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題名 負債評價、資產負債組合與資本強化策略:台灣人壽保險產業分析
Liability valuation, portfolio of assets and liabilities, and capital strengthening strategy: analysis of Taiwan life insurance industry
作者 謝奇芳
貢獻者 張士傑
謝奇芳
關鍵詞 國際財務會計準則
利差損
監理寬容
日期 2009
上傳時間 4-Sep-2013 15:02:18 (UTC+8)
摘要 經過2008年金融海嘯影響後，台灣壽險業帳列資產價值大幅縮水，整體
壽險產業淨值下跌。加上國際會計準則 (IFRS) 及資本監理標準
(Solvency II) 之修正，具體呈現於歐洲保險子公司在台股權移轉交易，紛
紛退出台灣市場，突顯集團母公司必須遵循母國標準，必須將資產負債移轉給
相對寬鬆資本規範之本國公司。當金融產業不穩定下，監理機關採取暫行措施
可以穩定金融市場運作，對於降低金融監理標準之作法稱做監理寬容。持續低
利率環境造成過去壽險公司在1990年代高利率時期，發行之長期性過高利率保
單產生利差損問題。尤其在接下來預定實施國際會計準則第四號公報
(IFRS4) 後，壽險公司需依照「市場實際利率」提存準備金，預估整體壽險
業將至少須增提10%到15%的資本，此增資壓力龐大，利差損問題益加嚴重。
本研究主要回顧過去之保險負債評價文獻，並且引用國際會計準則委員會
(IASB) 針對保險合約會計之討論稿，整理IFRS 4中對於保險負債評價的部
份，IASB希望以「現時移轉價值」來衡量保險負債，其中現實移轉價值包括現
金流量、時間價值、風險邊際、服務邊際四個部份。此外，本研究將透過主成
分分析檢視台灣壽險公司的資產與負債結構，從結果可得知，在資產部分，可
以大略歸類出四種不同的投資性質；而負債部分，除了兩家外商公司以外，其
他壽險公司在各險種的經營上仍有些許差異。資產負債結構相似的公司在資產
負債管理及風險管理上較為相近，在面對利率波動及其他市場風險時，可作為
決策之借鏡。最後，在國際財務會計準則第四號公報實施後，利差損問題會益
加嚴重，本研究試著提出由政府成立「政府再保險公司」，透過風險轉換，也
許可以減緩台灣壽險公司的增資壓力。
參考文獻 英文文獻

Bacinello, A. R. and Ortu, F., 1994, “Single and Periodic
Premiums for Guaranteed Equity–Linked Life Insurance
under Interest Rate Risk: The Lognormal + Vasicek Case”,
In: Peccati, L. and Viren, M., Editors, 1994. Financial
Modelling, Physica-Verlag, pp. 1–25.

Barth, M. E., W. R. Landsman, and J. M. Wahlen,1995, “Fair
Value Accounting:Effects on Banks’ Earnings Volatility,
Regulatory Capital, and Value of Contractual Cash
Flows”, Journal of Banking and Finance, 19: 577-605.

Bellhouse, David R. and Harry H. Panjer, 1981, “Stochastic
Modelling of Interest Rates with Applications to Life
Contingencies–Parl II”, Journal of Risk and Insurance,
48:628-637.

Black, F. and Scholes, M., 1973, “The Pricing of Options
and Corporate Liabilities”, Journal of Political
Economy, 81: 637-654.

Bloomer, J., 2004, “Impact of Insurance Accounting on
Business Reality and Financial Stability”, The
Geneva Papers on Risk and Insurance: Issues and Practice,
29: 56-62

Botosan, C. A., 1997, “Disclosure Level and the Cost of
Equity Capital”, The Accounting Review, 72: 323-349.

Bowers, N.J., Gerber, H.U., Hickman, J.C, Jones, D.A. and
Nesbitt, C.J., 1986, Actuarial Mathematics, Society of
Actuaries, Itasca, Illinois.

Boyle, Phelim P., 1976, “Rates of Return as Random
Variables”, Journal of Risk and Insurance, 43: 693-713.

Brenard, M. J., and Schwartz, E. S., 1976, “The pricing of
equity-linked life insurance policies with an asset value
guarantee”, Journal of Financial Economics,3: 195-213.

Chen, A., Suchanecki, M., 2007, “Default risk, bankruptcy
procedures and the market value of life insurance
liabilities”, Insurance: Mathematics and Economics 40,
231-255.

