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題名 不同監理規範下附保證給付變額年金負債衡量要求對保險公司財報之影響：AG 43、VM-21與IFRS 17之探討
The Impact of the Regulation Requirement of Valuing Variable Annuity Guaranteed Benefits on the Insurer’s Financial Report under AG 43, VM-21 and IFRS 17
作者 李友瑄
Lee, Yu-Hsuan
貢獻者 楊曉文<br>黃泓智
Yang, Sharon S.<br>Huang, Hong-Chih
李友瑄
Lee, Yu-Hsuan
關鍵詞 AG 43
VM-21
IFRS 17
GMxB
負債評價
財務影響
AG 43
VM-21
IFRS 17
GMxB
Valuation of Liabilities
Financial Impact
日期 2021
上傳時間 4-Aug-2021 14:55:02 (UTC+8)
摘要 本研究探討AG 43、VM-21與IFRS 17三種不同負債提存制度對保險公司財務報表及損益之影響。透過建立6年期具GMDB與GMMB之變額年金商品的現金流量模型來進行負債評價與模擬損益結果。資產假設中分離帳戶連結標的是以美元計價的平衡型基金，透過對數常態模型模擬投資報酬率情境，並考慮基金間的相關性，同時於負債假設中納入死亡率與脫退率因子，以此模型結果來分析並比較不同負債提存制度之差異及對公司損益之影響。模擬結果顯示不同制度不會改變商品之獲利性，但IFRS 17之損益型態於三個制度中對保險公司有最大的獲利貢獻。而VM-21相較於AG 43有更嚴格的準備金提存規範，遇到市場狀況不佳時，需要提存更高的保證給付責任準備金。
同時本研究透過對連結標的資產類型、保證費用率與投資報酬率情境進行敏感度分析，探討不同個別因子會如何影響保險公司的財務穩定與商品經營方向。結果顯示如下：
1.連結股票型基金會造成損益波動度較大，但連結債券型商品因投資績效較差，容易產生保證成本。
2.調整保證費用率會影響IFRS 17的CSM與淨利。
3.當發生大量滿期保證時，仍是IFRS 17擁有最大的NBV margin。
This article discusses the impact of insurer’s liabilities on the financial reports and profit and loss under AG 43, VM-21 and IFRS 17. In order to quantify insurer’s liability and P&L results, we build a cash flow model for the 6-year variable annuity with guaranteed minimum death benefit (GMDB) and guaranteed minimum maturity benefit (GMMB). For assets, the underlying item of separate account is mapped to the balanced fund denominated in US dollars. Then we adopt the lognormal model to generate investment return scenarios and consider correlation matrix between funds as well. Moreover, we take mortality rate and lapse rate into consideration in the liability assumptions. The simulations are used to analyze the differences between AG 43, VM-21 and IFRS 17 as well as the impact on the insurer’s P&L. The results demonstrate that different valuation regulation has no impact on the profitability of the variable annuity with guarantee. However, the profit profile of IFRS 17 has the greatest contribution to the profitability of the insurance company among the three valuation regulations. Compared to AG 43, VM-21 has more rigorous regulations for calculating statutory reserve. In adverse economic scenarios, the insurer should hold more reserves to cover severe losses.
Furthermore, to further understand how each factor affect the financial stability of the insurance company and the strategy of the variable annuity product, we perform
the sensitivity test around the factors such as the asset class of the underlying item, cost of guaranteed benefits and investment return scenario. The numerical results are showed as follows.

1. When separate account assets are invested in equity funds, it causes greater volatility in profit and loss. While separate account assets are invested in bond funds, it may cause higher guarantee costs due to poor investment performance.
2. Adjusting expense ratio of guaranteed benefits has an effect on the CSM and net profit of IFRS 17.
3. When the contracts mature, a large number of maturity guarantees are triggered; IFRS 17 still has the greatest NBV margin.
參考文獻 中文文獻
1. Deloitte (2018)。保險面面觀—IFRS 17及保險精算實務解析。檢自：
https://www2.deloitte.com/content/dam/Deloitte/tw/Documents/financial-services/tw-fsi-%E4%BF%9D%E9%9A%AA%E9%9D%A2%E9%9D%A2%E8%A7%80_IFRS%2017%E5%8F%8A%E4%BF%9D%E7%B2%BE%E7%AE%97%E5%AF%A6%E5%8B%99%E8%A7%A3%E6%9E%90_Final.pdf

英文文獻
1. Bélanger, A. C., Forsyth, P. A., & Labahn, G. (2009). Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals. Applied Mathematical Finance, 16(6), 451-496.
2. Bacinello, A. R., Millossovich, P., Olivieri, A., & Pitacco, E. (2011). Variable annuities: A unifying valuation approach. Insurance: Mathematics and Economics, 49(3), 285-297.
