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題名 會計制度對壽險公司資產負債管理之影響
The impact of international financial reporting standards on life insurance company`s asset-liability management作者 廖伯軒
Liao, Po Hsuan貢獻者 蔡政憲
廖伯軒
Liao, Po Hsuan關鍵詞 公平價值準備金
資產負債管理
國際會計準則
Fair value reserve
IFRS4
Asset liability management日期 2011 上傳時間 4-Sep-2013 15:01:22 (UTC+8) 摘要 壽險業所販賣之商品通常為長年期保單,此一商品特性使得壽險公司的責任準備金(負債)非常容易受到市場利率波動而產生變動,進而影響到公司的清償能力。因此,資產負債管理對壽險公司來說一直是非常重要的一個課題。過去的會計制度並未強制要求保險公司在財報中反應出準備金對利率的波動,資產負債管理的好處便無法在這樣的會計制度之下產生原有的作用,進而可能導致保險公司不重視這樣的管理方式。近年來保險監理的國際趨勢致力於加強準備金公平衡量以及真實揭露保險業的負債價值,因此我們可以預期在未來準備金的波動對保險公司的影響會較現在來得顯著,資產負債管理對壽險公司也應該會有較為顯著的影響。本研究採用模擬的方式,比較不同投資策略的壽險公司在不同會計制度之下的財務狀況,進而探討資產負債管理的策略是否確實能讓保險人在公平價值準備金下較不受利率波動之影響。本研究的結果顯示在公平價值準備金的架構下,採用資產負債管理的壽險公司其損益會較沒採用資產負債管理的壽險公司穩定;若是在帳面價值準備金的架構下,採用資產負債管理的公司反而因為做出了多餘的避險行為致使其損益較不穩定。另外,本研究發現若是保險公司在資產負債策略下所採用的避險指標不符合目前法規,對公司的損益也會造成不必要的波動。因此本研究認為保險公司在實行資產負債管理策略時,應該參照目前會計制度下所給定的方式來做避險,進而達到最大的效益。
Life insurers` liability value is relatively sensitive to interest rate due to the long term characteristic of the policies. The high leverage ratio strengthens the impact on how interest rate can influence solvency.. Life insurer therefore should manage their assets and liability in a prudent way. In the past, supervisory authorities used to regulate the insurer to recognize their liabilities in book value, which makes the benefits of ALM insignificant. Under such regulation, the main purpose of asset allocation for most of the life insurers was to generate higher investment return instead of matching asset with the liability, nor to maintain risk at acceptable level under book-value reserving. The international financial report standard No.4 (IFRS4) suggests that insurers should measure their liability under fair value in the future. The new regulation may increases the volatility of the life insurer`s liability and emerges the benefit of ALMThe objective of this article is to compare the effect of ALM strategy on life insurer`s financial statement under both accounting standards via simulation methods. The result shows that the insurers with ALM face more stable financial statement if they manage their interest rate decently. One of the results shows that the insurers who manage their asset based on fair value duration faces more volatility than insurers without ALM under book value reserve. This implies that the insurer with ALM still suffers higher volatility if the regulations do not support such behavior. We therefore suggest that the insurers should manage their asset based on their liability interest rate risk under the condition that they choose the appropriate interest rate risk indicator to fit different regulations.參考文獻 Ahlgrim, K. C., D`Arcy, S. P., and Gorvett, R.W., 2004, The Effective Duration and Convexity of Liabilities of Property-Liability Insurers under Stochastic Interest Rates. Geneva Papers on Risk and Insurance Theory 29, 75-108.Ballota, L., Esposito, G., and Haberman, S., 2006, The IASB Insurance Project for Life Insurance Contracts: Impact on Reserving Methods and Solvency Requirements. Mathematics and Economics 39, 356–375.Chan, F. S., 2009, Asset and liability management for life insurers: effective duration and effective convexity analysis and simulation optimization, Ph.D. dissertation from National Chengchi University (Taiwan). Cox, J. C., Ingersoll, J. E., and Ross, S. A., 1985, A Theory of the Term Structure of Interest Rate. Econometrica, 53 (2) 385-407.Honegger, R., and C. Mathis, 1993, Duration of Life Insurance Liabilities and Asset Liability Management, Working paper presented at the AFIR Colloquium in Rome.Leibowitz, M. L., 1995, Total Portfolio Duration: A New Perspective on Asset Allocation, Financial Analysts Journal 51 (1), 139-144.Markowitz, H. M., 