在過去利率低靡的總體環境下，壽險公司推出連結市場利率的利率變動型年 金，以因應壽險公司降低利率風險的需求。然而隨著市場利率的復甦，保戶的解約行為會受到保單宣告利率及市場利率所造成的利率差影響，當利率差愈高，保戶愈有誘因解約。因此保險公司在推出利變型保單時須考量利率差對保戶解約的影響。此外，發行保單時的宣告利率策略、資產配置策略都會影響公司未來營運。 本文透過模擬四組情境，針對不同情境設定及不同策略進行敏感度分析的結果發現（1）不論何種情境下，加碼利率越高，保險公司的破產機率越高（2）加碼利率越高，利率差大於零的機率越低，因此加碼利率越高者其解約率大多為解約率的下限1%，因此每期的解約给付大幅降低，可保有資產繼續留在公司內部投資，且由於投資標的的報酬率遠高於宣告利率，因此總盈餘反而較高（3）不論何種情境下，投資不動產的比例越高，破產機率越高，其次為股票，債券最安全（4）期初資本越高，破產機率越低，且總盈餘及目標函數越高。但計算期初資本20億及30億的年報酬率發現，情境一中期初資本20億的A公司投資報酬率為12.8%，情境二中期初資本30億的A公司投資報酬率為11.9%，顯示在其他條件相同下，資本額愈低的公司投資報酬率愈高。 / The paper analyzes that under the low interest rate of overall environment, life insurance developed the floating-rate annuity that linked market rate, enabling to reduce the interest rate risk. However, with the rise of interest rate, insurers will suffer from loss caused by surrendering. In addition to surrendering, different declared interest rate of floating-rate annuity, capital and the ratio of asset portfolio will influence the solvency of insurance companies. This paper simulates the stochastic interest rate model and different asset models and analyzes the solvency of insurance company under different declared interest rate strategies, and different asset allocation strategies. Finally, we offer the life insurance to decide of the floating-rate annuity in advance.

銀行保險通路近年來成為壽險公司主要保險通路之一，因此壽險公司在銀行保險通路所承擔的風險逐漸加重。近年來金融市場處在一個低利環境下，儲蓄型商品（例如：利率變動型年金）為銀行定存商品替代品之一，故，儲蓄型商品逐漸成為銀行保險通路吸引銀行客戶的主力商品。因此可知，壽險公司對銀行保險通路，尤其是，儲蓄型商品之風險管理日漸重要。主管機關為了確保壽險公司清償能力，近年來針對儲蓄性商品制定相關策略，希望藉由限制儲蓄型商品之銷售比例，加強壽險公司之風險管理，防止壽險公司因為銷售過多儲蓄型商品而造成財務負擔。 本研究以商品組合互補效果的概念達到風險管理，其中儲蓄型商品以利率變動型年金作代表；傳統型商品以傷害保險與定期壽險作代表。本研究使用現金流量分析法，透過壓力測試和敏感度分析，嘗試在不同情境下，尋找一個規律，並簡易設算銀行保險通路下主力商品之最適銷售比例。 模擬結果發現，傳統型商品可有效彌補儲蓄型商品帶來的風險；而銷售比例之訂定，應該依照壽險公司在不同壓力測試、可控制之利差之下，設算出最適可銷售比例；只要壽險公司將其資本額大小、預計總保費收入、預計銷售商品、宣告利率策略及各項利率關係在不同情境下作設算，即可求出在不發生盈餘虧損下，商品組合之最適銷售比例。 另外本研究也發現，傷害保險與利率變動型年金保險之替代效果，比定期壽險與利率變動型年金保險佳，因此可作為商品組合搭配之參考。 本研究貢獻在於透過簡易的測試，設算出實際數值，可望提供壽險公司在資產負債管理方面的新思維。 / In recent year, baccasurance has become one of the major channels for life insurance companies. Therefore, adding up the risk the baccasurance channel imposes, life insurance companies has undertaken heavier risks. Due to the fact that the interest rate has been comparably low for the last ten years, more and more consumers choose to buy deposit insurance (EX：interest sensitive annuity ) the substitute for periodic deposit. As the vital product in baccasurance channel, managing the risk of deposit insurance become more and more important. This study adopted the idea of mixing products to achieve complementary effect, so that the risks might be better managed. Interest Sensitive Annuity was chosen to represent deposit-oriented products, and Injury Insurance and Periodical Annuity Life Insurance to represent traditional commodities. The method used for analysis was Cash Flow Test, in which stress test and sensitivity analysis were included, through which the researcher attempted to induce a rule from various situations and compute out the optimum ratio of the major products on the bancassurance channel. The simulation result showed that traditional insurance products are able to compensate the deposit-oriented insurance, and the maximum percentage this product accounts for should be computed abiding by to controllable interest gain under various kinds of stress tests, for which the companies need to take into account its capital size, total premium, products being promoted, declared interest rate, and interest rates to help simulate all kinds of situations. It is possible to compute out the optimum ratio for the products when the goal surplus more than or equals to zero. In addition, it was also found that injury insurance is a better substitute for interest sensitive annuity insurance than term life insurance. It is suggested that insurance companies to carefully gauge the respective proportion for Periodical Annuity Life Insurance, Injury Insurance, and Interest Sensitive Annuity Insurance. Finally, it is hoped that the numerical number tested out by the current study provides insurance companies a new insight in asset liability management.