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題名 固定收益資產之評價在利變型商品適用資產負債公允價值衡量之探討：IFRS 9及 IFRS 17
The Study of Fixed Income Investment Valuation for Asset-Liability Fair Value Measurement in Interest-Sensitive Insurance Policy under IFRS 9 and IFRS 17
作者 陳敍嘉
Chen, Hsu-Jia
貢獻者 楊曉文<br>黃泓智
Yang, Sharon<br>Huang, Hong-Chih
陳敍嘉
Chen, Hsu-Jia
關鍵詞 IFRS 17
IFRS 9
利變型商品
固定收益資產
資產負債管理
IFRS 17
IFRS 9
Interest-Sensitive Insurance Policy
Fixed Income Investment
Asset-Liability Management
日期 2024
上傳時間 5-Aug-2024 14:03:05 (UTC+8)
摘要 我國保險業自2018年已開始實施IFRS 9，並將於2026年起接軌IFRS 17，使得資產與負債皆會反映現時資訊。有鑑於此，本研究欲探討保險公司在施行國際會計新制之下的資產負債管理，以利變型終身壽險為例，並比較保險公司在不同投資標的及資產分類對其財務表現的影響程度。為提高公允價值估算的準確性，本研究使用市價衡量（mark-to-market）之債券評價模型，以Nelson and Siegal（1987）之架構，搭配Diebold and Li（2006）及Christensen, Diebold and Rudebusch（2011）之研究建立模型，避免長期預測所產生的偏誤。本研究討論三種投資策略：AC、FVOCI及FVTPL，研究結果顯示，若保險公司未行使OCI選擇權，投資在信用評等較差的公司債將可帶來較高的獲利能力；當保險公司採取含有FVTPL之策略時，獲利能力相對較佳，惟應注意其較高的風險。若公司行使OCI選擇權，將有助於提高整體財務表現並降低風險。本研究的分析結果可作為壽險業在資產配置時參考使用，在未來進行資產重分類時，應注意資產負債管理之有效性，以兼顧獲利及風險控管能力。
The insurance industry has implemented IFRS 9 since 2018 and would adopt IFRS 17 starting in 2026 in Taiwan, ensuring that both assets and liabilities reflect current information. In view of this, this study aims to explore the asset-liability management of insurance companies under the new international accounting standards, using interest-sensitive life insurance as an example. It compares the impact of different investment instruments and asset classifications on the financial performance. To enhance the accuracy of fair value estimation, this study proposes a mark-to-market bond valuation model based on the framework of Nelson and Siegal (1987), Diebold and Li (2006), and Christensen, Diebold and Rudebusch (2011). This study discusses three investment strategies: AC, FVOCI and FVTPL. The results indicate that if insurance companies do not exercise the OCI option, investing in lower-rated corporate bonds can lead to higher profitability. Also, adopting strategies involving FVTPL tend to have better profitability but should be aware of the higher risks. Additionally, exercising the OCI option could help improve financial performance and reduce risks. Overall, the study could provide recommendations for asset allocation in life insurance industry. When undertaking asset reclassification in the future, insurers should pay attention to the effectiveness of asset-liability management to balance profitability and risk control.
