| dc.contributor.advisor | 黃泓智 | zh_TW |
| dc.contributor.advisor | Huang, Hong-Chih | en_US |
| dc.contributor.author (Authors) | 李晉維 | zh_TW |
| dc.contributor.author (Authors) | Li, Jin-Wei | en_US |
| dc.creator (作者) | 李晉維 | zh_TW |
| dc.creator (作者) | Li, Jin-Wei | en_US |
| dc.date (日期) | 2024 | en_US |
| dc.date.accessioned | 5-Aug-2024 14:02:17 (UTC+8) | - |
| dc.date.available | 5-Aug-2024 14:02:17 (UTC+8) | - |
| dc.date.issued (上傳時間) | 5-Aug-2024 14:02:17 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0111358014 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/152786 | - |
| 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) | 111358014 | zh_TW |
| dc.description.abstract (摘要) | 本研究選擇國內業者現售的分紅終身壽險作為研究對象，透過隨機過程模擬資產面數值，並採用過往學術文獻較少探討的修正式一般衡量模型（Modified GMM）評價保險負債。最終，基於財報數值結果計算而得CSM margin、平均淨利、損益波動度、綜合權益及解約年化報酬率的不同構面，探討英式分紅商品採用的紅利模型及紅利鎖定選擇權等商品機制的財務效果，進一步分析具有優勢的分紅商品策略。其中，研究涵蓋的紅利模型包含國內外業者實務使用的「動態參數法」、「資產額分法」與本研究提出的「緩衝資金法」。
研究結果顯示，不同投資情境將影響具優勢的紅利模型。而緩衝資金法在所有投資情境下皆穩定展現相對高的合約服務邊際動能、全期平均淨利以及綜合權益；資產額分法則以損益波動度與解約報酬率方面同樣優秀的表現次之。相較之下，動態參數法雖無明顯優勢，但因其作業簡便、易於說明報酬率與紅利間的關聯，在實務上仍具有相當價值。
最後，對保險業者而言，紅利鎖定權搭配資產額分法為最具優勢的商品策略，能夠在保持合約服務邊際的同時，發揮提升淨利、綜合權益與降低損益波動度的最佳效果。對保單持有人而言，行使紅利鎖定權將有助於提升解約收益，特別是搭配動態參數法時，將最大化提升解約報酬率之效果。 | zh_TW |
| dc.description.abstract (摘要) | This paper selects whole life with-profits policy currently sold by domestic insurer as the research object. By simulating asset values through stochastic processes and employing the Modified General Measurement Model, a less explored approach in existing literature, to valuate insurance liabilities, the study calculates CSM margin, average net profit, P/L volatility, comprehensive equity, and surrender annualized return rates based on the numerical results. It explores the financial effects of bonus models and bonus lock-in option used in with-profits policy, aiming to analyze advantageous product strategies. The bonus models covered in this study include the "dynamic parameter method" and "asset share method" commonly used by domestic and international insurers, as well as the newly proposed "buffer fund method."
The results indicate that different investment scenarios affect the advantageous bonus models. The buffer fund method consistently demonstrates relatively high CSM margin, average net profit, and comprehensive equity across all investment scenarios. The asset share method follows with excellent performance in P/L volatility and surrender return rate aspects. In comparison, although the dynamic parameter method shows no significant advantage, its simplicity and ease of explaining the relationship between return rates and bonus make it valuable in practice.
For insurers, the combination of bonus lock-in option with the asset share method is the most advantageous product strategy. It optimizes net profit, comprehensive equity, and reducing P/L volatility while maintaining CSM. For policyholders, exercising the option enhances surrender returns, particularly when paired with the dynamic parameter method, which maximizes the surrender return rate. | 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 3
第三節 研究架構 3
第二章 文獻回顧 5
第三章 IFRS 17下的英式分紅 9
第一節 英式分紅商品 9
第二節 修正式一般衡量模型 11
第四章 研究方法 16
第一節 資產面模擬 16
第二節 商品面假設 21
第三節 負債面衡量 30
第五章 模擬分析結果 35
第一節 參數設定 35
第二節 數值結果 36
第六章 結論 47
參考文獻 49 | zh_TW |
| dc.format.extent | 1387482 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0111358014 | en_US |
| dc.subject (關鍵詞) | 英式分紅 | zh_TW |
| dc.subject (關鍵詞) | IFRS 17 | zh_TW |
| dc.subject (關鍵詞) | 修正式一般衡量模型 | zh_TW |
| dc.subject (關鍵詞) | 紅利模型 | zh_TW |
| dc.subject (關鍵詞) | 紅利鎖定權 | zh_TW |
| dc.subject (關鍵詞) | With-Profits Policy | en_US |
| dc.subject (關鍵詞) | IFRS 17 | en_US |
| dc.subject (關鍵詞) | Modified General Measurement Model | en_US |
| dc.subject (關鍵詞) | Bonus Model | en_US |
| dc.subject (關鍵詞) | Bonus Lock-in Option | en_US |
| dc.title (題名) | IFRS 17下英式分紅保單的商品策略 | zh_TW |
| dc.title (題名) | The Product Strategy of With-Profits Policy Mechanism under IFRS 17 | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 李照聖（2024）。壽險會計理論與實務：IFRS 9與IFRS 17（初版）。元照出版有限公司。
洪銳棋（2017）。人壽保險公司經濟資本評估及風險分析：以利率變動型壽險為例（未出版碩士論文）。國立政治大學風險管理與保險學研究所。
楊艾（2009）。分紅保單機制設計對保險公司投資策略與清償能力的影響（未出版碩士論文）。國立臺灣大學財務金融學研究所。
楊曉文、黃泓智、黃麗容（2006）。投資策略、清償能力與分紅保單公平定價之研究。臺大管理論叢，17(1)，91-111。
Bacinello, A. R. (2001). Fair pricing of life insurance participating policies with a minimum interest rate guaranteed. ASTIN Bulletin: The Journal of the IAA, 31(2), 275-297.
Bohnert, A., & Gatzert, N. (2012). Analyzing surplus appropriation schemes in participating life insurance from the insurer’s and the policyholder’s perspective. Insurance: Mathematics and Economics, 50(1), 64-78.
Dominic Clark, Jeremy Kent, & Ed Morgan. (2020). Impact of IFRS 17 on insurance product pricing and design. Milliman. https://www.milliman.com/-/media/milliman/pdfs/articles/3112ldp_impact-of-ifrs-17_20200512.ashx
Grosen, A., & Jørgensen, P. L. (2000). Fair valuation of life insurance liabilities: the impact of interest rate guarantees, surrender options, and bonus policies. Insurance: Mathematics and Economics, 26(1), 37-57.
Haberman, S., Ballotta, L., & Wang, N. (2003). Modelling and valuation of guarantees in with-profit and unitised with profit life insurance contracts. Cass Business School Research Paper.
Hansen, M., & Miltersen, K. R. (2002). Minimum rate of return guarantees: the Danish case. Scandinavian Actuarial Journal, 2002(4), 280-318.
Kling, A., Richter, A., & Ruß, J. (2007). The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies. Insurance: Mathematics and Economics, 40(1), 164-178.
KPMG. (2024). Insurers’ full-year reporting under IFRS 17 and IFRS 9. https://assets.kpmg.com/content/dam/kpmg/xx/pdf/2024/04/isg-real-time-ifrs-17-first-annual-reporting-talkbook.pdf
Zemp, A. (2011). Risk comparison of different bonus distribution approaches in participating life insurance. Insurance: Mathematics and Economics, 49(2), 249-264. | zh_TW |
