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題名 台灣壽險公司資本適足率分析-以Solvency II QIS5原則計算
A study on the solvency capital requirements of the life insurance companies in Taiwan-estimated in Solcency II QIS5 principles
作者 林正國
Lin, Cheng Kuo
貢獻者 蔡政憲
Tsai, Cheng Hsien
林正國
Lin, Cheng Kuo
關鍵詞 Solvency II
第5次量化衝擊研究
清償資本要求SCR
準備金公平價值
Solvency II
QIS5
Solvency Capital Requirement
Fair Value of Technical Provisions
日期 2010
上傳時間 4-Sep-2013 14:58:59 (UTC+8)
摘要 歐盟保險業新監理架構Solvency II 於第5 次量化衝擊研究完成後計畫將在近年正式施行，我國保險業監理制度是否朝採用Solvency II 架構的方向前進仍未為定論，但必頇先行瞭解採行此制度可能對業界造成的影響。
本研究以2010 年8 月時CEIOPS 對Solvency II 所進行的第5 次量化衝擊研究QIS5 設立的標準與原則，對公司的資產與負債做假設後，以公帄價值法衡量壽險公司各部位資產位與負債，包括準備金的公帄價值衡量，並利用QIS5 所提供之計算工具標準法計算四家台灣壽險公司在2009 年底時的清償資本要求SCR。而QIS5 是在金融風暴後不久，當時環境使得利率極低，為了估算在利率環境較正常的情況下，本研究以2007 年底之利率做敏感度分析，重新計算各公司之資產與負債狀況與清償資本要求SCR。
研究結果發現在本研究假設下，負債面的準備金提存不足，保險公司以經濟
資本角度來衡量已經屬於破產狀態。投資型分離帳戶以外的準備金計算與目前準備金計提的方式除了頇以公帄價值衡量保險責任的最佳估計外，另外需要計提風險邊際，此數額約為最佳估計總額的12.4%至30.2%，保險公司自有資本不足有很大的因素是由於此部分準備金的計提。
也發現所計算出的SCR 中所最大的比率為利率風險或匯率風險，在假設以較
高利率環境做敏感度分析後發現壽險公司淨值仍然為負數，且所需要的SCR 與之前所得結果相差不大，顯示壽險公司負債部位對利率敏感度相當高，即使曝險部位變少，對於未來的利率變動仍需要準備相當大的資本以防範虧損。
After the completion of the Fifth Quantitative Impact Study (QIS5) for the new insurance industrial regulation framework- Solvency II, European Union planned to implement the project in few years. No matter that the regulatory system of insurance industry in Taiwan will follow the trend or will not, it is a must that we should estimate the impacts on the whole industry before making the decisions.
This study have an aim to estimate the Solvency Capital Requirements of 4 life insurance companies in Taiwan in the same principles with QIS5, which were took place in August 2010 by CEIOPS. In order to calculate the SCR, we made a lot of hypotheses and then estimated the fair value of the company assets and liabilities, including the fair value of technical provision. By means of the calculating helpers provided by CEIOPS used in QIS5, we found out the SCRs of these companies when they were on 31 December 2009. Then we performed the sensitivity analysis by the different interest rate which is based on the data on 31 December 2007, and recalculated the SCRs of the companies.
This study had conclusions that the technical provisions were not sufficient to fulfill the obligations in aspect of the economic value. The surplus of companies were exhausted, because the technical provisions increased by fair valuation. Also, the heavy loadings of risk margins as 12.4% to 30.2% of the best estimates were the important reason of the negative own fund.
We found that the capital requirements of interest risk and currency risk took great percentages of total SCRs. And the SCRs will not reduce in great amount caused by technical provisions reduced in the situation that interest rate come back to the level in 2007. It showed that the SCRs had great sensitivity to the interest risk and insurance companies should prepare sufficient own fund to prevent financial crisis caused by interest rate shock.
參考文獻 Cairn, A.J.G., Blake, D., and Dowd, K. (2006a). Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk. ASTIN Bulletin, 36(1), 79-120.

Cairn, A.J.G., Blake, D., and Dowd, K. (2006b). A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration. Journal of Risk and Insurance, 73(4), 687-718.

CEIOPS. (2010). QIS5 Technical Specifications. https://eiopa.europa.eu/consultations/qis/quantitative-impact-study-5/technical-specifications/index.html

Ho, Thomas S. Y. and Lee, Sang-Bin. (1986). Term Structure Movements and Pricing Interest Rate Contingent Claims. Journal of Finance, 41(5), 1011-1029.