參考文獻 Ahlgrim , K. C., Arcy , S. P., & Gorvett , R. W. (2008). A comparison of actuarial financial scenario generators. Variance, 2(1), 111-134. American Academy of Actuaries’ Life Capital Adequacy Subcommitee (2005). Recommended approach for setting regulatory risk-based capital requirements for variable annuities and similar products. Washington, DC: American Academy of Actuaries. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637-654. Black, F., Derman, E., & Toy, W. (1990). A one-factor model of interest rates and its application to treasury bond options. Financial Analysts Journal, 46(1), 33-39. Božović, M. (2021). Uncovered interest-rate parity and risk premium: Evidence from EUR/RSD exchange rate. Eastern European Economics, 59(3), 271-294. Chen, W. D. (2020). Liquidity, covered interest rate parity, and zero lower bound in Japan’s foreign exchange markets. International Review of Economics and Finance, 69, 334-349. Choi, Y. & Yoon,Y. (2022). On hedge parameters of currency options. International Journal of Business, 27(1), 1-18. Christensen, J. H. E., Diebold, F. X., & Rudebusch, G. D. (2011). The affine arbitrage-free class of Nelson-Siegal term structure models. Journal of Econometrics, 164, 4-20. Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica, 53(8), 385-407. Diebold, F. X., & Li, C. (2006). Forecasting the term structure of government bond yields. Journal of Econometrics, 130, 337-364. European Insurance and Occupational Pensions Authority (2022). Technical documentation of the methodology to derive EIOPA’s risk-free interest rate term structures (EIOPA-BoS-22-409). Frankfort: European Insurance and Occupational Pensions Authority. Francesco, M. D., & Simonlla, R. (2023). A stochastic asset liability management model for life insurance companies. Financial Markets and Portfolio Management, 37(1), 61-94. Grabbe, J. O. (1983). The pricing of call and put options on foreign exchange. Journal of International Money and Finance, 2(3), 239-253. Hardy, M. R. (2001). A regime-switching model of long-term stock returns. North American Actuarial Journal, 5(2), 41-53. Hillard, J. E., Madura, J. M., & Tucker, A. L. (1991). Currency option pricing with stochastic domestic and foreign rates. Journal of Financial and Quantitative Analysis, 26(2), 139-151. Ho, T. S. Y., & Lee, S. B. (1986). Term structure movements and pricing interest rate contigent claims. Journal of Finance, 41(5), 1011-1029. Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592. International Association of Insurance Supervisors (2020). Level 2 document: ICS version 2.0 for the monitoring period. Basel: International Association of Insurance Supervisors. Lee, H., Choi, H. S., & Ha, H. (2020). A sharing mechanism of investment outcome for interest-sensitive life insurance products. North American Journal of Economics and Finance, 54, 101237. Merton, R. C. (1973). Theory of rational option pricing. Bell Journal of Economics and Management Science, 4(1), 141-183. Nelson, C. R., & Siegel, A. F. (1987). Parsimonious modeling of yield curves. Journal of Businesses, 60(4), 473-489. Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177-188. Wilkie, A. D. (1986). A stochastic investment model for actuarial use. Transactions of the Faculty of Actuaries, 39, 341-403. Wilkie, A.D. (1995). More on a stochastic asset model for actuarial use. British Actuarial Journal, 1(5), 777-964. Willmott, C. J., & Matsuura, K. (2005). Advantages of the mean absolute error (MAE) over the root mean square error (RMSE) in assessing average model performance. Climate Research, 30(1), 79–82. 中華民國精算學會（2022）。人壽保險業利率變動型壽險精算實務處理準則。臺北市：中華民國精算學會。 中華民國精算學會（2024）。IFRS 17精算實務處理準則（112年版草案）。臺北市：中華民國精算學會。 黃泓智、李永琮（2008）。利變型保單之風險管理：宣告利率與投資決策。保險專刊，24(1)，1-28。
描述 碩士
國立政治大學
風險管理與保險學系
111358026
