1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 台灣壽險業發行次順位債之風險評估
Risk Assessment of Subordinated Debt Issuance for Taiwan Life Insurance Industry
作者 黃靖軒
Huang, Ching-Hsuan
貢獻者 張士傑<br>曾毓英
Chang, Shih-Chieh<br>Tzeng, Yu-Ying
黃靖軒
Huang, Ching-Hsuan
關鍵詞 次順位債券
資本性質債券
清償能力
監理干預
預期效用
Subordinated debt
Hybrid bonds
Solvency
Regulatory intervention
Expected utility
日期 2024
上傳時間 5-Aug-2024 14:02:41 (UTC+8)
摘要 台灣壽險業將於2026年1月1日採行國際財務報導準則第17號(IFRS 17)及新一代清償能力制度(TW-ICS)。因此，壽險公司面臨會計制度和資本適足率規範的變革。為符合新標準，壽險公司採取多項措施強化資本結構，如現金增資、發行次順位債、保留盈餘及調整保險商品等。金融監督管理委員會為接軌新清償能力標準，陸續開放不同的籌資管道，包括長期次順位公司債和具資本性質之債券的發行。 本研究比較分析保險業清償能力標準之發展歷程，依據資本結構理論，並分析壽險公司的籌資策略。透過建立保單持有人的預期效用模型，探討當壽險公司清償能力不符法規標準時，主管機關的監理干預對保單持有人的效用及壽險公司資產配置的影響。研究結果顯示：(1) 監理干預措施能提升保單持有人的效用，以同時增加應急資本及限縮風險性資產的效用最高；(2) 初始金融負債資產比增加能提高每元保費的效益，因金融負債可視為資本，降低資本成本；(3) 延長保單期限能提升保單持有人的效益，因長期投資帶來的複利效應及市場波動減少；(4) 保單預定利率上升會減少保單持有人的效益，並增加應急資本需求，因保險公司承諾的報酬率上升。
Taiwan's life insurance industry will adopt IFRS 17 and TW-ICS starting January 1, 2026. Consequently, life insurance companies face changes in accounting standards and capital adequacy regulations. To comply with the new standards, life insurance companies have implemented various measures to strengthen their capital structure, such as raising cash capital, issuing subordinated debt, and adjusting insurance products. The Financial Supervisory Commission has gradually opened different financing channels to align with the new solvency standards, including the issuance of long-term subordinated corporate bonds and hybrid bonds. This study conducts a comparative analysis of the development history of solvency standards in the insurance industry. Based on capital structure theory, it also analyzes the financing strategies of life insurance companies. By establishing a policyholders’ expected utility model, the study explores the impact of regulatory interventions on policyholders’ utility and life insurance companies' asset allocation. The research findings indicate that: (1) Supervisory interventions can improve policyholders’ utility, with the highest utility achieved by simultaneously increasing emergency capital and restricting risky assets; (2) Increasing the initial financial debt-to-asset ratio can improve efficiency per dollar of premium, since financial debt can be considered capital, reducing the cost of capital; (3) Extending the policy term can enhance policyholder benefits due to the compounding effect of long-term investments and reduced market fluctuations; (4) An increase in the policy's assumed interest rate decreases policyholders’ utility and increases the demand for emergency capital, as the promised return rate of the insurance company increases.