李佳穆(2008)。附保證商品在Solvency II的資本評價。未出版之碩士論文，國立政治大學風險管理與保險學系，台北市。

呂宏恩(2009)。Solvency II架構下壽險準備金公平價值之探討。未出版之碩士論文，銘傳大學風險管理與保險學系，台北市。

李佩鏵(2010)。Solvency II架構下長壽風險對於年金保險商品資本需求探討。未出版之碩士論文，東吳大學財務工程與精算數學系，台北市。

邱齡瑩(2007)。歐盟保險監理制度－Solvency II之制度與發展及對我國壽險業之影響。未出版之碩士論文，東吳大學會計學系，台北市。

黃冠菱(2010)。Solvency II對壽險業風險資本要求內涵研究。未出版之碩士論文，東吳大學財務工程與精算數學系，台北市。

鄒治華(2002)。壽險保單之存續期間分析。未出版之碩士論文，國立政治大學經營管理碩士學程，台北市。

譚雅蓁(2009)。保險業清償能力制度之探討－以歐盟Solvency II為例。未出版之碩士論文，國立政治大學風險管理與保險學系，台北市。

蘇冠榮(2009)。從AIG集團金融危機案例檢視SOLVENCY II清償能力制度。未出版之碩士論文，逢甲大學精算與統計研究所，台中市。
描述 碩士
國立政治大學
風險管理與保險研究所
95358016
99
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0095358016
資料類型 thesis
dc.contributor.advisor 蔡政憲zh_TW
dc.contributor.advisor Tsai, Cheng Hsienen_US
dc.contributor.author (Authors) 林正國zh_TW
dc.contributor.author (Authors) Lin, Cheng Kuoen_US
dc.creator (作者) 林正國zh_TW
dc.creator (作者) Lin, Cheng Kuoen_US
dc.date (日期) 2010en_US
dc.date.accessioned 4-Sep-2013 14:58:59 (UTC+8)-
dc.date.available 4-Sep-2013 14:58:59 (UTC+8)-
dc.date.issued (上傳時間) 4-Sep-2013 14:58:59 (UTC+8)-
dc.identifier (Other Identifiers) G0095358016en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60037-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 風險管理與保險研究所zh_TW
dc.description (描述) 95358016zh_TW
dc.description (描述) 99zh_TW
dc.description.abstract (摘要) 歐盟保險業新監理架構Solvency II 於第5 次量化衝擊研究完成後計畫將在近年正式施行，我國保險業監理制度是否朝採用Solvency II 架構的方向前進仍未為定論，但必頇先行瞭解採行此制度可能對業界造成的影響。
本研究以2010 年8 月時CEIOPS 對Solvency II 所進行的第5 次量化衝擊研究QIS5 設立的標準與原則，對公司的資產與負債做假設後，以公帄價值法衡量壽險公司各部位資產位與負債，包括準備金的公帄價值衡量，並利用QIS5 所提供之計算工具標準法計算四家台灣壽險公司在2009 年底時的清償資本要求SCR。而QIS5 是在金融風暴後不久，當時環境使得利率極低，為了估算在利率環境較正常的情況下，本研究以2007 年底之利率做敏感度分析，重新計算各公司之資產與負債狀況與清償資本要求SCR。
研究結果發現在本研究假設下，負債面的準備金提存不足，保險公司以經濟
資本角度來衡量已經屬於破產狀態。投資型分離帳戶以外的準備金計算與目前準備金計提的方式除了頇以公帄價值衡量保險責任的最佳估計外，另外需要計提風險邊際，此數額約為最佳估計總額的12.4%至30.2%，保險公司自有資本不足有很大的因素是由於此部分準備金的計提。
也發現所計算出的SCR 中所最大的比率為利率風險或匯率風險，在假設以較
高利率環境做敏感度分析後發現壽險公司淨值仍然為負數，且所需要的SCR 與之前所得結果相差不大，顯示壽險公司負債部位對利率敏感度相當高，即使曝險部位變少，對於未來的利率變動仍需要準備相當大的資本以防範虧損。		zh_TW
dc.description.abstract (摘要) After the completion of the Fifth Quantitative Impact Study (QIS5) for the new insurance industrial regulation framework- Solvency II, European Union planned to implement the project in few years. No matter that the regulatory system of insurance industry in Taiwan will follow the trend or will not, it is a must that we should estimate the impacts on the whole industry before making the decisions.
This study have an aim to estimate the Solvency Capital Requirements of 4 life insurance companies in Taiwan in the same principles with QIS5, which were took place in August 2010 by CEIOPS. In order to calculate the SCR, we made a lot of hypotheses and then estimated the fair value of the company assets and liabilities, including the fair value of technical provision. By means of the calculating helpers provided by CEIOPS used in QIS5, we found out the SCRs of these companies when they were on 31 December 2009. Then we performed the sensitivity analysis by the different interest rate which is based on the data on 31 December 2007, and recalculated the SCRs of the companies.
This study had conclusions that the technical provisions were not sufficient to fulfill the obligations in aspect of the economic value. The surplus of companies were exhausted, because the technical provisions increased by fair valuation. Also, the heavy loadings of risk margins as 12.4% to 30.2% of the best estimates were the important reason of the negative own fund.
We found that the capital requirements of interest risk and currency risk took great percentages of total SCRs. And the SCRs will not reduce in great amount caused by technical provisions reduced in the situation that interest rate come back to the level in 2007. It showed that the SCRs had great sensitivity to the interest risk and insurance companies should prepare sufficient own fund to prevent financial crisis caused by interest rate shock.		en_US
dc.description.tableofcontents 1. 緒論 .................................................................................................................................. 1
1.1. 研究背景 ...................................................................................................................... 1
1.2. 研究動機與目的 ........................................................................................................... 4
1.3. 文獻回顧 ...................................................................................................................... 4
1.4. 研究貢獻 ...................................................................................................................... 6
2. SOLVENCY II QIS5 之計算 .................................................................................................. 9
2.1. QIS5 資產負債表 – 資產 ............................................................................................ 10
2.1.1. 商譽(Goodwill) ................................................................................................... 10
2.1.2. 其餘無形資產(Other Intangible Assets) ............................................................. 11
2.1.3. 自用固定資產與設備(Property, Plant & Equipment Held for Own Use) ............. 11
2.1.4. 投資(Investments) .............................................................................................. 12
2.1.5. 投資型商品投資基金資產(Assets Held for Unit-linked Funds) ........................... 17
2.1.6. 放款(Mortgages and Loans Made) ..................................................................... 17
2.1.7. 再保險攤回賠款與給付(Reinsurance Recoverables) ......................................... 20
2.1.8. 其他項目 ........................................................................................................... 21
2.2. QIS5 資產負債表 – 負債 ............................................................................................ 22
2.2.1. 準備金 ............................................................................................................... 23
2.2.2. 產險計算基礎之健康險準備金(TPs- Health/ Similar to Non-life) ...................... 25
2.2.3. 壽險計算基礎之健康險準備金(TPs- Health/ Similar to Life) ............................. 26
2.2.4. 壽險保險準備金( TPs - Life/ Excluding Health and Unit-linked).......................... 26
