| dc.contributor.advisor | 黃泓智<br>楊曉文 | zh_TW |
| dc.contributor.advisor | Huang, Hong-Chih<br>Yang, Sharon S. | en_US |
| dc.contributor.author (Authors) | 戴偉軒 | zh_TW |
| dc.contributor.author (Authors) | Tai, Wei-Hsuan | en_US |
| dc.creator (作者) | 戴偉軒 | zh_TW |
| dc.creator (作者) | Tai, Wei-Hsuan | en_US |
| dc.date (日期) | 2021 | en_US |
| dc.date.accessioned | 10-Feb-2022 12:56:12 (UTC+8) | - |
| dc.date.available | 10-Feb-2022 12:56:12 (UTC+8) | - |
| dc.date.issued (上傳時間) | 10-Feb-2022 12:56:12 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0108358020 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/138894 | - |
| 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) | 108358020 | zh_TW |
| dc.description.abstract (摘要) | 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。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。 | zh_TW |
| dc.description.abstract (摘要) | 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.This 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. | en_US |
| dc.description.tableofcontents | 中文摘要 IABSTRACT II目錄 III表目次 V圖目次 VII第壹章 緒論 1第一節 研究動機 1第二節 研究目的 2第三節 研究架構 3第貳章 文獻回顧 5第一節 RBC風險資本額制度 5第二節 清償能力SOLVENCY與保險資本標準ICS2.0制度 6第三節 變額年金之風險衡量 7第參章 附保證商品準備金提存及監理規範 8第一節 附保證商品介紹 8第二節 附保證商品準備金監理要求規定 9一、舊制-第 43 號精算作業準則(AG43) 9二、新制-第21號準備金提存規範(VM 21) 12第三節 資本要求監理制度 17一、現行RBC制度 17二、未來研擬採納之保險資本標準(ICS) 19第肆章 研究方法選用模型介紹 23第一節 選用模型介紹 23第二節 現金流量模型 26第三節 資本要求計算 30第伍章 模型參數估計與參數設定 32第一節 一般帳戶模型參數估計與設定 32第二節 分離帳戶模型參數估計與設定 34第陸章 精算假設與結果分析 36第一節 精算假設 36第二節 報酬率結果 38第三節 準備金與資本結果分析 42第四節 敏感度分析 48第柒章 結論與建議 53第一節 結論與建議 53第二節 未來研究方向 54參考文獻 55中文文獻 55英文文獻 56附錄一、校正表 58附錄二、基礎情境之數值結果 60 | zh_TW |
| dc.format.extent | 2207279 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0108358020 | en_US |
| dc.subject (關鍵詞) | 附保證型變額年金 | zh_TW |
| dc.subject (關鍵詞) | 新一代清償能力制度 | zh_TW |
| dc.subject (關鍵詞) | ICS 2.0 | zh_TW |
| dc.subject (關鍵詞) | AG 43 | zh_TW |
| dc.subject (關鍵詞) | VM-21 | zh_TW |
| dc.subject (關鍵詞) | Guaranteed minimum benefit variable annuity | en_US |
| dc.subject (關鍵詞) | ICS 2.0 | en_US |
| dc.subject (關鍵詞) | AG 43 | en_US |
| dc.subject (關鍵詞) | VM-21 | en_US |
| dc.title (題名) | 不同制度下附保證型變額年金之資本要求研究 | zh_TW |
| dc.title (題名) | Study of Capital Requirement of Guaranteed Minimum Benefit Variable Annuity under Implementation of Different Capital Standard | en_US |
| dc.type (資料類型) | thesis | en_US |
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| dc.identifier.doi (DOI) | 10.6814/NCCU202200035 | en_US |
