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題名 壽險業監理介入之最佳化效益分析
Evaluating the Optimal Impact of Regulatory Intervention on Life Insurers
作者 游世輝
Yu, Shi-Hui
貢獻者 張士傑<br>曾毓英
Chang, Shih-Chieh<br>Tzeng, Yu-Ying
游世輝
Yu, Shi-Hui
關鍵詞 預期效用模型
次順位債
監理干預
資產負債管理
資本結構
Utility-based model
Subordinated debt
Regulatory intervention
ALM
Capital structure
日期 2025
上傳時間 1-Sep-2025 16:03:55 (UTC+8)
摘要 在長期低利率環境下，台灣壽險業因高預定利率保單所帶來的財務壓力，普遍採取大規模海外投資策略，然而幣別錯配與會計評價方式差異已逐步侵蝕其財務穩健。隨著國際財務報導準則第17號（IFRS 17）與新一代清償能力制度（TW-ICS）將於2026年全面實施，壽險業資本結構與資產負債管理策略面臨重大轉型需求。 本研究運用預期效用模型，結合2019年至2025年台灣壽險市場之實證資料，納入國內外資產報酬相關性、負債結構（保單與次順位債）、風險溢酬與幣別差異，並以單位保費之確定等值報酬（certainty equivalent payoff per unit of liability，ce/L）作為最適化目標。研究亦設置違約機率之上限限制，以模擬不同監理情境對保戶效用、資產配置與違約風險之影響，並進行多項敏感度分析。 實證結果顯示：(1) 提升監理強度能顯著提升保戶效用並降低違約風險，且增資措施之效果優於單一限制風險性資產配置；(2) 次順位債之幣別設定對最適配置影響有限，關鍵仍為監理強度與投資策略；(3) 在各種公平條件設定下，嚴格監理均導致較高的 ce/L 與較低的違約機率；(4) 本國市場報酬率下滑或波動度增加將不利於保戶效用，而穩定低波動環境則可增進其利益；(5) 提高保單負債佔比可降低資金成本並提高效用，惟過高比例之次順位債則反而侵蝕保戶效用；(6) 保戶風險厭惡程度升高將壓抑高風險資產配置，而延長保險契約期間則有助於風險分散與回報穩定性。 本研究建議壽險公司應積極充實資本，並強化外幣避險與資產負債管理策略，以因應新制挑戰；同時，監理機關應兼顧資本彈性與風險控管，推動多元籌資工具與監理措施雙軌並進，以維護保戶權益與系統穩定。
Taiwan’s life insurers face rising financial pressure from legacy policies with high guaranteed interest rates amid a prolonged low interest rate environment. With IFRS 17 and the Taiwan Insurance Capital Standard (TW-ICS) set for implementation in 2026, capital structure and asset-liability management (ALM) have become critical. This study applies a utility-based model using 2019–2025 data to evaluate the effects of supervisory interventions on policyholder utility, default risk, and asset allocation. The model incorporates liability structure, risk premiums, asset correlations, and currency differences, optimizing the certainty equivalent payoff per unit of liability (ce/L) under regulatory default constraints. Results show that stricter supervision improves policyholder utility and reduces default risk, with capital injections more effective than limiting risky investments. The currency of subordinated debt has minimal impact, while regulatory strength and investment strategy are key. Stable markets and longer policy durations further enhance utility. The findings support strengthened capital, improved hedging, and balanced regulatory approaches to ensure insurer stability and policyholder protection.