Cox, S.H., Lin, Y., 2005, “Securitization of mortality
risks in life annuities”, The Journal of Risk and
Insurance, 72, 227-252.

Daske, H., 2006, “Economic Benefits of Adopting IFRS or US
GAAP – Have the Expected Costs of Equity Capital Really
Decreased?”, Journal of Business Finance and Accounting,
33: 329-373.

Denis Duverne and Jacques Le Douit, 2007, “IFRS for
Insurance: CFO Forum Proposals”, The Geneva Papers,
2007, 32, 62–74.

Dickinson, G., and P. M. Liedtke, 2004, “Impact of a Fair
Value Financial Reporting System on Insurance Companies:
A Survey”, The Geneva Papers on Risk and Insurance:
Issues and Practice, 29:540-581.

Dillmann, T., and J. RuB, 2001, “Implicit Options in Life
Insurance Contracts Part1 –The Case of Lump Sum Options
in Deferred Annuity Contracts”, Blatter der DGVM, 15:
211-223.

ERNST&YOUNG, 2006, “Phase II Insurance Accounting – Which
view will prevail?”.

Gassen, J., and T. Sellhorn, 2006, “Applying IFRS in
Germany–Determinants and Consequences,
Betriebswirtschaftliche Forschung and Praxis, 58: 365-386.

Gonedes, N. J., 1972, “Efficient Capital Markets and
External Accounting”, The Accounting Review, 47: 11-21.

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”, Journal of Risk and
Insurance, 69(1): 63-91.

Hotelling, H., “Analysis of a Complex of Statistical
Variables into Principal Components”, Journal of
Educational Psychology, Vol. 24, 498-520, 1933.

IAIS, 2005, “Issues arising as a result of the IASB’s
Insurance Contracts Project –Phase II, Initial IAIS
Observations”.

IAIS, 2005, “Issues arising as a result of the IASB’s
Insurance Contracts Project –Phase II, Second Set of
IAIS Observations”.

IAIS, 2006, “Survey Report: Impact upon supervisors of
implementation of IFRS”.

IASB, 2007, “Preliminary Views on Insurance Contracts:
Part 1 – Invitation to Comment and main text”.

IASB, 2007, “Preliminary Views on Insurance Contracts:
Part 2 – Appendices”.

Jordan, C.W., 1967, Life Contingencies. (Chicago, III:
Society of Actuaries).

Jørgensen, P. L., 2004, “On Accounting Standards and Fair
Valuation of Life Insurance and Pension Liabilities”,
Scandinavian Actuarial Journal, 104: 372-394.

Pearson, Karl, 1901, “On Lines and Planes of Closet Fit to
Systems of Points in Space”, Philosophy magazine Series,
2, 559-572.

Lai, S. L., and Frees, E. W., 1995, “Examining Changes in
Reserves Using Stochastic Interest Models”, Journal of
risk and Insurance, 62: 535-574.

Laura Ballotta, Giorgia Esposito, and Steven Haberman,
December 2006, “Modelling the Fair Value of Annuities
Contracts: The Impact of Interest Rate Risk and Mortality
Risk”, Actuarial Research Paper, No.176.

Lev, B., 1989, On the Usefulness of Earnings and Earnings
Research: Lessons and Directions from Two Decades of
Empirical Research, Journal of Accounting Research,
27:153-192.

Leuz, C., and R. E. Verrecchia, 2000, “The Economic
Consequences of Increased Disclosure”, Journal of
Accounting Research, 38: 91-124.

Meyer, L., 2004, “The Impact of Insurance Accounting on
Business Reality and Financial Stability”, The Geneva
Papers on Risk and Insurance: Issues and Practice,
29: 71-74.

Panjer, tlarry It. and David R. Bellhouse, 1980,
“Stochastic Modelling of Interest Rates with Applications
to Life Contingencies”, Journal of Risk and Insurance,
47:91-110.

Thomas Post, Helmut Grundl, Lisa Schmidl, and Mark S.
Dorfman, 2007, ”Implications of IFRS for the European
Insurance Industry –Insights from Capital Market
Theory”, Risk Management & Insurance Review, 247-265.

