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題名 台灣壽險業風險資本制度與財務槓桿之比較分析
An Analysis of Risk-Based Capital Supervision and Financial Leverage in Taiwan Life Insurance Industry
作者 邱雲淯
Chiu, Yun-Yu
貢獻者 張士傑<br>曾毓英
Chang, Shih-Chieh<br>Tzeng, Yu-Ying
邱雲淯
Chiu, Yun-Yu
關鍵詞 保單持有人
清償能力
預期效用
資產負債
監理干預
Policyholder
Solvency
Expected utility
Assets and liabilities
Regulatory intervention
日期 2024
上傳時間 5-Aug-2024 14:03:28 (UTC+8)
摘要 台灣金融監督管理委員會於2020年公布推動保險業新一代清償能力制度相關時程，將於2026年正式實施保險資本標準（Insurance Capital Standards, ICS）。此制度與台灣保險業現行資本監理制度—風險資本額制度（Risk Based Capital, RBC）於資產負債評價方法、自有資本認列、風險資本衡量方式皆與現行RBC制度有所差異。我國金管會避免壽險業者因接軌新制資本監理制度及會計制度受到過大衝擊，針對TW-ICS進行三階段在地化調整及過渡性措施，本研究進行整理並提出根據保險業實務作業結果可進行之在地化及過渡措施建議。 本研究利用監理干預效用模型分析在不同監理干預措施下對壽險公司資產配置與保單持有人效用之影響，其中監理干預措施包含要求增資及降低風險性資產。研究結果如下：(1) 加入國外債券且監理干預措施包含要求增資及降低風險性投資的情境下，保單持有人之效用將提升最多。(2) 監理嚴格程度越高、保單持有人風險趨避係數越高及保險公司負債占資產比越高使保單持有人效用降低。(3) 股票年化報酬率越高、保險合約年期越長、國外無風險利率越高使保單持有人效用增加。
In 2020, the Financial Supervisory Commission (FSC) of Taiwan announced the timeline for implementing the new generation solvency regime for the insurance industry, with the Insurance Capital Standards (ICS) set to be officially implemented in 2026. The ICS differs from Taiwan's current capital supervisory system, the Risk-Based Capital (RBC) regime, in terms of asset and liability valuation methods, recognition of own capital, and risk capital measurement. This study compiles the measures taken by Taiwan's FSC to mitigate the impact on life insurers as they transition to the new capital supervisory and accounting systems. Specifically, it outlines the three-phase localization adjustments and transitional measures for the TW-ICS. The study also proposes further localization and transitional measures based on practical operations within the insurance industry. This study uses a supervisory intervention utility model to analyze the impact of different supervisory intervention measures on the asset allocation of life insurance companies and policyholder utility. The supervisory intervention measures include requirements for capital increases and reductions in risky assets. The findings are as follows: (1)The scenario involving foreign bonds and supervisory intervention measures requiring capital increases and reductions in risky investments yields the highest increase in policyholder utility. (2) Higher supervisory strictness, higher policyholder risk aversion coefficients, and a higher ratio of liabilities to assets in insurance companies result in lower policyholder utility. (3) Higher annualized stock returns, longer insurance contract terms, and higher foreign risk-free interest rates lead to increased policyholder utility.
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。 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。 政府資料開放平臺，普通債發行資料下載，擷取自https://data.gov.tw/dataset/11405，最後瀏覽日期：2024年5月30日。 財團法人保險事業發展中心，保險財務業務統計，擷取自 https://www.tii.org.tw/tii/information/information1/，最後瀏覽日期：2024年5月14日。 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. 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. Chang, S.C., Tu, C.Y. (2022). Optimal Insurance Solvency Regulatory Schemes under the Early Warning System. Bank of Taiwan Quarterly, 73(4), 18-38. 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 & 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. (2020). Level 2 Document for ICS Version 2.0 for the monitoring period. 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. Jørgensen, L.P. (2007). Traffic light options. Journal of Banking and Finance, pp. 3698-3719. 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. 韓國金融監督服務局(FSS)，2023，新지급여력제도(K-ICS) 경과조치 신고 접수，擷取自 https://www.fss.or.kr/fss/bbs/B0000188/view.do?nttId=58298&menuNo=200218 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，擷取自 https://www.fss.or.kr/fss/cmmn/file/fileDown.do?menuNo=200424&atchFileId=7c92b6b415034359940b3320cad6dbb9&fileSn=1
描述 碩士
國立政治大學
風險管理與保險學系
111358029
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111358029
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) 邱雲淯zh_TW
dc.contributor.author (Authors) Chiu, Yun-Yuen_US
dc.creator (作者) 邱雲淯zh_TW
dc.creator (作者) Chiu, Yun-Yuen_US
dc.date (日期) 2024en_US
dc.date.accessioned 5-Aug-2024 14:03:28 (UTC+8)-
dc.date.available 5-Aug-2024 14:03:28 (UTC+8)-
dc.date.issued (上傳時間) 5-Aug-2024 14:03:28 (UTC+8)-
dc.identifier (Other Identifiers) G0111358029en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152792-