參考文獻 中文文獻 王睿為 (2023)，台灣壽險業發行次順位債之風險與效益，國立政治大學風險管理與保險學系碩士論文，台灣台北。 丘智謀 (2011)，企業如何善用公司債籌資以強化財務結構，證券暨期貨月刊， 29卷4期，頁5-23。 李瑞瑜 (2008)，信用評等與資本結構，國立政治大學會計學系碩士論文，台灣台北。 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，台灣台北。 劉維琪、李怡宗 (1993)，融資順位理論之調查研究，管理評論，12卷，頁119-143。https://doi.org/10.6656/MR.1993.12.CHI.119 蔡雅婷 (2010)，外匯曝險對公司資本結構之影響，國立政治大學財務管理學系碩士論文，台灣台北。 英文文獻 Asimit, A. V., Badescu, A. M., Siu, T. K., & Zinchenko, Y. (2015). Capital requirements and optimal investment with solvency probability constraints. IMA Journal of Management Mathematics., 26(4), 345–375. https://doi.org/10.1093/imaman/dpt029 Briys, E., & de Varenne, F. (1994). Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications. The Geneva Risk and Insurance Review., 19(1), 53–72. https://doi.org/10.1007/BF01112014 Briys, E., & de Varenne, F. (1997). On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls. The Journal of Risk and Insurance., 64(4), 673–694. https://doi.org/10.2307/253891 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). https://doi.org/10.1515/apjri-2019-0035 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), 605–626. https://doi.org/10.1017/asb.2016.12 Chen, A., & Suchanecki, M. (2007). Default risk, bankruptcy procedures and the market value of life insurance liabilities. Insurance, Mathematics & Economics., 40(2), 231–255. https://doi.org/10.1016/j.insmatheco.2006.04.005 Chen, A., Hieber, P., & Lämmlein, L. (2020). Regulatory measures for distressed insurance undertakings: a comparative study. Scandinavian Actuarial Journal., 2020(1), 30–43. https://doi.org/10.1080/03461238.2019.1633395 Donaldson, G. (1961). Corporate debt capacity; a study of corporate debt policy and the determination of corporate debt capacity. Division of Research, Graduate School of Business Administration, Harvard University. Everett E. (1965). Subordinated Debt—Nature and Enforcement. The Business Lawyer, 20(4), 953–987. 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), 63–91. https://doi.org/10.1111/1539-6975.00005 Huang, F. W. (2020). A simple model of financial grey rhino under insurer capital regulation. Applied Economics., 52(46), 5088–5097. https://doi.org/10.1080/00036846.2020.1752905 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), 94-115. https://doi.org/10.1080/10920277.2014.1001911 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 : The Journal of the European Financial Management Association, 7(2), 183–211. https://doi.org/10.1111/1468-036X.00152 Lin, J. H., Chang, C. P., & Chen, S. (2021). A simple model of financial grey rhino under insurer capital regulation: an extension. Applied Economics Letters., 28(21), 1872–1876. https://doi.org/10.1080/13504851.2020.1854655 Modigliani, F., & Miller, M. H. (1958). The cost of capital, corporation finance and the theory of investment. The American eEconomic rReview, 48(3), 261-297. Modigliani, F., & Miller, M. H. (1963). Corporate Income Taxes and the Cost of Capital: A Correction. The American Economic Review, 53(3), 433–443. Myers, S. C., & Majluf, N. S. (1984). Corporate financing and investment decisions when firms have information that investors do not have. Journal of fFinancial eEconomics, 13(2), 187-221. Niu, J. (2008). Bank Competition, Risk, and Subordinated Debt. Journal of Financial Services Research., 33(1), 37–56. https://doi.org/10.1007/s10693-007-0022-3 Pelsser, A. A., & Laeven, R. J. (2013). Optimal dividends and ALM under unhedgeable risk. Insurance, Mathematics & Economics., 53(3), 515–523. https://doi.org/10.1016/j.insmatheco.2013.07.007 Schmeiser, H., & Wagner, J. (2015). A Proposal on How the Regulator Should Set Minimum Interest Rate Guarantees in Participating Life Insurance Contracts. The Journal of Risk and Insurance., 82(3), 659–686. https://doi.org/10.1111/jori.12036 Tu, C. Y. , & Chang, S. C. (2022). Optimal Insurance Solvency Regulatory Schemes under the Early Warning SystemSelecting Optimal Insurance Regulatory Schemes, Bank of Taiwan Quarterly, 73(4), 18-38. Zhang, T., & Cao, J. (2023). Impact of regulatory policy adjustments on insurance company costs and cost efficiency. Finance Research Letters., 58. https://doi.org/10.1016/j.frl.2023.104611
