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題名 台灣壽險業發行次順位債之風險與效益
Risk and Effectiveness of Subordinated Debt Issuance for Taiwan Life Insurance Industry
作者 王睿為
Wang, Jui-Wei
貢獻者 張士傑
王睿為
Wang, Jui-Wei
關鍵詞 資本性質債券
預期效用
清償能力
監理干預措施
Hybrid bonds
Expected utility
Solvency
Regulatory interventions
日期 2023
上傳時間 2-Aug-2023 14:23:57 (UTC+8)
摘要 台灣保險業將於2026年實施國際財務報導準則第17號 (IFRS 17) 及國際保險資本標準 (ICS)。其中ICS在資本適足率、自有資本、風險資本及貼現率規定與現行監理制度存在差異。本研究回顧ICS制度及南韓在地化調整之K-ICS監理架構與過渡措施，並分析韓國保險公司透過發行具資本性質債券提升資本策略，檢視對於台灣保險業接軌ICS之影響。
本研究建立預期效用模型探討壽險公司因清償能力不足而受監理干預時，主管機關採取措施如何影響保單持有人權益。監理干預措施分為限期增資及限縮風險性投資。實證結果顯示: (1) 監理機關同時限縮保險公司投資及限期保險公司增資，能極大化保單持有人支付每單位保費的等值到期保障; (2) 保單期限越長，有效提升每單位保費的等值到期保障，若保單持有人風險態度保守，則應降低風險性資產比例，導致該比值降低。(3) 發行資本性質債券之保險公司，儘管保單持有人每單位保費的等值到期保障無明顯增加，但可有效降低需增資比例。
The insurance industry in Taiwan is set to implement International Financial Reporting Standard 17 (IFRS 17) and Insurance Capital Standard (ICS) by 2026. The ICS introduces differences in regulations regarding solvency ratio, own capital, risk capital, and discount rates compared to the existing regulatory framework. This study reviews the ICS system and the K-ICS localized regulatory framework and transitional measures implemented in South Korea. It also analyzes how Korean insurance companies enhance their capital through the issuance of hybrid bonds, examining the impact on the implementation of the insurance industry in Taiwan with ICS.
In this research, an expected utility model is established to investigate how regulatory interventions affect policyholders` interests when life insurance company is insolvent. The regulatory interventions include timely capital injections and restrictions on asset allocation. Empirical results indicate that: (1) Simultaneously restricting insurance companies` investments and enforcing capital injections is most effective in increasing the interests of policyholders. (2) Longer contract terms effectively enhance the interests of the policyholders, while policyholders who exhibit more risk aversion should consider reducing the investment of risky assets, leading to a decrease in interests. (3) Insurance companies that issue capital instruments may not significantly increase policyholders` interests; however, they can effectively reduce the optimal capital injection.
參考文獻 中文文獻:
立法院法律系統 (2023)，擷取日期2023.05.24，https://lis.ly.gov.tw/lglawc/lglawk。
金管會保險局(2013)，幸福人壽保險股份有限公司資本適足率未達法定比率且未依限增資，依保險法第143條之4相關規定裁罰案，擷取日期2023.03.20，https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=201312130004&toolsflag=Y&dtable=News。
金管會保險局(2014)，國寶人壽及幸福人壽接管情形，擷取日期2023.03.20，https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=201408130003&aplistdn=ou=news,ou=multisite,ou=chinese,ou=ap_root,o=fsc,c=tw&toolsflag=Y&dtable=News 。
金管會保險局(2023)，金管會放寬保險業發行具資本性質債券發債條件及發布資金定義解釋令，提升保險業籌資管道及彈性，擷取日期2023.04.24，https://www.ib.gov.tw/ch/home.jsp?id=239&parentpath=0,2,238&mcustomize=multimessage_view.jsp&dataserno=202304130004&aplistdn=ou=news,ou=multisite,ou=chinese,ou=ap_root,o=fsc,c=tw&dtable=News。
孟欣樺(2022)，壽險業資本監理及監管干預之有效性分析，國立政治大學風險管理與保險學系碩士論文。
財團法人保險事業發展中心，保險財務業務統計，擷取日期2023.03.24，https://www.tii.org.tw/tii/information/information1/000001.html。
梁正德(2011)，台灣保險業之發展現況與展望，保險大道，第62期，頁13-15。
國家發展委員會(2022)，最新2022至2070年人口推估報告出爐，https://www.ndc.gov.tw/nc_14813_36128 ，擷取日期2023.03.30。
陳怡慈(2023)，保險業發債金管會大鬆綁，經濟日報，擷取日期2023.03.20，https://money.udn.com/money/story/12926/7060546?from=edn_next_story。
陳美君(2023)，三壽險發債 籌資580億元，經濟日報，擷取日期2023.03.20，https://money.udn.com/money/story/5613/7172611。
張麗娟(2018)，近10年我國與南韓出口情勢分析，財政園地，第 67 期，頁11-20。
證券櫃檯買賣中心，公司債及金融債資料查詢，https://www.tpex.org.tw/web/bond/publish/corporate_bond_search/memo.php?l=zh-tw。
外文文獻:
Braun, 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.