3. Bauer, D., Kling, A., & Russ, J. (2008). A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities. ASTIN Bulletin, 38(2), 621-651.
4. Black, F., & Scholes, M. (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81(3), 637-654.
5. Boyle, P. P., & Schwartz, E. S. (1977). Equilibrium Prices of Guarantees Under Equity-Linked Contracts. Journal of Risk and Insurance, 44(4), 639-660.
6. Brennan, M., & Schwartz, E. S. (1976). The pricing of equity-linked life insurance policies with an asset value guarantee. Journal of Financial Economics, 3(3), 195-213.
7. EIOPA. (2020). Technical documentation of the methodology to derive EIOPA’s risk-free interest rate term structures. Retrieved from https://www.eiopa.europa.eu/tools-and-data/risk-free-interest-rate-term-structures_en
8. Feng, R. (2018). An introduction to computational risk management of equity-linked insurance (1st ed.). Boca Raton, Florida: CRC Press.
9. Feng, R., & Huang, H. (2016). Statutory financial reporting for variable annuity guaranteed death benefits: Market practice, mathematical modeling and computation. Insurance Mathematics and Economics, 67, 54-64.
10. Feng, R., & Volkmer, H. W. (2012). Analytical calculation of risk measures for variable annuity guaranteed benefits. Insurance: Mathematics and Economics, 51(3), 636-648.
11. Gan, G., & Valdez, E. A. (2017). Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets. Dependence Modeling, 5(1), 354-374.
12. Hannibal, C. (2018). Calculating the IFRS 17 Risk Adjustment. Retrieved from https://www.moodysanalytics.com/articles/2018/calculating-the-IFRS 17-risk-adjustment
13. Hardy, M. R. (2003). Investment Guarantees：Modeling and Risk Management for Equity-Linked Life Insurance. Hoboken, New Jersey: Wiley.
14. Knoller, C., Kraut, G., & Schoenmaekers, P. (2016). On the Propensity to Surrender a Variable Annuity Contract: An Empirical Analysis of Dynamic Policyholder Behavior. Journal of Risk and Insurance, 83(4), 979-1006.
15. Milevsky, M. A., & Posner, S. E. (2001). The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds. The Journal of Risk and Insurance, 68(1), 93-128.
16. Milevsky, M. A., & Salisbury, T. S. (2006). Financial valuation of guaranteed minimum withdrawal benefits. Insurance: Mathematics and Economics, 38(1), 21-38.
17. Milliman. (2012). Report on Pricing Using Market Consistent Embedded Value(MCEV). Retrieved from https://www.soa.org/globalassets/assets/Files/Research/Projects/research-report-pricing-report.pdf
18. Ng, A. C.-Y., & Li, J. S.-H. (2011). Valuing variable annuity guarantees with the multivariate Esscher transform. Insurance: Mathematics and Economics, 49(3), 393-400.
19. Ng, A. C.-Y., & Li, J. S.-H. (2013). Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models. North American Actuarial Journal, 17(1), 41-62.
20. Nystrup, P., Hansen, B. W., Larsen, H. O., Madsen, H., & Lindström, E. (2018). Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets. The Journal of Portfolio Management, 44(2), 62-73.
21. Persson, S.-A., & Aase, K. K. (1997). Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products. The Journal of Risk and Insurance, 64(4), 599-617.
22. Vellekoop, M. H., Vd Kamp, A. A., & Post, B. A. (2006). Pricing and hedging guaranteed returns on mix funds. Insurance: Mathematics and Economics, 38(3), 585-598.