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。 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。 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., Hsuan, W., Lee, Y. K., & Tzeng, Y. Y. (2024). Evaluating the Efficiency of Capital Enhancement and Investment Constraints in Life Insurance Supervision. Asia-Pacific Journal of Risk and Insurance, 18(2), 115-141. https://doi.org/10.1515/apjri-2023-0052 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 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 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
112358029
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112358029
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) 游世輝zh_TW
dc.contributor.author (Authors) Yu, Shi-Huien_US
dc.creator (作者) 游世輝zh_TW
dc.creator (作者) Yu, Shi-Huien_US
dc.date (日期) 2025en_US
dc.date.accessioned 1-Sep-2025 16:03:55 (UTC+8)-
dc.date.available 1-Sep-2025 16:03:55 (UTC+8)-
dc.date.issued (上傳時間) 1-Sep-2025 16:03:55 (UTC+8)-
dc.identifier (Other Identifiers) G0112358029en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/159237-
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) 112358029zh_TW
dc.description.abstract (摘要) 在長期低利率環境下，台灣壽險業因高預定利率保單所帶來的財務壓力，普遍採取大規模海外投資策略，然而幣別錯配與會計評價方式差異已逐步侵蝕其財務穩健。隨著國際財務報導準則第17號（IFRS 17）與新一代清償能力制度（TW-ICS）將於2026年全面實施，壽險業資本結構與資產負債管理策略面臨重大轉型需求。 本研究運用預期效用模型，結合2019年至2025年台灣壽險市場之實證資料，納入國內外資產報酬相關性、負債結構（保單與次順位債）、風險溢酬與幣別差異，並以單位保費之確定等值報酬（certainty equivalent payoff per unit of liability，ce/L）作為最適化目標。研究亦設置違約機率之上限限制，以模擬不同監理情境對保戶效用、資產配置與違約風險之影響，並進行多項敏感度分析。 實證結果顯示：(1) 提升監理強度能顯著提升保戶效用並降低違約風險，且增資措施之效果優於單一限制風險性資產配置；(2) 次順位債之幣別設定對最適配置影響有限，關鍵仍為監理強度與投資策略；(3) 在各種公平條件設定下，嚴格監理均導致較高的 ce/L 與較低的違約機率；(4) 本國市場報酬率下滑或波動度增加將不利於保戶效用，而穩定低波動環境則可增進其利益；(5) 提高保單負債佔比可降低資金成本並提高效用，惟過高比例之次順位債則反而侵蝕保戶效用；(6) 保戶風險厭惡程度升高將壓抑高風險資產配置，而延長保險契約期間則有助於風險分散與回報穩定性。 本研究建議壽險公司應積極充實資本，並強化外幣避險與資產負債管理策略，以因應新制挑戰；同時，監理機關應兼顧資本彈性與風險控管，推動多元籌資工具與監理措施雙軌並進，以維護保戶權益與系統穩定。zh_TW
dc.description.abstract (摘要) Taiwan’s life insurers face rising financial pressure from legacy policies with high guaranteed interest rates amid a prolonged low interest rate environment. With IFRS 17 and the Taiwan Insurance Capital Standard (TW-ICS) set for implementation in 2026, capital structure and asset-liability management (ALM) have become critical. This study applies a utility-based model using 2019–2025 data to evaluate the effects of supervisory interventions on policyholder utility, default risk, and asset allocation. The model incorporates liability structure, risk premiums, asset correlations, and currency differences, optimizing the certainty equivalent payoff per unit of liability (ce/L) under regulatory default constraints. Results show that stricter supervision improves policyholder utility and reduces default risk, with capital injections more effective than limiting risky investments. The currency of subordinated debt has minimal impact, while regulatory strength and investment strategy are key. Stable markets and longer policy durations further enhance utility. The findings support strengthened capital, improved hedging, and balanced regulatory approaches to ensure insurer stability and policyholder protection.en_US
dc.description.tableofcontents 摘要 i Abstract ii 目次 iii 表次 iv 圖次 v 第一章 緒論 1 第一節 研究背景與動機 1 第二節 文獻回顧 10 第二章 模型架構 13 第一節 壽險公司資本結構 13 第二節 監理干預之效用 16 第三章 數值分析 31 第一節 模型資料設定 31 第二節 實證結果 32 第三節 敏感度分析 37 第四章 結論與建議 43 參考文獻 45zh_TW
dc.format.extent 1960961 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112358029en_US
dc.subject (關鍵詞) 預期效用模型zh_TW
dc.subject (關鍵詞) 次順位債zh_TW
dc.subject (關鍵詞) 監理干預zh_TW
dc.subject (關鍵詞) 資產負債管理zh_TW
dc.subject (關鍵詞) 資本結構zh_TW
dc.subject (關鍵詞) Utility-based modelen_US
dc.subject (關鍵詞) Subordinated debten_US
dc.subject (關鍵詞) Regulatory interventionen_US
dc.subject (關鍵詞) ALMen_US
dc.subject (關鍵詞) Capital structureen_US
dc.title (題名) 壽險業監理介入之最佳化效益分析zh_TW
dc.title (題名) Evaluating the Optimal Impact of Regulatory Intervention on Life Insurersen_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。 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。 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., Hsuan, W., Lee, Y. K., & Tzeng, Y. Y. (2024). Evaluating the Efficiency of Capital Enhancement and Investment Constraints in Life Insurance Supervision. Asia-Pacific Journal of Risk and Insurance, 18(2), 115-141. https://doi.org/10.1515/apjri-2023-0052 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 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 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