Brigham, E. F., Ehrhardt, M.C. (2017). Financial Management: Theory and Pratice, 15th ed., South-Western College Publishing, Florence, KY.
Chang, S.C., Tu, C.Y. (2021). Selecting Optimal Insurance Regulatory Schemes: The Expected Utility Approach, Working Paper.
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.
Cohn, R. A. (1974). Mutual Life Insurer’s Portfolio and Policyholder Utility Functions. The Journal of Risk and Insurance, 41(3), pp. 407–414.
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 and 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 & Finance, 30, pp. 645-667
Døskeland, T.M., Nordahl, H.A. (2008). Optimal Pension Insurance Design. Journal of Banking & Finance, 32, pp.382–392.
Economic Research Federal Reserve of Bank of St. Louis. Effective Federal Funds Rate, Retrieved from https://fred.stlouisfed.org/series/EFFR on March 24, 2023.
Economic Research Federal Reserve of Bank of St. Louis. Long-Term Government Bond Yields: 10-year: Main (Including Benchmark) for the United States, Retrieved from https://fred.stlouisfed.org/series/IRLTLT01USM156N on March 24, 2023.
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.
Financial Service Commission (2020). Foreign Currency Asset Limits Raised for Insurance Companies. Retrieved from https://www.fsc.go.kr/eng/pr010101/22378?srchCtgry=&curPage=&srchKey=&srchText=&srchBeginDt=&srchEndDt= on April 9, 2023.
Financial Service Commission. (2021). FSC Announces Revisions to the Supervisory Regulation on Insurance Business. Retrieved from https://www.fsc.go.kr/eng/pr010101/75542 on April 9, 2023.
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.
IAIS. (2019). Level 1 Document for ICS Version 2.0 for the monitoring period.
IAIS. (2020). Level 2 Document for ICS Version 2.0 for the monitoring period.
IAIS. (2022). Public 2022 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. 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.
Korea Life Insurance Association (2022). Life Insurance Business in Korea Annual Report 2021.
The Korea Economic Daily (2022). Insurers rush to bolster equity capital to boost solvency. Retrieved from https://www.kedglobal.com/insurance/newsView/ked202203240007 on April 9, 2023.
Yonhap News Agency (2022). (News Focus) `Korean paper` hit hard by insurer`s uncalled bonds. Retrieved from https://en.yna.co.kr/view/AEN20221107005800320
on April 9, 2023.
韓國金融監督服務局(FSS) (2023)，新지급여력제도(K-ICS) 경과조치 신고 접수결과, 19개 보험회사가 신청하였습니다，https://www.fss.or.kr/fss/bbs/B0000188/view.do?nttId=58298&menuNo=200218，擷取日期：2023年5月1日。
韓國金融監督服務局(FSS)保險與風險管理辦公室 (2023)，新지급여력제도(K- ICS) 해설서，https://www.fss.or.kr/fss/cmmn/file/fileDown.do?menuNo=200424&atchFileId=7c92b6b415034359940b3320cad6dbb9&fileSn=1，擷取日期：2023年5月1日。
韓國金融監督委員會(FSC)保險部 (2022)，[보도자료] ｢보험 자본건전성 선진화 추진단｣ 제9차 회의 개최，https://www.fsc.go.kr/no010101/77428，擷取日期：2023年5月1日。
描述 碩士
國立政治大學
風險管理與保險學系
110358025
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110358025
資料類型 thesis
dc.contributor.advisor 張士傑zh_TW
dc.contributor.author (Authors) 王睿為zh_TW
dc.contributor.author (Authors) Wang, Jui-Weien_US
dc.creator (作者) 王睿為zh_TW
dc.creator (作者) Wang, Jui-Weien_US
dc.date (日期) 2023en_US
dc.date.accessioned 2-Aug-2023 14:23:57 (UTC+8)-
dc.date.available 2-Aug-2023 14:23:57 (UTC+8)-
dc.date.issued (上傳時間) 2-Aug-2023 14:23:57 (UTC+8)-
dc.identifier (Other Identifiers) G0110358025en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146655-