描述 碩士
國立政治大學
風險管理與保險學系
108358007
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108358007
資料類型 thesis
dc.contributor.advisor 楊曉文<br>黃泓智zh_TW
dc.contributor.advisor Yang, Sharon S.<br>Huang, Hong-Chihen_US
dc.contributor.author (Authors) 李友瑄zh_TW
dc.contributor.author (Authors) Lee, Yu-Hsuanen_US
dc.creator (作者) 李友瑄zh_TW
dc.creator (作者) Lee, Yu-Hsuanen_US
dc.date (日期) 2021en_US
dc.date.accessioned 4-Aug-2021 14:55:02 (UTC+8)-
dc.date.available 4-Aug-2021 14:55:02 (UTC+8)-
dc.date.issued (上傳時間) 4-Aug-2021 14:55:02 (UTC+8)-
dc.identifier (Other Identifiers) G0108358007en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136377-
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) 108358007zh_TW
dc.description.abstract (摘要) 本研究探討AG 43、VM-21與IFRS 17三種不同負債提存制度對保險公司財務報表及損益之影響。透過建立6年期具GMDB與GMMB之變額年金商品的現金流量模型來進行負債評價與模擬損益結果。資產假設中分離帳戶連結標的是以美元計價的平衡型基金，透過對數常態模型模擬投資報酬率情境，並考慮基金間的相關性，同時於負債假設中納入死亡率與脫退率因子，以此模型結果來分析並比較不同負債提存制度之差異及對公司損益之影響。模擬結果顯示不同制度不會改變商品之獲利性，但IFRS 17之損益型態於三個制度中對保險公司有最大的獲利貢獻。而VM-21相較於AG 43有更嚴格的準備金提存規範，遇到市場狀況不佳時，需要提存更高的保證給付責任準備金。
同時本研究透過對連結標的資產類型、保證費用率與投資報酬率情境進行敏感度分析，探討不同個別因子會如何影響保險公司的財務穩定與商品經營方向。結果顯示如下：
1.連結股票型基金會造成損益波動度較大，但連結債券型商品因投資績效較差，容易產生保證成本。
2.調整保證費用率會影響IFRS 17的CSM與淨利。
3.當發生大量滿期保證時，仍是IFRS 17擁有最大的NBV margin。		zh_TW
dc.description.abstract (摘要) This article discusses the impact of insurer’s liabilities on the financial reports and profit and loss under AG 43, VM-21 and IFRS 17. In order to quantify insurer’s liability and P&L results, we build a cash flow model for the 6-year variable annuity with guaranteed minimum death benefit (GMDB) and guaranteed minimum maturity benefit (GMMB). For assets, the underlying item of separate account is mapped to the balanced fund denominated in US dollars. Then we adopt the lognormal model to generate investment return scenarios and consider correlation matrix between funds as well. Moreover, we take mortality rate and lapse rate into consideration in the liability assumptions. The simulations are used to analyze the differences between AG 43, VM-21 and IFRS 17 as well as the impact on the insurer’s P&L. The results demonstrate that different valuation regulation has no impact on the profitability of the variable annuity with guarantee. However, the profit profile of IFRS 17 has the greatest contribution to the profitability of the insurance company among the three valuation regulations. Compared to AG 43, VM-21 has more rigorous regulations for calculating statutory reserve. In adverse economic scenarios, the insurer should hold more reserves to cover severe losses.
Furthermore, to further understand how each factor affect the financial stability of the insurance company and the strategy of the variable annuity product, we perform
the sensitivity test around the factors such as the asset class of the underlying item, cost of guaranteed benefits and investment return scenario. The numerical results are showed as follows.

1. When separate account assets are invested in equity funds, it causes greater volatility in profit and loss. While separate account assets are invested in bond funds, it may cause higher guarantee costs due to poor investment performance.
2. Adjusting expense ratio of guaranteed benefits has an effect on the CSM and net profit of IFRS 17.
3. When the contracts mature, a large number of maturity guarantees are triggered; IFRS 17 still has the greatest NBV margin.		en_US
dc.description.tableofcontents 第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第二章 文獻探討 4
第三章 模型介紹 6
第一節 權益資產模型 6
第二節 利率模型 7
第三節 負債衡量模型 8
第四章 模型參數估計結果 11
第一節 權益資產模型 11
第二節 利率模型 12
第五章 研究方法與結果 15
第一節 附保證給付變額年金負債評價假設與實際經驗假設 15
第二節 現金流量模型 24
第三節 結果分析 38
第四節 敏感度分析 52
第六章 結論與建議 75
第一節 結論 75
第二節 建議 76
第三節 未來研究方向 78
參考文獻 79
附錄A 無風險利率曲線 81
附錄B AG 43、VM-21與IFRS17評價情境分布 82		zh_TW
dc.format.extent 4052972 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108358007en_US
dc.subject (關鍵詞) AG 43zh_TW
dc.subject (關鍵詞) VM-21zh_TW
dc.subject (關鍵詞) IFRS 17zh_TW
dc.subject (關鍵詞) GMxBzh_TW
dc.subject (關鍵詞) 負債評價zh_TW
dc.subject (關鍵詞) 財務影響zh_TW
dc.subject (關鍵詞) AG 43en_US
dc.subject (關鍵詞) VM-21en_US
dc.subject (關鍵詞) IFRS 17en_US
dc.subject (關鍵詞) GMxBen_US
dc.subject (關鍵詞) Valuation of Liabilitiesen_US
dc.subject (關鍵詞) Financial Impacten_US
dc.title (題名) 不同監理規範下附保證給付變額年金負債衡量要求對保險公司財報之影響：AG 43、VM-21與IFRS 17之探討zh_TW
dc.title (題名) The Impact of the Regulation Requirement of Valuing Variable Annuity Guaranteed Benefits on the Insurer’s Financial Report under AG 43, VM-21 and IFRS 17en_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文文獻
1. Deloitte (2018)。保險面面觀—IFRS 17及保險精算實務解析。檢自：
https://www2.deloitte.com/content/dam/Deloitte/tw/Documents/financial-services/tw-fsi-%E4%BF%9D%E9%9A%AA%E9%9D%A2%E9%9D%A2%E8%A7%80_IFRS%2017%E5%8F%8A%E4%BF%9D%E7%B2%BE%E7%AE%97%E5%AF%A6%E5%8B%99%E8%A7%A3%E6%9E%90_Final.pdf

英文文獻
1. Bélanger, A. C., Forsyth, P. A., & Labahn, G. (2009). Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals. Applied Mathematical Finance, 16(6), 451-496.