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111358026
資料類型 thesis
dc.contributor.advisor 楊曉文<br>黃泓智zh_TW
dc.contributor.advisor Yang, Sharon<br>Huang, Hong-Chihen_US
dc.contributor.author (Authors) 陳敍嘉zh_TW
dc.contributor.author (Authors) Chen, Hsu-Jiaen_US
dc.creator (作者) 陳敍嘉zh_TW
dc.creator (作者) Chen, Hsu-Jiaen_US
dc.date (日期) 2024en_US
dc.date.accessioned 5-Aug-2024 14:03:05 (UTC+8)-
dc.date.available 5-Aug-2024 14:03:05 (UTC+8)-
dc.date.issued (上傳時間) 5-Aug-2024 14:03:05 (UTC+8)-
dc.identifier (Other Identifiers) G0111358026en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152790-
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) 111358026zh_TW
dc.description.abstract (摘要) 我國保險業自2018年已開始實施IFRS 9，並將於2026年起接軌IFRS 17，使得資產與負債皆會反映現時資訊。有鑑於此，本研究欲探討保險公司在施行國際會計新制之下的資產負債管理，以利變型終身壽險為例，並比較保險公司在不同投資標的及資產分類對其財務表現的影響程度。為提高公允價值估算的準確性，本研究使用市價衡量（mark-to-market）之債券評價模型，以Nelson and Siegal（1987）之架構，搭配Diebold and Li（2006）及Christensen, Diebold and Rudebusch（2011）之研究建立模型，避免長期預測所產生的偏誤。本研究討論三種投資策略：AC、FVOCI及FVTPL，研究結果顯示，若保險公司未行使OCI選擇權，投資在信用評等較差的公司債將可帶來較高的獲利能力；當保險公司採取含有FVTPL之策略時，獲利能力相對較佳，惟應注意其較高的風險。若公司行使OCI選擇權，將有助於提高整體財務表現並降低風險。本研究的分析結果可作為壽險業在資產配置時參考使用，在未來進行資產重分類時，應注意資產負債管理之有效性，以兼顧獲利及風險控管能力。zh_TW
dc.description.abstract (摘要) The insurance industry has implemented IFRS 9 since 2018 and would adopt IFRS 17 starting in 2026 in Taiwan, ensuring that both assets and liabilities reflect current information. In view of this, this study aims to explore the asset-liability management of insurance companies under the new international accounting standards, using interest-sensitive life insurance as an example. It compares the impact of different investment instruments and asset classifications on the financial performance. To enhance the accuracy of fair value estimation, this study proposes a mark-to-market bond valuation model based on the framework of Nelson and Siegal (1987), Diebold and Li (2006), and Christensen, Diebold and Rudebusch (2011). This study discusses three investment strategies: AC, FVOCI and FVTPL. The results indicate that if insurance companies do not exercise the OCI option, investing in lower-rated corporate bonds can lead to higher profitability. Also, adopting strategies involving FVTPL tend to have better profitability but should be aware of the higher risks. Additionally, exercising the OCI option could help improve financial performance and reduce risks. Overall, the study could provide recommendations for asset allocation in life insurance industry. When undertaking asset reclassification in the future, insurers should pay attention to the effectiveness of asset-liability management to balance profitability and risk control.en_US
dc.description.tableofcontents 謝辭 i 摘要 ii ABSTRACT iii 目錄 iv 表目錄 vi 圖目錄 vii 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 7 第三節 研究貢獻 8 第四節 研究架構 9 第二章 IFRS 9與IFRS 17之介紹 10 第一節 利變型商品與IFRS 17 10 第二節 IFRS 9之金融資產分類 19 第三章 文獻回顧 21 第一節 多資產模型 21 第二節 固定收益資產模型 23 第四章 研究方法 26 第一節 資產評價模型 26 第二節 保險負債評價模型 29 第三節 損益表之組成 34 第五章 數值結果分析 38 第一節 資料來源 38 第二節 配適結果 41 第三節 數值結果 44 第六章 結論 57 參考文獻 58 附錄 61zh_TW
dc.format.extent 3034882 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111358026en_US
dc.subject (關鍵詞) IFRS 17zh_TW
dc.subject (關鍵詞) IFRS 9zh_TW
dc.subject (關鍵詞) 利變型商品zh_TW
dc.subject (關鍵詞) 固定收益資產zh_TW
dc.subject (關鍵詞) 資產負債管理zh_TW
dc.subject (關鍵詞) IFRS 17en_US
dc.subject (關鍵詞) IFRS 9en_US
dc.subject (關鍵詞) Interest-Sensitive Insurance Policyen_US
dc.subject (關鍵詞) Fixed Income Investmenten_US
dc.subject (關鍵詞) Asset-Liability Managementen_US
dc.title (題名) 固定收益資產之評價在利變型商品適用資產負債公允價值衡量之探討：IFRS 9及 IFRS 17zh_TW