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) 110358025zh_TW
dc.description.abstract (摘要) 台灣保險業將於2026年實施國際財務報導準則第17號 (IFRS 17) 及國際保險資本標準 (ICS)。其中ICS在資本適足率、自有資本、風險資本及貼現率規定與現行監理制度存在差異。本研究回顧ICS制度及南韓在地化調整之K-ICS監理架構與過渡措施，並分析韓國保險公司透過發行具資本性質債券提升資本策略，檢視對於台灣保險業接軌ICS之影響。
本研究建立預期效用模型探討壽險公司因清償能力不足而受監理干預時，主管機關採取措施如何影響保單持有人權益。監理干預措施分為限期增資及限縮風險性投資。實證結果顯示: (1) 監理機關同時限縮保險公司投資及限期保險公司增資，能極大化保單持有人支付每單位保費的等值到期保障; (2) 保單期限越長，有效提升每單位保費的等值到期保障，若保單持有人風險態度保守，則應降低風險性資產比例，導致該比值降低。(3) 發行資本性質債券之保險公司，儘管保單持有人每單位保費的等值到期保障無明顯增加，但可有效降低需增資比例。		zh_TW
dc.description.abstract (摘要) The insurance industry in Taiwan is set to implement International Financial Reporting Standard 17 (IFRS 17) and Insurance Capital Standard (ICS) by 2026. The ICS introduces differences in regulations regarding solvency ratio, own capital, risk capital, and discount rates compared to the existing regulatory framework. This study reviews the ICS system and the K-ICS localized regulatory framework and transitional measures implemented in South Korea. It also analyzes how Korean insurance companies enhance their capital through the issuance of hybrid bonds, examining the impact on the implementation of the insurance industry in Taiwan with ICS.
In this research, an expected utility model is established to investigate how regulatory interventions affect policyholders` interests when life insurance company is insolvent. The regulatory interventions include timely capital injections and restrictions on asset allocation. Empirical results indicate that: (1) Simultaneously restricting insurance companies` investments and enforcing capital injections is most effective in increasing the interests of policyholders. (2) Longer contract terms effectively enhance the interests of the policyholders, while policyholders who exhibit more risk aversion should consider reducing the investment of risky assets, leading to a decrease in interests. (3) Insurance companies that issue capital instruments may not significantly increase policyholders` interests; however, they can effectively reduce the optimal capital injection.		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 壽險業清償能力制度 8
第一節 ICS架構規範 9
第二節 台灣與韓國市場現況與K-ICS分析 18
第三節 台灣新一代清償能力制度在地化建議 37
第三章 模型架構 39
第一節 壽險公司資產負債結構 39
第二節 監理干預之效用 42
第四章 數值分析 54
第一節 實證與結果 56
第五章 結論與建議 59
參考文獻 61		zh_TW
dc.format.extent 1135208 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110358025en_US
dc.subject (關鍵詞) 資本性質債券zh_TW
dc.subject (關鍵詞) 預期效用zh_TW
dc.subject (關鍵詞) 清償能力zh_TW
dc.subject (關鍵詞) 監理干預措施zh_TW
dc.subject (關鍵詞) Hybrid bondsen_US
dc.subject (關鍵詞) Expected utilityen_US
dc.subject (關鍵詞) Solvencyen_US
dc.subject (關鍵詞) Regulatory interventionsen_US
dc.title (題名) 台灣壽險業發行次順位債之風險與效益zh_TW
dc.title (題名) Risk and Effectiveness of Subordinated Debt Issuance for Taiwan Life Insurance Industryen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 中文文獻:
立法院法律系統 (2023)，擷取日期2023.05.24，https://lis.ly.gov.tw/lglawc/lglawk。
金管會保險局(2013)，幸福人壽保險股份有限公司資本適足率未達法定比率且未依限增資，依保險法第143條之4相關規定裁罰案，擷取日期2023.03.20，https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=201312130004&toolsflag=Y&dtable=News。
金管會保險局(2014)，國寶人壽及幸福人壽接管情形，擷取日期2023.03.20，https://www.fsc.gov.tw/ch/home.jsp?id=96&parentpath=0,2&mcustomize=news_view.jsp&dataserno=201408130003&aplistdn=ou=news,ou=multisite,ou=chinese,ou=ap_root,o=fsc,c=tw&toolsflag=Y&dtable=News 。