描述 碩士
國立政治大學
風險管理與保險學系
111358017
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111358017
資料類型 thesis
dc.contributor.advisor 張士傑<br>曾毓英zh_TW
dc.contributor.advisor Chang, Shih-Chieh<br>Tzeng, Yu-Yingen_US
dc.contributor.author (Authors) 黃靖軒zh_TW
dc.contributor.author (Authors) Huang, Ching-Hsuanen_US
dc.creator (作者) 黃靖軒zh_TW
dc.creator (作者) Huang, Ching-Hsuanen_US
dc.date (日期) 2024en_US
dc.date.accessioned 5-Aug-2024 14:02:41 (UTC+8)-
dc.date.available 5-Aug-2024 14:02:41 (UTC+8)-
dc.date.issued (上傳時間) 5-Aug-2024 14:02:41 (UTC+8)-
dc.identifier (Other Identifiers) G0111358017en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152788-
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) 111358017zh_TW
dc.description.abstract (摘要) 台灣壽險業將於2026年1月1日採行國際財務報導準則第17號(IFRS 17)及新一代清償能力制度(TW-ICS)。因此，壽險公司面臨會計制度和資本適足率規範的變革。為符合新標準，壽險公司採取多項措施強化資本結構，如現金增資、發行次順位債、保留盈餘及調整保險商品等。金融監督管理委員會為接軌新清償能力標準，陸續開放不同的籌資管道，包括長期次順位公司債和具資本性質之債券的發行。 本研究比較分析保險業清償能力標準之發展歷程，依據資本結構理論，並分析壽險公司的籌資策略。透過建立保單持有人的預期效用模型，探討當壽險公司清償能力不符法規標準時，主管機關的監理干預對保單持有人的效用及壽險公司資產配置的影響。研究結果顯示：(1) 監理干預措施能提升保單持有人的效用，以同時增加應急資本及限縮風險性資產的效用最高；(2) 初始金融負債資產比增加能提高每元保費的效益，因金融負債可視為資本，降低資本成本；(3) 延長保單期限能提升保單持有人的效益，因長期投資帶來的複利效應及市場波動減少；(4) 保單預定利率上升會減少保單持有人的效益，並增加應急資本需求，因保險公司承諾的報酬率上升。zh_TW
dc.description.abstract (摘要) Taiwan's life insurance industry will adopt IFRS 17 and TW-ICS starting January 1, 2026. Consequently, life insurance companies face changes in accounting standards and capital adequacy regulations. To comply with the new standards, life insurance companies have implemented various measures to strengthen their capital structure, such as raising cash capital, issuing subordinated debt, and adjusting insurance products. The Financial Supervisory Commission has gradually opened different financing channels to align with the new solvency standards, including the issuance of long-term subordinated corporate bonds and hybrid bonds. This study conducts a comparative analysis of the development history of solvency standards in the insurance industry. Based on capital structure theory, it also analyzes the financing strategies of life insurance companies. By establishing a policyholders’ expected utility model, the study explores the impact of regulatory interventions on policyholders’ utility and life insurance companies' asset allocation. The research findings indicate that: (1) Supervisory interventions can improve policyholders’ utility, with the highest utility achieved by simultaneously increasing emergency capital and restricting risky assets; (2) Increasing the initial financial debt-to-asset ratio can improve efficiency per dollar of premium, since financial debt can be considered capital, reducing the cost of capital; (3) Extending the policy term can enhance policyholder benefits due to the compounding effect of long-term investments and reduced market fluctuations; (4) An increase in the policy's assumed interest rate decreases policyholders’ utility and increases the demand for emergency capital, as the promised return rate of the insurance company increases.en_US
dc.description.tableofcontents 謝辭　i 摘要　ii Abstract　iii 目次　iv 表次　v 圖次　vi 第一章　緒論　1 　第一節　研究背景　1 　第二節　研究動機與貢獻　5 　第三節　文獻回顧　8 第二章　新清償能力標準及其影響　11 　第一節　壽險公司清償能力標準　11 　第二節　資本結構理論　13 　第三節　新清償能力標準及其之影響　15 第三章　模型架構　19 　第一節　壽險公司資本結構　19 　第二節　監理干預之效用　22 第四章　數值分析　33 　第一節　模型資料設定　33 　第二節　實證結果　35 　第三節　敏感度分析　36 第五章　結論與建議　42 參考文獻　44zh_TW
dc.format.extent 1905368 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111358017en_US
dc.subject (關鍵詞) 次順位債券zh_TW
dc.subject (關鍵詞) 資本性質債券zh_TW
dc.subject (關鍵詞) 清償能力zh_TW
dc.subject (關鍵詞) 監理干預zh_TW
dc.subject (關鍵詞) 預期效用zh_TW
dc.subject (關鍵詞) Subordinated debten_US
dc.subject (關鍵詞) Hybrid bondsen_US
dc.subject (關鍵詞) Solvencyen_US
dc.subject (關鍵詞) Regulatory interventionen_US
dc.subject (關鍵詞) Expected utilityen_US
dc.title (題名) 台灣壽險業發行次順位債之風險評估zh_TW