2.2.5. 投資型保險準備金(Technical Provisions / Unit-linked Funds) ............................ 35
2.2.6. 其他項目 ........................................................................................................... 35
2.3. QIS5 資產負債表 – 自有資本 .................................................................................... 37
2.3.1. 普通股股本(Ordinary Share Capital) .................................................................. 39
2.3.2. 股票溢價(Share Premium Account) .................................................................... 39
2.3.3. 保留盈餘(Retained Earnings) ............................................................................. 39
2.3.4. 其他 ................................................................................................................... 39
2.4. 資產工作表(ASSET TAB) ................................................................................................ 40
2.4.1. 資產工作表內容介紹 ........................................................................................ 40
2.4.2. 債券部位存續期間估計法 ................................................................................ 42
2.5. 其他工作表 ................................................................................................................. 45
2.5.1. 自有資本項目(Own Funds Items Details Tab) .................................................... 45
2.5.2. 現在狀況(Current Situation Tab) ........................................................................ 45
2.5.3. 保費(Premium Tab) ............................................................................................ 46
2.5.4. QIS5 保險責任(QIS5 Insurance Obligation Tab) .................................................. 46
2.6. 計算資本要求 ............................................................................................................. 48
2.6.1. 清償資本要求(Solvency Capital Requirement) ................................................... 48
2.6.2. 作業風險(Operational Risk) ............................................................................... 51
2.6.3. 市場風險 ........................................................................................................... 52
2.6.4. 違約風險(Counterparty Default Risk) ................................................................. 58
2.6.5. 壽險承保風險(Life Underwriting Risk) ............................................................... 59
2.6.6. 健康險承保風險(Health Underwriting Risk) ...................................................... 61
2.6.7. 邊際資本要求(Minimum Capital Requirement) ................................................. 62
3. 研究結果 ......................................................................................................................... 63
3.1. 研究對象介紹 ............................................................................................................. 63
3.2. 研究結果 .................................................................................................................... 63
3.2.1. A 人壽 ................................................................................................................ 63
3.2.2. B 人壽 ................................................................................................................ 72
3.2.3. C 人壽 ................................................................................................................ 77
3.2.4. D 人壽 ................................................................................................................ 82
3.3. 利率調整計算結果 ..................................................................................................... 87
3.3.1. A 人壽 ................................................................................................................ 89
3.3.2. B 人壽 ................................................................................................................ 92
3.3.3. C 人壽 ................................................................................................................ 95
3.3.4. D 人壽 ................................................................................................................ 98
4. 結論與建議 ................................................................................................................... 101
4.1. 結論 .......................................................................................................................... 101
4.2. 研究限制 .................................................................................................................. 104
4.3. 未來研究方向與建議 ............................................................................................... 104
5. 參考文獻 ....................................................................................................................... 107
6. 附錄 ............................................................................................................................... 109
A.定期壽險基本精算假設 .................................................................................................... 109
B.生死合險基本精算假設 .................................................................................................... 110
C.終身壽險基本精算假設 .................................................................................................... 111
D.遞延年金險基本精算假設 ................................................................................................ 114
E.利率期間結構 ................................................................................................................... 117		zh_TW
dc.format.extent 2285995 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0095358016en_US
dc.subject (關鍵詞) Solvency IIzh_TW
dc.subject (關鍵詞) 第5次量化衝擊研究zh_TW
dc.subject (關鍵詞) 清償資本要求SCRzh_TW
dc.subject (關鍵詞) 準備金公平價值zh_TW
dc.subject (關鍵詞) Solvency IIen_US
dc.subject (關鍵詞) QIS5en_US
dc.subject (關鍵詞) Solvency Capital Requirementen_US
dc.subject (關鍵詞) Fair Value of Technical Provisionsen_US
dc.title (題名) 台灣壽險公司資本適足率分析-以Solvency II QIS5原則計算zh_TW
dc.title (題名) A study on the solvency capital requirements of the life insurance companies in Taiwan-estimated in Solcency II QIS5 principlesen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Cairn, A.J.G., Blake, D., and Dowd, K. (2006a). Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk. ASTIN Bulletin, 36(1), 79-120.