金管會保險局(2023)，金管會放寬保險業發行具資本性質債券發債條件及發布資金定義解釋令，提升保險業籌資管道及彈性，擷取日期2023.04.24，https://www.ib.gov.tw/ch/home.jsp?id=239&parentpath=0,2,238&mcustomize=multimessage_view.jsp&dataserno=202304130004&aplistdn=ou=news,ou=multisite,ou=chinese,ou=ap_root,o=fsc,c=tw&dtable=News。
孟欣樺(2022)，壽險業資本監理及監管干預之有效性分析，國立政治大學風險管理與保險學系碩士論文。
財團法人保險事業發展中心，保險財務業務統計，擷取日期2023.03.24，https://www.tii.org.tw/tii/information/information1/000001.html。
梁正德(2011)，台灣保險業之發展現況與展望，保險大道，第62期，頁13-15。
國家發展委員會(2022)，最新2022至2070年人口推估報告出爐，https://www.ndc.gov.tw/nc_14813_36128 ，擷取日期2023.03.30。
陳怡慈(2023)，保險業發債金管會大鬆綁，經濟日報，擷取日期2023.03.20，https://money.udn.com/money/story/12926/7060546?from=edn_next_story。
陳美君(2023)，三壽險發債 籌資580億元，經濟日報，擷取日期2023.03.20，https://money.udn.com/money/story/5613/7172611。
張麗娟(2018)，近10年我國與南韓出口情勢分析，財政園地，第 67 期，頁11-20。
證券櫃檯買賣中心，公司債及金融債資料查詢，https://www.tpex.org.tw/web/bond/publish/corporate_bond_search/memo.php?l=zh-tw。
外文文獻:
Braun, 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.
Brigham, E. F., Ehrhardt, M.C. (2017). Financial Management: Theory and Pratice, 15th ed., South-Western College Publishing, Florence, KY.
Chang, S.C., Tu, C.Y. (2021). Selecting Optimal Insurance Regulatory Schemes: The Expected Utility Approach, Working Paper.
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.
Cohn, R. A. (1974). Mutual Life Insurer’s Portfolio and Policyholder Utility Functions. The Journal of Risk and Insurance, 41(3), pp. 407–414.
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 and 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 & Finance, 30, pp. 645-667
Døskeland, T.M., Nordahl, H.A. (2008). Optimal Pension Insurance Design. Journal of Banking & Finance, 32, pp.382–392.
Economic Research Federal Reserve of Bank of St. Louis. Effective Federal Funds Rate, Retrieved from https://fred.stlouisfed.org/series/EFFR on March 24, 2023.
Economic Research Federal Reserve of Bank of St. Louis. Long-Term Government Bond Yields: 10-year: Main (Including Benchmark) for the United States, Retrieved from https://fred.stlouisfed.org/series/IRLTLT01USM156N on March 24, 2023.
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.
Financial Service Commission (2020). Foreign Currency Asset Limits Raised for Insurance Companies. Retrieved from https://www.fsc.go.kr/eng/pr010101/22378?srchCtgry=&curPage=&srchKey=&srchText=&srchBeginDt=&srchEndDt= on April 9, 2023.
Financial Service Commission. (2021). FSC Announces Revisions to the Supervisory Regulation on Insurance Business. Retrieved from https://www.fsc.go.kr/eng/pr010101/75542 on April 9, 2023.
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.
IAIS. (2019). Level 1 Document for ICS Version 2.0 for the monitoring period.
IAIS. (2020). Level 2 Document for ICS Version 2.0 for the monitoring period.
IAIS. (2022). Public 2022 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. 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.
Korea Life Insurance Association (2022). Life Insurance Business in Korea Annual Report 2021.
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韓國金融監督服務局(FSS) (2023)，新지급여력제도(K-ICS) 경과조치 신고 접수결과, 19개 보험회사가 신청하였습니다，https://www.fss.or.kr/fss/bbs/B0000188/view.do?nttId=58298&menuNo=200218，擷取日期：2023年5月1日。
韓國金融監督服務局(FSS)保險與風險管理辦公室 (2023)，新지급여력제도(K- ICS) 해설서，https://www.fss.or.kr/fss/cmmn/file/fileDown.do?menuNo=200424&atchFileId=7c92b6b415034359940b3320cad6dbb9&fileSn=1，擷取日期：2023年5月1日。
韓國金融監督委員會(FSC)保險部 (2022)，[보도자료] ｢보험 자본건전성 선진화 추진단｣ 제9차 회의 개최，https://www.fsc.go.kr/no010101/77428，擷取日期：2023年5月1日。		zh_TW