1952, Portfolio Selection. The Journal of Finance 7 (1), 77–91.Sharpe, W. F., and Lawrence, G. T., 1990, Liabilities: A New Approach. The Journal of Portfolio Management, 5-10.Tsai, C., 2009, The Term Structure of Reserve Durations and the Duration of Aggregate Reserves. The Journal of Risk and Insurance 72 (2), 419-441.Waring, M. B., 2004, Liability-Relative Investing. The Journal of Portfolio Management 30 (4), 8-20.Waring, M. B., 2004, Liability-Relative Investing II. The Journal of Portfolio Management 31 (1), 40-53.Yu, T. Y., Tsai, C., and Huang. H. T., 2010, Applying Simulation Optimization to the Asset Allocation of a Property-Casualty Insurer. European Journal of Operational Research 207, 499-507. Yu, T. Y., Tsai, C., Huang. H. T., and Chen. C. L., 2011, Applying Simulation Optimization to Dynamic Financial Analysis for the Asset–Liability Management of a Property–Casualty Insurer. Applied Financial Economics 21, 505-518. 描述 碩士
國立政治大學
風險管理與保險研究所
98358016
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0098358016 資料類型 thesis dc.contributor.advisor 蔡政憲 zh_TW dc.contributor.author (Authors) 廖伯軒 zh_TW dc.contributor.author (Authors) Liao, Po Hsuan en_US dc.creator (作者) 廖伯軒 zh_TW dc.creator (作者) Liao, Po Hsuan en_US dc.date (日期) 2011 en_US dc.date.accessioned 4-Sep-2013 15:01:22 (UTC+8) - dc.date.available 4-Sep-2013 15:01:22 (UTC+8) - dc.date.issued (上傳時間) 4-Sep-2013 15:01:22 (UTC+8) - dc.identifier (Other Identifiers) G0098358016 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60048 - 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) 98358016 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 壽險業所販賣之商品通常為長年期保單,此一商品特性使得壽險公司的責任準備金(負債)非常容易受到市場利率波動而產生變動,進而影響到公司的清償能力。因此,資產負債管理對壽險公司來說一直是非常重要的一個課題。過去的會計制度並未強制要求保險公司在財報中反應出準備金對利率的波動,資產負債管理的好處便無法在這樣的會計制度之下產生原有的作用,進而可能導致保險公司不重視這樣的管理方式。近年來保險監理的國際趨勢致力於加強準備金公平衡量以及真實揭露保險業的負債價值,因此我們可以預期在未來準備金的波動對保險公司的影響會較現在來得顯著,資產負債管理對壽險公司也應該會有較為顯著的影響。本研究採用模擬的方式,比較不同投資策略的壽險公司在不同會計制度之下的財務狀況,進而探討資產負債管理的策略是否確實能讓保險人在公平價值準備金下較不受利率波動之影響。本研究的結果顯示在公平價值準備金的架構下,採用資產負債管理的壽險公司其損益會較沒採用資產負債管理的壽險公司穩定;若是在帳面價值準備金的架構下,採用資產負債管理的公司反而因為做出了多餘的避險行為致使其損益較不穩定。另外,本研究發現若是保險公司在資產負債策略下所採用的避險指標不符合目前法規,對公司的損益也會造成不必要的波動。因此本研究認為保險公司在實行資產負債管理策略時,應該參照目前會計制度下所給定的方式來做避險,進而達到最大的效益。 zh_TW dc.description.abstract (摘要) Life insurers` liability value is relatively sensitive to interest rate due to the long term characteristic of the policies. The high leverage ratio strengthens the impact on how interest rate can influence solvency.. Life insurer therefore should manage their assets and liability in a prudent way. In the past, supervisory authorities used to regulate the insurer to recognize their liabilities in book value, which makes the benefits of ALM insignificant. Under such regulation, the main purpose of asset allocation for most of the life insurers was to generate higher investment return instead of matching asset with the liability, nor to maintain risk at acceptable level under book-value reserving. The international financial report standard No.4 (IFRS4) suggests that insurers should measure their liability under fair value in the future. The new regulation may increases the volatility of the life insurer`s liability and emerges the benefit of ALMThe objective of this article is to compare the effect of ALM strategy on life insurer`s financial statement under both accounting standards via simulation methods. The result shows that the insurers with ALM face more stable financial statement if they manage their interest rate decently. One of the results shows that the insurers who manage their asset based on fair value duration faces more volatility than insurers without ALM under book value reserve. This implies that the insurer with ALM still suffers higher volatility if the regulations do not support such