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題名 壽險業資本監理及監管干預之有效性分析
Analysis of Capital Supervision and the Efficiency of Regulatory Intervention in Life Insurance Industry作者 孟欣樺
Meng, Hsin-Hua貢獻者 張士傑
Chang, Shih-Chieh
孟欣樺
Meng, Hsin-Hua關鍵詞 清償能力
資產配置
監理干預
增資
預期效用理論
Solvency
Asset allocation
Regulatory intervention
Capital injection
Expected utility theory日期 2022 上傳時間 1-Jul-2022 16:11:41 (UTC+8) 摘要 我國現行資本監理制度為風險資本額制度(Risk Based Capital, RBC)，為與國際接軌將於 2026 年正式實施保險資本標準(Insurance Capital Standards, ICS)，該制度在風險分類、資產負債評價方式、適格資本認定及風險資本計算均與 RBC 制度有重大差異。本研究整理 RBC 與 ICS 之差異，並分析未來壽險業應如何調整經營策略。研究結果顯示因我國在 ICS 制度下屬於新興市場，國內投資標的風險資本將大幅提升，若主管機關未針對 ICS 進行在地化調整，會引導壽險業投資更多於國外固定收益資產，而因適格資本認定和風險資本計提標準更為嚴格，預期壽險業整體資本適足率將會大幅下降。此外，當壽險公司不符合監理標準時，主管機關會採取監理干預措施，故本文透過監理干預效用模型以現時經濟環境和台灣壽險業資料進行實證分析， 研究不同監理干預措施對壽險公司資產配置和保單持有人效用的影響。實證結果顯示:(1) 同時採行限縮風險性投資和增資兩項監理干預措施對保單持有人的效用最高，而加入國外資產可以增加保單持有人效用。(2) 保單合約期間越長， 保單預定利率越高，保單持有人效用越高，而監理干預標準提升和壽險公司負債佔資產比例越高，會降低保單持有人效用。
In 2026, the Insurance Capital Standard (ICS) is expected to be implemented in Taiwan. Compared to the existing RBC framework, ICS presents four main differences, including risk classifications, assets and liabilities valuation, qualifying capital resources and method for calculating the capital requirement. This paper first analyzes the differences between RBC and ICS framework, and then discusses how life insurers would redesign their business strategies due to the changes in the regulatory regime. This paper concludes that since the capital market in Taiwan had been classified as an emerging market under ICS framework, lacking in local adaptation, the capital standard would give life insurers incentives to allocate more assets in foreign fixed income instruments. Also, as risk charges and qualifying capital resources are calibrated to stricter criteria, a substantial drop in capital adequacy ratio can be expected.Furthermore, to investigate how regulatory intervention affects life insurers and policyholders, this paper proposes an empirical study by using utility model. The results can be summarized in two critical views:(1) Regulatory measure combining investment constraints and capital injection seems more efficient in terms of increasing the benefits of policyholders. Besides, including foreign instruments can increase policyholder’s benefits. (2) Longer term of contract and higher guaranteed interest rate result in higher policyholder’s benefits, while higher regulatory intervention threshold and debt ratio lead to lower policyholder’s benefits.參考文獻 財團法人保險事業發展中心，110年度人身保險業資本適足性報告相關填報表格填報手冊. (2021). 擷取自 財團法人保險事業發展中心: https://www.tii.org.tw/tii/actuarial/actuarial3/checkReport/index.htmlBraun, A., Rymaszewski, P., Schmeiser, H. (2011). A traffic light approach to solvency measurement of Swiss occupational pension funds. The Geneva Papers on Risk and Insurance – Issues and Practice, 36(2), pp. 254–282.Briys, E., De Varenne, F. (1994). Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications. The GENEVA Papers on Risk and Insurance Theory, 19(1), pp. 53-72.Briys, E., De Varenne, F. (1997). On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls. The Journal of Risk and Insurance, 64(4), pp. 673–694.Chang, S.C., Tu, C.Y. (2021). Selecting Optimal Insurance Regulatory Schemes: The Expected Utility Approach, Working Paper.Chang, S.C., Lee, Y.K. (2020). Currency Uncertainty, Interest Guarantee, and Risk-Based Premiums in Life Insurance Guaranty Schemes. Asia-Pacific Journal of Risk and Insurance, 14(2).Chang, S.C., Lee, Y.K., Tu, C.Y., Chung, H.L. (2022). Evaluating the Efficiency of Capital Enhancement and Investment Constraints in Life Insurance Supervision, Working Paper.Chen, A., Hieber, P. (2016). Optimal asset allocation in life insurance: The impact of regulation. ASTIN Bulletin, 46(3), pp. 605-626.Chen, A., Hieber, P., Lämmlein, L. (2020). Regulatory measures of distressed insurance undertaking: A comparative study. Scandinavian Actuarial Journal, 2020(1), pp. 30-43.Chen, A., Suchanecki, M. (2007). Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities. Insurance, Mathematics & Economics, 40(2), pp. 231–255.Consiglio, A., Saunders, D., Zenios, S. A. (2006). Asset and liability management for insurance products with minimum guarantees: The UK case. Journal of Banking and Finance, 30, pp. 645-667.Døskeland, T.M., Nordahl, H.A. (2008). Optimal Pension Insurance Design. Journal of banking & finance 32.3, pp.382–392.Filipović, D., Kremslehner, R., Muermann, A. (2015). Optimal investment and premium policies under risk shifting and solvency regulation. Journal of Risk and Insurance, 82(2), pp. 261–288.Grosen, A., Jørgensen, P.L. (2002). Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework. The Journal of Risk and Insurance, 69(1), pp. 63–91.Hwang, Y.W., Chang, S.C., Wu, Y.C. (2015). Capital forbearance, ex ante life insurance guaranty schemes, and interest rate uncertainty. North American Actuarial Journal, 19(2), pp. 94-115.IAIS. (2019, 11). Level 1 Document for ICS Version 2.0 for the monitoring period.IAIS. (2021, 03). Level 2 Document for ICS Version 2.0 for the monitoring period.IAIS. (2021, 1). Public 2021 ICS Data Collection Technical Specifications.Jørgensen, P. L. (2007). Traffic light options. Journal of Banking and Finance, pp. 3698-3719.Jeanblanc, M., Yor, M., Chesney, M. (2009). Mathematical methods for financial markets by Monique Jeanblanc, Marc Yor, Marc Chesney. Springer, London.Jensen, B. A., Sørensen, C. (2001). Paying for minimum interest rate guarantees: Who should compensate who? European Financial Management, 7, pp. 183-211.MacMinn, R.D., Witt, R. C. (1987). A Financial Theory of the Insurance Firm Under Uncertainty and Regulatory Constraints. General Risk and Insurance Review, 12(1), pp. 3-20. 描述 碩士
國立政治大學
風險管理與保險學系
109358013資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109358013 資料類型 thesis dc.contributor.advisor 張士傑 zh_TW dc.contributor.advisor Chang, Shih-Chieh en_US dc.contributor.author (Authors) 孟欣樺 zh_TW dc.contributor.author (Authors) Meng, Hsin-Hua en_US dc.creator (作者) 孟欣樺 zh_TW dc.creator (作者) Meng, Hsin-Hua en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Jul-2022 16:11:41 (UTC+8) - dc.date.available 1-Jul-2022 16:11:41 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2022 16:11:41 (UTC+8) - dc.identifier (Other Identifiers) G0109358013 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/140609 - 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) 109358013 zh_TW dc.description.abstract (摘要) 我國現行資本監理制度為風險資本額制度(Risk Based Capital, RBC)，為與國際接軌將於 2026 年正式實施保險資本標準(Insurance Capital Standards, ICS)，該制度在風險分類、資產負債評價方式、適格資本認定及風險資本計算均與 RBC 制度有重大差異。本研究整理 RBC 與 ICS 之差異，並分析未來壽險業應如何調整經營策略。研究結果顯示因我國在 ICS 制度下屬於新興市場，國內投資標的風險資本將大幅提升，若主管機關未針對 ICS 進行在地化調整，會引導壽險業投資更多於國外固定收益資產，而因適格資本認定和風險資本計提標準更為嚴格，預期壽險業整體資本適足率將會大幅下降。此外，當壽險公司不符合監理標準時，主管機關會採取監理干預措施，故本文透過監理干預效用模型以現時經濟環境和台灣壽險業資料進行實證分析， 研究不同監理干預措施對壽險公司資產配置和保單持有人效用的影響。實證結果顯示:(1) 同時採行限縮風險性投資和增資兩項監理干預措施對保單持有人的效用最高，而加入國外資產可以增加保單持有人效用。(2) 保單合約期間越長， 保單預定利率越高，保單持有人效用越高，而監理干預標準提升和壽險公司負債佔資產比例越高，會降低保單持有人效用。 zh_TW dc.description.abstract (摘要) In 2026, the Insurance Capital Standard (ICS) is expected to be implemented in Taiwan. Compared to the existing RBC framework, ICS presents four main differences, including risk classifications, assets and liabilities valuation, qualifying capital resources and method for calculating the capital requirement. This paper first analyzes the differences between RBC and ICS framework, and then discusses how life insurers would redesign their business strategies due to the changes in the regulatory regime. This paper concludes that since the capital market in Taiwan had been classified as an emerging market under ICS framework, lacking in local adaptation, the capital standard would give life insurers incentives to allocate more assets in foreign fixed income instruments. Also, as risk charges and qualifying capital resources are calibrated to stricter criteria, a substantial drop in capital adequacy ratio can be expected.Furthermore, to investigate how regulatory intervention affects life insurers and policyholders, this paper proposes an empirical study by using utility model. The results can be summarized in two critical views:(1) Regulatory measure combining investment constraints and capital injection seems more efficient in terms of increasing the benefits of policyholders. Besides, including foreign instruments can increase policyholder’s benefits. (2) Longer term of contract and higher guaranteed interest rate result in higher policyholder’s benefits, while higher regulatory intervention threshold and debt ratio lead to lower policyholder’s benefits. