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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: 56-62Botosan, 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) 2009 en_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) G0953580241 en_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) 95358024 zh_TW dc.description (描述) 98 zh_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/#G0953580241 en_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 industry en_US dc.type (資料類型) thesis en 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: 56-62Botosan, 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。 zh_TW