2. Bacinello, A. R., Millossovich, P., Olivieri, A., & Pitacco, E. (2011). Variable annuities: A unifying valuation approach. Insurance: Mathematics and Economics, 49(3), 285-297.
3. Bauer, D., Kling, A., & Russ, J. (2008). A Universal Pricing Framework for Guaranteed Minimum Benefits in Variable Annuities. ASTIN Bulletin, 38(2), 621-651.
4. Black, F., & Scholes, M. (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 81(3), 637-654.
5. Boyle, P. P., & Schwartz, E. S. (1977). Equilibrium Prices of Guarantees Under Equity-Linked Contracts. Journal of Risk and Insurance, 44(4), 639-660.
6. Brennan, M., & Schwartz, E. S. (1976). The pricing of equity-linked life insurance policies with an asset value guarantee. Journal of Financial Economics, 3(3), 195-213.
7. EIOPA. (2020). Technical documentation of the methodology to derive EIOPA’s risk-free interest rate term structures. Retrieved from https://www.eiopa.europa.eu/tools-and-data/risk-free-interest-rate-term-structures_en
8. Feng, R. (2018). An introduction to computational risk management of equity-linked insurance (1st ed.). Boca Raton, Florida: CRC Press.
9. Feng, R., & Huang, H. (2016). Statutory financial reporting for variable annuity guaranteed death benefits: Market practice, mathematical modeling and computation. Insurance Mathematics and Economics, 67, 54-64.
10. Feng, R., & Volkmer, H. W. (2012). Analytical calculation of risk measures for variable annuity guaranteed benefits. Insurance: Mathematics and Economics, 51(3), 636-648.
11. Gan, G., & Valdez, E. A. (2017). Valuation of large variable annuity portfolios: Monte Carlo simulation and synthetic datasets. Dependence Modeling, 5(1), 354-374.
12. Hannibal, C. (2018). Calculating the IFRS 17 Risk Adjustment. Retrieved from https://www.moodysanalytics.com/articles/2018/calculating-the-IFRS 17-risk-adjustment
13. Hardy, M. R. (2003). Investment Guarantees：Modeling and Risk Management for Equity-Linked Life Insurance. Hoboken, New Jersey: Wiley.
14. Knoller, C., Kraut, G., & Schoenmaekers, P. (2016). On the Propensity to Surrender a Variable Annuity Contract: An Empirical Analysis of Dynamic Policyholder Behavior. Journal of Risk and Insurance, 83(4), 979-1006.
15. Milevsky, M. A., & Posner, S. E. (2001). The Titanic Option: Valuation of the Guaranteed Minimum Death Benefit in Variable Annuities and Mutual Funds. The Journal of Risk and Insurance, 68(1), 93-128.
16. Milevsky, M. A., & Salisbury, T. S. (2006). Financial valuation of guaranteed minimum withdrawal benefits. Insurance: Mathematics and Economics, 38(1), 21-38.
17. Milliman. (2012). Report on Pricing Using Market Consistent Embedded Value(MCEV). Retrieved from https://www.soa.org/globalassets/assets/Files/Research/Projects/research-report-pricing-report.pdf
18. Ng, A. C.-Y., & Li, J. S.-H. (2011). Valuing variable annuity guarantees with the multivariate Esscher transform. Insurance: Mathematics and Economics, 49(3), 393-400.
19. Ng, A. C.-Y., & Li, J. S.-H. (2013). Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models. North American Actuarial Journal, 17(1), 41-62.
20. Nystrup, P., Hansen, B. W., Larsen, H. O., Madsen, H., & Lindström, E. (2018). Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets. The Journal of Portfolio Management, 44(2), 62-73.
21. Persson, S.-A., & Aase, K. K. (1997). Valuation of the Minimum Guaranteed Return Embedded in Life Insurance Products. The Journal of Risk and Insurance, 64(4), 599-617.
22. Vellekoop, M. H., Vd Kamp, A. A., & Post, B. A. (2006). Pricing and hedging guaranteed returns on mix funds. Insurance: Mathematics and Economics, 38(3), 585-598.		zh_TW
dc.identifier.doi (DOI) 10.6814/NCCU202100733en_US