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機 1第二節 文獻回顧 6第二章 壽險業清償能力監理制度 8第一節 RBC與ICS之差異分析 9第二節 實施ICS對壽險公司之影響 35第三章 模型架構 38第一節 壽險公司資產負債結構 38第二節 監理干預之效用 41第四章 數值分析 50第一節 實證結果 52第二節 敏感度分析 55第五章 結論與建議 57參考文獻 59 zh_TW dc.format.extent 5528677 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109358013 en_US dc.subject (關鍵詞) 清償能力 zh_TW dc.subject (關鍵詞) 資產配置 zh_TW dc.subject (關鍵詞) 監理干預 zh_TW dc.subject (關鍵詞) 增資 zh_TW dc.subject (關鍵詞) 預期效用理論 zh_TW dc.subject (關鍵詞) Solvency en_US dc.subject (關鍵詞) Asset allocation en_US dc.subject (關鍵詞) Regulatory intervention en_US dc.subject (關鍵詞) Capital injection en_US dc.subject (關鍵詞) Expected utility theory en_US dc.title (題名) 壽險業資本監理及監管干預之有效性分析 zh_TW dc.title (題名) Analysis of Capital Supervision and the Efficiency of Regulatory Intervention in Life Insurance Industry en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 財團法人保險事業發展中心，110年度人身保險業資本適足性報告相關填報表格填報手冊. (2021). 擷取自 財團法人保險事業發展中心: https://www.tii.org.tw/tii/actuarial/actuarial3/checkReport/index.htmlBraun, A., Rymaszewski, P., Schmeiser, H. (2011). A traffic light approach to solvency measurement of Swiss occupational pension funds. The Geneva Papers on Risk and Insurance – Issues and Practice, 36(2), pp. 254–282.Briys, E., De Varenne, F. (1994). Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications. The GENEVA Papers on Risk and Insurance Theory, 19(1), pp. 53-72.Briys, E., De Varenne, F. (1997). On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls. The Journal of Risk and Insurance, 64(4), pp. 673–694.Chang, S.C., Tu, C.Y. (2021). Selecting Optimal Insurance Regulatory Schemes: The Expected Utility Approach, Working Paper.Chang, S.C., Lee, Y.K. (2020). Currency Uncertainty, Interest Guarantee, and Risk-Based Premiums in Life Insurance Guaranty Schemes. Asia-Pacific Journal of Risk and Insurance, 14(2).Chang, S.C., Lee, Y.K., Tu, C.Y., Chung, H.L. (2022). Evaluating the Efficiency of Capital Enhancement and Investment Constraints in Life Insurance Supervision, Working Paper.Chen, A., Hieber, P. (2016). Optimal asset allocation in life insurance: The impact of regulation. ASTIN Bulletin, 46(3), pp. 605-626.Chen, A., Hieber, P., Lämmlein, L. (2020). Regulatory measures of distressed insurance undertaking: A comparative study. Scandinavian Actuarial Journal, 2020(1), pp. 30-43.Chen, A., Suchanecki, M. (2007). Default Risk, Bankruptcy Procedures and the Market Value of Life Insurance Liabilities. Insurance, Mathematics & Economics, 40(2), pp. 231–255.Consiglio, A., Saunders, D., Zenios, S. A. (2006). Asset and liability management for insurance products with minimum guarantees: The UK case. Journal of Banking and Finance, 30, pp. 645-667.Døskeland, T.M., Nordahl, H.A. (2008). Optimal Pension Insurance Design. Journal of banking & finance 32.3, pp.382–392.Filipović, D., Kremslehner, R., Muermann, A. (2015). Optimal investment and premium policies under risk shifting and solvency regulation. Journal of Risk and Insurance, 82(2), pp. 261–288.Grosen, A., Jørgensen, P.L. (2002). Life Insurance Liabilities at Market Value: An Analysis of Insolvency Risk, Bonus Policy, and Regulatory Intervention Rules in a Barrier Option Framework. The Journal of Risk and Insurance, 69(1), pp. 63–91.Hwang, Y.W., Chang, S.C., Wu, Y.C. (2015). Capital forbearance, ex ante life insurance guaranty schemes, and interest rate uncertainty. North American Actuarial Journal, 19(2), pp. 94-115.IAIS. (2019, 11). Level 1 Document for ICS Version 2.0 for the monitoring period.IAIS. (2021, 03). Level 2 Document for ICS Version 2.0 for the monitoring period.IAIS. (2021, 1). Public 2021 ICS Data Collection Technical Specifications.Jørgensen, P. L. (2007). Traffic light options. Journal of Banking and Finance, pp. 3698-3719.Jeanblanc, M., Yor, M., Chesney, M. (2009). Mathematical methods for financial markets by Monique Jeanblanc, Marc Yor, Marc Chesney. Springer, London.Jensen, B. A., Sørensen, C. (2001). Paying for minimum interest rate guarantees: Who should compensate who? European Financial Management, 7, pp. 183-211.MacMinn, R.D., Witt, R. C. (1987). A Financial Theory of the Insurance Firm Under Uncertainty and Regulatory Constraints. General Risk and Insurance Review, 12(1), pp. 3-20. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200678 en_US