Cairn, A.J.G., Blake, D., and Dowd, K. (2006b). A Two-Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration. Journal of Risk and Insurance, 73(4), 687-718.

CEIOPS. (2010). QIS5 Technical Specifications. https://eiopa.europa.eu/consultations/qis/quantitative-impact-study-5/technical-specifications/index.html

Ho, Thomas S. Y. and Lee, Sang-Bin. (1986). Term Structure Movements and Pricing Interest Rate Contingent Claims. Journal of Finance, 41(5), 1011-1029.

李佳穆(2008)。附保證商品在Solvency II的資本評價。未出版之碩士論文，國立政治大學風險管理與保險學系，台北市。

呂宏恩(2009)。Solvency II架構下壽險準備金公平價值之探討。未出版之碩士論文，銘傳大學風險管理與保險學系，台北市。

李佩鏵(2010)。Solvency II架構下長壽風險對於年金保險商品資本需求探討。未出版之碩士論文，東吳大學財務工程與精算數學系，台北市。

邱齡瑩(2007)。歐盟保險監理制度－Solvency II之制度與發展及對我國壽險業之影響。未出版之碩士論文，東吳大學會計學系，台北市。

黃冠菱(2010)。Solvency II對壽險業風險資本要求內涵研究。未出版之碩士論文，東吳大學財務工程與精算數學系，台北市。

鄒治華(2002)。壽險保單之存續期間分析。未出版之碩士論文，國立政治大學經營管理碩士學程，台北市。

譚雅蓁(2009)。保險業清償能力制度之探討－以歐盟Solvency II為例。未出版之碩士論文，國立政治大學風險管理與保險學系，台北市。

蘇冠榮(2009)。從AIG集團金融危機案例檢視SOLVENCY II清償能力制度。未出版之碩士論文，逢甲大學精算與統計研究所，台中市。		zh_TW