dc.title (題名) The Study of Fixed Income Investment Valuation for Asset-Liability Fair Value Measurement in Interest-Sensitive Insurance Policy under IFRS 9 and IFRS 17en_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Ahlgrim , K. C., Arcy , S. P., & Gorvett , R. W. (2008). A comparison of actuarial financial scenario generators. Variance, 2(1), 111-134. American Academy of Actuaries’ Life Capital Adequacy Subcommitee (2005). Recommended approach for setting regulatory risk-based capital requirements for variable annuities and similar products. Washington, DC: American Academy of Actuaries. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637-654. Black, F., Derman, E., & Toy, W. (1990). A one-factor model of interest rates and its application to treasury bond options. Financial Analysts Journal, 46(1), 33-39. Božović, M. (2021). Uncovered interest-rate parity and risk premium: Evidence from EUR/RSD exchange rate. Eastern European Economics, 59(3), 271-294. Chen, W. D. (2020). Liquidity, covered interest rate parity, and zero lower bound in Japan’s foreign exchange markets. International Review of Economics and Finance, 69, 334-349. Choi, Y. & Yoon,Y. (2022). On hedge parameters of currency options. International Journal of Business, 27(1), 1-18. Christensen, J. H. E., Diebold, F. X., & Rudebusch, G. D. (2011). The affine arbitrage-free class of Nelson-Siegal term structure models. Journal of Econometrics, 164, 4-20. Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica, 53(8), 385-407. Diebold, F. X., & Li, C. (2006). Forecasting the term structure of government bond yields. Journal of Econometrics, 130, 337-364. European Insurance and Occupational Pensions Authority (2022). Technical documentation of the methodology to derive EIOPA’s risk-free interest rate term structures (EIOPA-BoS-22-409). Frankfort: European Insurance and Occupational Pensions Authority. Francesco, M. D., & Simonlla, R. (2023). A stochastic asset liability management model for life insurance companies. Financial Markets and Portfolio Management, 37(1), 61-94. Grabbe, J. O. (1983). The pricing of call and put options on foreign exchange. Journal of International Money and Finance, 2(3), 239-253. Hardy, M. R. (2001). A regime-switching model of long-term stock returns. North American Actuarial Journal, 5(2), 41-53. Hillard, J. E., Madura, J. M., & Tucker, A. L. (1991). Currency option pricing with stochastic domestic and foreign rates. Journal of Financial and Quantitative Analysis, 26(2), 139-151. Ho, T. S. Y., & Lee, S. B. (1986). Term structure movements and pricing interest rate contigent claims. Journal of Finance, 41(5), 1011-1029. Hull, J., & White, A. (1990). Pricing interest-rate-derivative securities. Review of Financial Studies, 3(4), 573-592. International Association of Insurance Supervisors (2020). Level 2 document: ICS version 2.0 for the monitoring period. Basel: International Association of Insurance Supervisors. Lee, H., Choi, H. S., & Ha, H. (2020). A sharing mechanism of investment outcome for interest-sensitive life insurance products. North American Journal of Economics and Finance, 54, 101237. Merton, R. C. (1973). Theory of rational option pricing. Bell Journal of Economics and Management Science, 4(1), 141-183. Nelson, C. R., & Siegel, A. F. (1987). Parsimonious modeling of yield curves. Journal of Businesses, 60(4), 473-489. Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics, 5(2), 177-188. Wilkie, A. D. (1986). A stochastic investment model for actuarial use. Transactions of the Faculty of Actuaries, 39, 341-403. Wilkie, A.D. (1995). More on a stochastic asset model for actuarial use. British Actuarial Journal, 1(5), 777-964. Willmott, C. J., & Matsuura, K. (2005). Advantages of the mean absolute error (MAE) over the root mean square error (RMSE) in assessing average model performance. Climate Research, 30(1), 79–82. 中華民國精算學會（2022）。人壽保險業利率變動型壽險精算實務處理準則。臺北市：中華民國精算學會。 中華民國精算學會（2024）。IFRS 17精算實務處理準則（112年版草案）。臺北市：中華民國精算學會。 黃泓智、李永琮（2008）。利變型保單之風險管理：宣告利率與投資決策。保險專刊，24(1)，1-28。zh_TW