |
| dc.date (日期) | 2019 | en_US |
| dc.date.accessioned | 7-Aug-2019 16:16:03 (UTC+8) | - |
| dc.date.available | 7-Aug-2019 16:16:03 (UTC+8) | - |
| dc.date.issued (上傳時間) | 7-Aug-2019 16:16:03 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0106358020 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/124757 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 風險管理與保險學系 | zh_TW |
| dc.description (描述) | 106358020 | zh_TW |
| dc.description.abstract (摘要) | 現行會計實務作法由於不同國家或險種差異，導致投資人與分析師難以理解並比較各個保險人之財務狀況、績效表現及暴險狀態。國際會計準則理事會 (International Accounting Standard Board， 以下簡稱「IASB」)於 2017 年 5 月 18 日發布 IFRS 17「保險合約」（以下簡稱 IFRS 17），並訂於 2022 年1月1日為生效日，台灣保險業將於2025年實施IFRS 17。引進新準則的目的，包括：達成保險合約會計準則一致性原則、使綜合損益表的損益來源更透明化，以及採用與保險負債相關的現時市場資訊。新準則將會為保險業的財務報告帶來巨大變化，整體保險業現行實務將全面性變革。本研究將考量資產面之投資標特性及負債面之商品特性，資產面的投資組合考量多個風險屬性，如:台幣長年期債券、台幣短年期債券、美元長年期債券、美元短年期債券、台灣加權股價指數及S&P500等六種資產進行最適資產配置，而負債面以十年期的生死合險、十年期定期壽險及終身年金險進行試算，模擬新制度下的資產及負債的現金流，探討其可能之影響及最適的資產配置，進而落實IFRS 17下之資產與負債管理。依照本研究之模擬結果，可得出以下結論：I.欲達到權益報酬的波動度最小，則應提高投資於債券部位的比重。II.當評價死亡率變動時，十年期定期壽險相較十年期生死合險對於原始認列的合約服務邊際與損益更為敏感。III.不論是十年期生死合險、十年期定期壽險抑或是終身年金險的費用率愈高，IFRS 17下的最佳估計負債(BEL)上升，但資產負債表的負債皆愈低。 | zh_TW |
| dc.description.abstract (摘要) | The International Accounting Standard Board (IASB) issued the IFRS 17 “Insurance Contract” on May 18, 2017, and is scheduled to be effective on January 1, 2022. The Taiwan insurance industry will implement IFRS 17 in 2025. The purpose of introducing the new standard includes: achieving the principle of consistency in the accounting standards for insurance contracts, making the sources of profit and loss of the statement of comprehensive income more transparent, and adopting current market information related to insurance liability. The new standards will bring about tremendous changes in the financial reporting of the insurance industry, and the current practice of the overall insurance industry will undergo a comprehensive change.This study will consider the investment characteristics of the asset and the liability. The portfolio of the asset side considers six multiple risk. Liability is tested on the 10-year endowment insurance, 10-year term life insurance and life annuity insurance to simulate the asset and liability under the new standard.According to the simulation results of this study, the following conclusions can be drawn:I. To achieve the least volatility of equity returns, we should increase the proportion of investment in bond positions.II. When assessing changes in mortality, term life insurance is more sensitive to initial contractual service margins and profit and loss than endowment insurance.III. The higher expense of 10-year endowment insurance, 10-year term life insurance or life annuity insurance, the higher best estimated liabilities(BEL), but the lower liability under the balance sheet. | en_US |
| dc.description.tableofcontents | 目錄第一章 緒論 1第一節 研究動機 1第二節 研究目的 1第三節 研究架構 2第二章 文獻探討 4第一節 IFRS 17重要規範 4第二節 股票模型 7第三節 利率模型 7第四節 匯率模型 8第三章 資產配置模型介紹 9第一節 股票模型 9第二節 利率模型 9第三節 匯率模型 11第四節 最適資產配置目標函數 11第四章 模型參數估計 12第一節 股票模型 12第二節 利率模型 12第三節 匯率模型 13第四節 最適資產配置結果 14第五章 研究方法與結果 15第一節 模型建構與資料假設 15第二節 現金流量測試模型 15第三節 結果分析 23第四節 敏感度分析 29第六章 結論與建議 43第一節 結論與建議 43第二節 未來研究方向 44參考文獻 46中文文獻 46英文文獻 46 | zh_TW |
| dc.format.extent | 1557221 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0106358020 | en_US |
| dc.subject (關鍵詞) | IFRS 17 | zh_TW |
| dc.subject (關鍵詞) | 資產負債管理 | zh_TW |
| dc.subject (關鍵詞) | 不分紅傳統型保險商品 | zh_TW |
| dc.subject (關鍵詞) | 合約服務邊際 | zh_TW |
| dc.subject (關鍵詞) | IFRS 17 | en_US |
| dc.subject (關鍵詞) | ALM | en_US |
| dc.subject (關鍵詞) | Non-participating insurance | en_US |
| dc.subject (關鍵詞) | CSM | en_US |
| dc.title (題名) | 台灣實施IFRS 17之資產負債管理研究― 以傳統型保險商品為例 | zh_TW |
| dc.title (題名) | Study of Asset and Liability Management under Implementation of IFRS 17 in Taiwan―A Case of Traditional Insurance Policies | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 中文文獻1. 胡明憶（2016）。保險業外匯價格變動準備金之研究（碩士論文）。國立中央大學財務金融學系碩士論文。2. 陳賢儀（2018）。IFRS 17對保險公司之影響分析（碩士論文）。國立臺灣台灣大學管理學院碩士在職專班財務金融組碩士論文。3. 曾雅微（2018）。Smith-Wilson模型利率曲線建構方式探討（碩士論文）。國立政治大學風險管理與保險研究所碩士論文。英文文獻1. Black, F., and Scholes, M. (1973). The pricing of options and corporate liabilities, Journal of political economy, 81(4), 637-659.2. Cox, John C., J. E. Ingersoll Jr, and S. A. Ross.(1985). A Theory of the Term Structure of Interest Rates, Econometrica, 53, 2, 385-407.3. European Insurance and Occupational Pensions Authority. Risk-free interest rate term structures Calculation of the UFR for 2018. (2017). EIOPA.4. European Insurance and Occupational Pensions Authority. Technical documentation of the methodology to derive EIOPA`s risk-free interest rate term structures. (2017). EIOPA.5. Heath, D., R. Jarrow, and A. Morton. (1992). Bond Pricing and the Term Structure of the Interest Rates: A New Methodology, Econometrica, 60, 1, 77-105.6. Ho, Tomas S. Y., and S. B. LEE.(1986). Term Structure Movements and Pricing Interest Rate Contingent Claims, the Journal of Finance, 41, 5, 1011-1029.7. Hull, John, and A. White. (1990). Pricing Interest Rate Derivative Securities, Review of Financial Studies, 3, 4, 573-592.8. International Accounting Standard Board [IASB] (2017) IFRS17 Insurance Contracts9. Vasicek, O.(1977). An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, 5, 2, 177-188.10. Widing, B. and Jansson, J. (2018). Valuation Practices of IFRS 17, Master’s thesis, KTH Royal Institute of Technology | zh_TW |
| dc.identifier.doi (DOI) | 10.6814/NCCU201900424 | en_US |