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) 111358029zh_TW
dc.description.abstract (摘要) 台灣金融監督管理委員會於2020年公布推動保險業新一代清償能力制度相關時程，將於2026年正式實施保險資本標準（Insurance Capital Standards, ICS）。此制度與台灣保險業現行資本監理制度—風險資本額制度（Risk Based Capital, RBC）於資產負債評價方法、自有資本認列、風險資本衡量方式皆與現行RBC制度有所差異。我國金管會避免壽險業者因接軌新制資本監理制度及會計制度受到過大衝擊，針對TW-ICS進行三階段在地化調整及過渡性措施，本研究進行整理並提出根據保險業實務作業結果可進行之在地化及過渡措施建議。 本研究利用監理干預效用模型分析在不同監理干預措施下對壽險公司資產配置與保單持有人效用之影響，其中監理干預措施包含要求增資及降低風險性資產。研究結果如下：(1) 加入國外債券且監理干預措施包含要求增資及降低風險性投資的情境下，保單持有人之效用將提升最多。(2) 監理嚴格程度越高、保單持有人風險趨避係數越高及保險公司負債占資產比越高使保單持有人效用降低。(3) 股票年化報酬率越高、保險合約年期越長、國外無風險利率越高使保單持有人效用增加。zh_TW
dc.description.abstract (摘要) In 2020, the Financial Supervisory Commission (FSC) of Taiwan announced the timeline for implementing the new generation solvency regime for the insurance industry, with the Insurance Capital Standards (ICS) set to be officially implemented in 2026. The ICS differs from Taiwan's current capital supervisory system, the Risk-Based Capital (RBC) regime, in terms of asset and liability valuation methods, recognition of own capital, and risk capital measurement. This study compiles the measures taken by Taiwan's FSC to mitigate the impact on life insurers as they transition to the new capital supervisory and accounting systems. Specifically, it outlines the three-phase localization adjustments and transitional measures for the TW-ICS. The study also proposes further localization and transitional measures based on practical operations within the insurance industry. This study uses a supervisory intervention utility model to analyze the impact of different supervisory intervention measures on the asset allocation of life insurance companies and policyholder utility. The supervisory intervention measures include requirements for capital increases and reductions in risky assets. The findings are as follows: (1)The scenario involving foreign bonds and supervisory intervention measures requiring capital increases and reductions in risky investments yields the highest increase in policyholder utility. (2) Higher supervisory strictness, higher policyholder risk aversion coefficients, and a higher ratio of liabilities to assets in insurance companies result in lower policyholder utility. (3) Higher annualized stock returns, longer insurance contract terms, and higher foreign risk-free interest rates lead to increased policyholder utility.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　9 　第一節 台灣新一代清償能力制度　9 　第二節 實施ICS對台灣壽險業的影響　17 　第三節 在地化及過渡措施建議　22 第三章 模型架構　29 　第一節 壽險公司資產負債結構　29 　第二節 監理干預之效用　31 第四章 數值分析　41 　第一節 實證與結果　42 　第二節 敏感度分析　45 第五章 結論與建議　48 參考文獻　50zh_TW
dc.format.extent 2324579 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111358029en_US
dc.subject (關鍵詞) 保單持有人zh_TW
dc.subject (關鍵詞) 清償能力zh_TW
dc.subject (關鍵詞) 預期效用zh_TW
dc.subject (關鍵詞) 資產負債zh_TW
dc.subject (關鍵詞) 監理干預zh_TW
dc.subject (關鍵詞) Policyholderen_US
dc.subject (關鍵詞) Solvencyen_US
dc.subject (關鍵詞) Expected utilityen_US
dc.subject (關鍵詞) Assets and liabilitiesen_US
dc.subject (關鍵詞) Regulatory interventionen_US
dc.title (題名) 台灣壽險業風險資本制度與財務槓桿之比較分析zh_TW
dc.title (題名) An Analysis of Risk-Based Capital Supervision and Financial Leverage in 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。 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。 政府資料開放平臺，普通債發行資料下載，擷取自https://data.gov.tw/dataset/11405，最後瀏覽日期：2024年5月30日。 財團法人保險事業發展中心，保險財務業務統計，擷取自 https://www.tii.org.tw/tii/information/information1/，最後瀏覽日期：2024年5月14日。 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. 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. Chang, S.C., Tu, C.Y. (2022). Optimal Insurance Solvency Regulatory Schemes under the Early Warning System. Bank of Taiwan Quarterly, 73(4), 18-38. 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 & 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. (2020). Level 2 Document for ICS Version 2.0 for the monitoring period. 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. Jørgensen, L.P. (2007). Traffic light options. Journal of Banking and Finance, pp. 3698-3719. 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. 韓國金融監督服務局(FSS)，2023，新지급여력제도(K-ICS) 경과조치 신고 접수，擷取自 https://www.fss.or.kr/fss/bbs/B0000188/view.do?nttId=58298&menuNo=200218 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，擷取自 https://www.fss.or.kr/fss/cmmn/file/fileDown.do?menuNo=200424&atchFileId=7c92b6b415034359940b3320cad6dbb9&fileSn=1zh_TW