PricewaterhouseCoopers, 2002, Waking up to IAS:
Implications for the Insurance Industry, World Wide
Web: //www.pwcglobal.com/images/gx/eng/fs/insu/ias/
iaswakingup.pdf (accessed June 13, 2007)

PricewaterhouseCoopers, 2006, Standing up to Scrutiny:
Analysts’ Perspectives on Insurance Reporting, World
Wide Web: http://www.pwc.com/extweb/pwcpubli-
cations.nsf/docid/C7E45582BDDA69F985257158001236F9/
$File/0406ifrsimpact.pdf (accessed June 13, 2007).

PriceWaterHouseCoopers, 2007, “IFRS Insurance Alert –
Phase II Discussion Paper”.

Shih-Chieh Chang, and Shang-Yin Yang, 2009, “Default risk,
bankruptcy cost and regulatory intervention in life
insurance supervision”.

Swiss Re, 2004, “The Impact of IFRS on the Insurance
Industry”, Sigma 7/2004(Zurich: Swiss Re).

Wakker, P., R. Thaler, and A. Tversky, 1997,
“Probabilistic Insurance”, Journal of Risk and
Uncertainty, 15: 7-28.

中文文獻

李家泉，2000，《實用壽險數理》，華泰文化事業股份有限公司。

李秀珍，2004，「國際財務報告準則對壽險商品負債面影響之探討」，逢甲大學計與精算研究所碩士論文。

李佳穆，2008，「附保證商品在SOLVENCY II的資本評價」，政治大學風險管理與保險學系碩士學位論文。

張士傑、蔡政憲，2009，《從學術理論到監理實務》，財團法人保險事業發展中心。

張士傑，2010，《保險契約之評價與風險管理》，前程文化事業有限公司。

楊文，2005，「國際與我國保險契約會計處理及相關議題之探討」，台灣大學會計研究所碩士論文。

葉典嘉，2007，「壽險責任準備金公平價值之評價分析－以強制分紅保單為例」，政治大學風險管理與保險學系碩士學位論文。

廖雅芬，2006，「探討國際會計準則－保險契約」，東吳大學會計學系碩士學位論文。

賴姿吟，2003，「保險會計－美國與國際會計準則之比較」，台灣大學會計研究所碩士論文。
描述 碩士
國立政治大學
風險管理與保險研究所
95358024
98
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0953580241
資料類型 thesis
dc.contributor.advisor 張士傑zh_TW
dc.contributor.author (Authors) 謝奇芳zh_TW
dc.creator (作者) 謝奇芳zh_TW
dc.date (日期) 2009en_US
dc.date.accessioned 4-Sep-2013 15:02:18 (UTC+8)-
dc.date.available 4-Sep-2013 15:02:18 (UTC+8)-
dc.date.issued (上傳時間) 4-Sep-2013 15:02:18 (UTC+8)-
dc.identifier (Other Identifiers) G0953580241en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60053-
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) 95358024zh_TW
dc.description (描述) 98zh_TW
dc.description.abstract (摘要) 經過2008年金融海嘯影響後，台灣壽險業帳列資產價值大幅縮水，整體
壽險產業淨值下跌。加上國際會計準則 (IFRS) 及資本監理標準
(Solvency II) 之修正，具體呈現於歐洲保險子公司在台股權移轉交易，紛
紛退出台灣市場，突顯集團母公司必須遵循母國標準，必須將資產負債移轉給
相對寬鬆資本規範之本國公司。當金融產業不穩定下，監理機關採取暫行措施
可以穩定金融市場運作，對於降低金融監理標準之作法稱做監理寬容。持續低
利率環境造成過去壽險公司在1990年代高利率時期，發行之長期性過高利率保
單產生利差損問題。尤其在接下來預定實施國際會計準則第四號公報
(IFRS4) 後，壽險公司需依照「市場實際利率」提存準備金，預估整體壽險
業將至少須增提10%到15%的資本，此增資壓力龐大，利差損問題益加嚴重。
本研究主要回顧過去之保險負債評價文獻，並且引用國際會計準則委員會
(IASB) 針對保險合約會計之討論稿，整理IFRS 4中對於保險負債評價的部
份，IASB希望以「現時移轉價值」來衡量保險負債，其中現實移轉價值包括現
金流量、時間價值、風險邊際、服務邊際四個部份。此外，本研究將透過主成
分分析檢視台灣壽險公司的資產與負債結構，從結果可得知，在資產部分，可
以大略歸類出四種不同的投資性質；而負債部分，除了兩家外商公司以外，其
他壽險公司在各險種的經營上仍有些許差異。資產負債結構相似的公司在資產
負債管理及風險管理上較為相近，在面對利率波動及其他市場風險時，可作為
決策之借鏡。最後，在國際財務會計準則第四號公報實施後，利差損問題會益
加嚴重，本研究試著提出由政府成立「政府再保險公司」，透過風險轉換，也
許可以減緩台灣壽險公司的增資壓力。		zh_TW
dc.description.tableofcontents 第一章 緒論 1
第一節 研究背景 1
第二節 研究動機 3
第三節 研究目的 9