behavior. We therefore suggest that the insurers should manage their asset based on their liability interest rate risk under the condition that they choose the appropriate interest rate risk indicator to fit different regulations. en_US dc.description.tableofcontents 1. Introduction 12. Literatures Review 32.1 International Financial Reporting Standards 4 4(a) The Objective of IFRS 4 5(b) Best Estimated Liability 7(c) Risk Adjustment 12(d) Residual Margin 142.2 Quantitative Impact Study 5 16(a) Best Estimated 16(b) Risk Margin 202.3 Fair Value Reserve Estimation 22(a) BELt 23(b) RAt 24(c) RMt 263. Simulation 263.1 The Investment Markets 26(a) Interest Rate Model and Bond Markets 27(b) Stock markets 283.2 Policy`s Specifications 28(a) Cash Flow of a Twenty-Year Endowment Policy 29(b) Policy assumptions 303.3 Reserves 30(a) Policy reserves 30(b) Reserve Duration 333.4 Investment Strategy 34(a) Buy-and-Hold Strategy 34(b) Duration Matching Strategy 363.5 Insurer`s Activities 37(a) At the Beginning Period 38(b) At the Ending period 404. Simulation Results 434.1 Balance Sheet Results 45(a) Equity 45(b) Profit and Loss 494.2 Sensitivity Test Results 53(a) Result 1 54(b) Result 2 555. Conclusions 56References 58 zh_TW dc.format.extent 1138957 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/#G0098358016 en_US dc.subject (關鍵詞) 公平價值準備金 zh_TW dc.subject (關鍵詞) 資產負債管理 zh_TW dc.subject (關鍵詞) 國際會計準則 zh_TW dc.subject (關鍵詞) Fair value reserve en_US dc.subject (關鍵詞) IFRS4 en_US dc.subject (關鍵詞) Asset liability management en_US dc.title (題名) 會計制度對壽險公司資產負債管理之影響 zh_TW dc.title (題名) The impact of international financial reporting standards on life insurance company`s asset-liability management en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Ahlgrim, K. C., D`Arcy, S. P., and Gorvett, R.W., 2004, The Effective Duration and Convexity of Liabilities of Property-Liability Insurers under Stochastic Interest Rates. Geneva Papers on Risk and Insurance Theory 29, 75-108.Ballota, L., Esposito, G., and Haberman, S., 2006, The IASB Insurance Project for Life Insurance Contracts: Impact on Reserving Methods and Solvency Requirements. Mathematics and Economics 39, 356–375.Chan, F. S., 2009, Asset and liability management for life insurers: effective duration and effective convexity analysis and simulation optimization, Ph.D. dissertation from National Chengchi University (Taiwan). Cox, J. C., Ingersoll, J. E., and Ross, S. A., 1985, A Theory of the Term Structure of Interest Rate. Econometrica, 53 (2) 385-407.Honegger, R., and C. Mathis, 1993, Duration of Life Insurance Liabilities and Asset Liability Management, Working paper presented at the AFIR Colloquium in Rome.Leibowitz, M. L., 1995, Total Portfolio Duration: A New Perspective on Asset Allocation, Financial Analysts Journal 51 (1), 139-144.Markowitz, H. M., 1952, Portfolio Selection. The Journal of Finance 7 (1), 77–91.Sharpe, W. F., and Lawrence, G. T., 1990, Liabilities: A New Approach. The Journal of Portfolio Management, 5-10.Tsai, C., 2009, The Term Structure of Reserve Durations and the Duration of Aggregate Reserves. The Journal of Risk and Insurance 72 (2), 419-441.Waring, M. B., 2004, Liability-Relative Investing. The Journal of Portfolio Management 30 (4), 8-20.Waring, M. B., 2004, Liability-Relative Investing II. The Journal of Portfolio Management 31 (1), 40-53.Yu, T. Y., Tsai, C., and Huang. H. T., 2010, Applying Simulation Optimization to the Asset Allocation of a Property-Casualty Insurer. European Journal of Operational Research 207, 499-507. Yu, T. Y., Tsai, C., Huang. H. T., and Chen. C. L., 2011, Applying Simulation Optimization to Dynamic Financial Analysis for the Asset–Liability Management of a Property–Casualty Insurer. Applied Financial Economics 21, 505-518. zh_TW