dc.title (題名) Risk Assessment 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 王睿為 (2023)，台灣壽險業發行次順位債之風險與效益，國立政治大學風險管理與保險學系碩士論文，台灣台北。 丘智謀 (2011)，企業如何善用公司債籌資以強化財務結構，證券暨期貨月刊， 29卷4期，頁5-23。 李瑞瑜 (2008)，信用評等與資本結構，國立政治大學會計學系碩士論文，台灣台北。 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，台灣台北。 劉維琪、李怡宗 (1993)，融資順位理論之調查研究，管理評論，12卷，頁119-143。https://doi.org/10.6656/MR.1993.12.CHI.119 蔡雅婷 (2010)，外匯曝險對公司資本結構之影響，國立政治大學財務管理學系碩士論文，台灣台北。 英文文獻 Asimit, A. V., Badescu, A. M., Siu, T. K., & Zinchenko, Y. (2015). Capital requirements and optimal investment with solvency probability constraints. IMA Journal of Management Mathematics., 26(4), 345–375. https://doi.org/10.1093/imaman/dpt029 Briys, E., & de Varenne, F. (1994). Life Insurance in a Contingent Claim Framework: Pricing and Regulatory Implications. The Geneva Risk and Insurance Review., 19(1), 53–72. https://doi.org/10.1007/BF01112014 Briys, E., & de Varenne, F. (1997). On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls. The Journal of Risk and Insurance., 64(4), 673–694. https://doi.org/10.2307/253891 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). https://doi.org/10.1515/apjri-2019-0035 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), 605–626. https://doi.org/10.1017/asb.2016.12 Chen, A., & Suchanecki, M. (2007). Default risk, bankruptcy procedures and the market value of life insurance liabilities. Insurance, Mathematics & Economics., 40(2), 231–255. https://doi.org/10.1016/j.insmatheco.2006.04.005 Chen, A., Hieber, P., & Lämmlein, L. (2020). Regulatory measures for distressed insurance undertakings: a comparative study. Scandinavian Actuarial Journal., 2020(1), 30–43. https://doi.org/10.1080/03461238.2019.1633395 Donaldson, G. (1961). Corporate debt capacity; a study of corporate debt policy and the determination of corporate debt capacity. Division of Research, Graduate School of Business Administration, Harvard University. Everett E. (1965). Subordinated Debt—Nature and Enforcement. The Business Lawyer, 20(4), 953–987. 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), 63–91. https://doi.org/10.1111/1539-6975.00005 Huang, F. W. (2020). A simple model of financial grey rhino under insurer capital regulation. Applied Economics., 52(46), 5088–5097. https://doi.org/10.1080/00036846.2020.1752905 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), 94-115. https://doi.org/10.1080/10920277.2014.1001911 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 : The Journal of the European Financial Management Association, 7(2), 183–211. https://doi.org/10.1111/1468-036X.00152 Lin, J. H., Chang, C. P., & Chen, S. (2021). A simple model of financial grey rhino under insurer capital regulation: an extension. Applied Economics Letters., 28(21), 1872–1876. https://doi.org/10.1080/13504851.2020.1854655 Modigliani, F., & Miller, M. H. (1958). The cost of capital, corporation finance and the theory of investment. The American eEconomic rReview, 48(3), 261-297. Modigliani, F., & Miller, M. H. (1963). Corporate Income Taxes and the Cost of Capital: A Correction. The American Economic Review, 53(3), 433–443. Myers, S. C., & Majluf, N. S. (1984). Corporate financing and investment decisions when firms have information that investors do not have. Journal of fFinancial eEconomics, 13(2), 187-221. Niu, J. (2008). Bank Competition, Risk, and Subordinated Debt. Journal of Financial Services Research., 33(1), 37–56. https://doi.org/10.1007/s10693-007-0022-3 Pelsser, A. A., & Laeven, R. J. (2013). Optimal dividends and ALM under unhedgeable risk. Insurance, Mathematics & Economics., 53(3), 515–523. https://doi.org/10.1016/j.insmatheco.2013.07.007 Schmeiser, H., & Wagner, J. (2015). A Proposal on How the Regulator Should Set Minimum Interest Rate Guarantees in Participating Life Insurance Contracts. The Journal of Risk and Insurance., 82(3), 659–686. https://doi.org/10.1111/jori.12036 Tu, C. Y. , & Chang, S. C. (2022). Optimal Insurance Solvency Regulatory Schemes under the Early Warning SystemSelecting Optimal Insurance Regulatory Schemes, Bank of Taiwan Quarterly, 73(4), 18-38. Zhang, T., & Cao, J. (2023). Impact of regulatory policy adjustments on insurance company costs and cost efficiency. Finance Research Letters., 58. https://doi.org/10.1016/j.frl.2023.104611zh_TW