第二章 文獻回顧 11
第一節 IFRS 4對歐洲保險業的影響 11
第二節 回顧保險負債評價 15

第三章 國際財務保險會計準則 17
第一節 保險合約會計的發展 17
第二節 保險合約負債評價 19
第三節 風險邊際 24

第四章 利差損問題與風險移轉策略 27
第一節 台灣壽險業現行概況 27
第二節 破產風險與監理調停 32
第三節 資產與負債結構—主成分分析 36
第四節 利差損問題與風險移轉策略 46

第五章 結論與建議 55

參考文獻 57

附錄 62		zh_TW
dc.format.extent 1411638 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/#G0953580241en_US
dc.subject (關鍵詞) 國際財務會計準則zh_TW
dc.subject (關鍵詞) 利差損zh_TW
dc.subject (關鍵詞) 監理寬容zh_TW
dc.title (題名) 負債評價、資產負債組合與資本強化策略:台灣人壽保險產業分析zh_TW
dc.title (題名) Liability valuation, portfolio of assets and liabilities, and capital strengthening strategy: analysis of Taiwan life insurance industryen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 英文文獻

Bacinello, A. R. and Ortu, F., 1994, “Single and Periodic
Premiums for Guaranteed Equity–Linked Life Insurance
under Interest Rate Risk: The Lognormal + Vasicek Case”,
In: Peccati, L. and Viren, M., Editors, 1994. Financial
Modelling, Physica-Verlag, pp. 1–25.

Barth, M. E., W. R. Landsman, and J. M. Wahlen,1995, “Fair
Value Accounting:Effects on Banks’ Earnings Volatility,
Regulatory Capital, and Value of Contractual Cash
Flows”, Journal of Banking and Finance, 19: 577-605.

Bellhouse, David R. and Harry H. Panjer, 1981, “Stochastic
Modelling of Interest Rates with Applications to Life
Contingencies–Parl II”, Journal of Risk and Insurance,
48:628-637.

Black, F. and Scholes, M., 1973, “The Pricing of Options
and Corporate Liabilities”, Journal of Political
Economy, 81: 637-654.

Bloomer, J., 2004, “Impact of Insurance Accounting on
Business Reality and Financial Stability”, The
Geneva Papers on Risk and Insurance: Issues and Practice,
29: 56-62

Botosan, C. A., 1997, “Disclosure Level and the Cost of
Equity Capital”, The Accounting Review, 72: 323-349.

Bowers, N.J., Gerber, H.U., Hickman, J.C, Jones, D.A. and
Nesbitt, C.J., 1986, Actuarial Mathematics, Society of
Actuaries, Itasca, Illinois.

Boyle, Phelim P., 1976, “Rates of Return as Random
Variables”, Journal of Risk and Insurance, 43: 693-713.

Brenard, M. J., and Schwartz, E. S., 1976, “The pricing of
equity-linked life insurance policies with an asset value
guarantee”, Journal of Financial Economics,3: 195-213.

Chen, A., Suchanecki, M., 2007, “Default risk, bankruptcy
procedures and the market value of life insurance
liabilities”, Insurance: Mathematics and Economics 40,
231-255.

Cox, S.H., Lin, Y., 2005, “Securitization of mortality
risks in life annuities”, The Journal of Risk and
Insurance, 72, 227-252.

Daske, H., 2006, “Economic Benefits of Adopting IFRS or US
GAAP – Have the Expected Costs of Equity Capital Really
Decreased?”, Journal of Business Finance and Accounting,
33: 329-373.

Denis Duverne and Jacques Le Douit, 2007, “IFRS for
Insurance: CFO Forum Proposals”, The Geneva Papers,
2007, 32, 62–74.

Dickinson, G., and P. M. Liedtke, 2004, “Impact of a Fair
Value Financial Reporting System on Insurance Companies:
A Survey”, The Geneva Papers on Risk and Insurance:
Issues and Practice, 29:540-581.

Dillmann, T., and J. RuB, 2001, “Implicit Options in Life
Insurance Contracts Part1 –The Case of Lump Sum Options
in Deferred Annuity Contracts”, Blatter der DGVM, 15:
211-223.

ERNST&YOUNG, 2006, “Phase II Insurance Accounting – Which
view will prevail?”.

Gassen, J., and T. Sellhorn, 2006, “Applying IFRS in
Germany–Determinants and Consequences,
Betriebswirtschaftliche Forschung and Praxis, 58: 365-386.

Gonedes, N. J., 1972, “Efficient Capital Markets and
External Accounting”, The Accounting Review, 47: 11-21.

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”, Journal of Risk and
Insurance, 69(1): 63-91.

Hotelling, H., “Analysis of a Complex of Statistical
Variables into Principal Components”, Journal of
Educational Psychology, Vol. 24, 498-520, 1933.

IAIS, 2005, “Issues arising as a result of the IASB’s
Insurance Contracts Project –Phase II, Initial IAIS
Observations”.

IAIS, 2005, “Issues arising as a result of the IASB’s
Insurance Contracts Project –Phase II, Second Set of
IAIS Observations”.

IAIS, 2006, “Survey Report: Impact upon supervisors of
implementation of IFRS”.

IASB, 2007, “Preliminary Views on Insurance Contracts:
Part 1 – Invitation to Comment and main text”.

IASB, 2007, “Preliminary Views on Insurance Contracts:
Part 2 – Appendices”.

Jordan, C.W., 1967, Life Contingencies. (Chicago, III:
Society of Actuaries).

Jørgensen, P. L., 2004, “On Accounting Standards and Fair
Valuation of Life Insurance and Pension Liabilities”,
Scandinavian Actuarial Journal, 104: 372-394.

Pearson, Karl, 1901, “On Lines and Planes of Closet Fit to
Systems of Points in Space”, Philosophy magazine Series,
2, 559-572.

Lai, S. L., and Frees, E. W., 1995, “Examining Changes in
Reserves Using Stochastic Interest Models”, Journal of
risk and Insurance, 62: 535-574.

Laura Ballotta, Giorgia Esposito, and Steven Haberman,
December 2006, “Modelling the Fair Value of Annuities
Contracts: The Impact of Interest Rate Risk and Mortality
Risk”, Actuarial Research Paper, No.176.

Lev, B., 1989, On the Usefulness of Earnings and Earnings
Research: Lessons and Directions from Two Decades of
Empirical Research, Journal of Accounting Research,
27:153-192.

Leuz, C., and R. E. Verrecchia, 2000, “The Economic
Consequences of Increased Disclosure”, Journal of
Accounting Research, 38: 91-124.

Meyer, L., 2004, “The Impact of Insurance Accounting on
Business Reality and Financial Stability”, The Geneva
Papers on Risk and Insurance: Issues and Practice,
29: 71-74.

Panjer, tlarry It. and David R. Bellhouse, 1980,
“Stochastic Modelling of Interest Rates with Applications
to Life Contingencies”, Journal of Risk and Insurance,
47:91-110.

Thomas Post, Helmut Grundl, Lisa Schmidl, and Mark S.
Dorfman, 2007, ”Implications of IFRS for the European
Insurance Industry –Insights from Capital Market
Theory”, Risk Management & Insurance Review, 247-265.

PricewaterhouseCoopers, 2002, Waking up to IAS:
Implications for the Insurance Industry, World Wide
Web: //www.pwcglobal.com/images/gx/eng/fs/insu/ias/
iaswakingup.pdf (accessed June 13, 2007)

PricewaterhouseCoopers, 2006, Standing up to Scrutiny:
Analysts’ Perspectives on Insurance Reporting, World
Wide Web: http://www.pwc.com/extweb/pwcpubli-
cations.nsf/docid/C7E45582BDDA69F985257158001236F9/
$File/0406ifrsimpact.pdf (accessed June 13, 2007).

PriceWaterHouseCoopers, 2007, “IFRS Insurance Alert –
Phase II Discussion Paper”.

Shih-Chieh Chang, and Shang-Yin Yang, 2009, “Default risk,
bankruptcy cost and regulatory intervention in life
insurance supervision”.

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