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 ALM The 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.

解約風險為壽險公司承保風險中最重要之風險，文獻指出若於保單定價時忽略解約率可能為動態，將影響壽險公司損益、資產配置、資金流動性及風險管理計畫。本研究將以保費及準備金試算進行實證研究，觀察以傳統精算方式定價(忽略解約率為動態)將對保費及準備金之計算造成多少誤差。 本研究首先使用台灣壽險業1987年至2011年之生死合險、終身壽險解約率資料，並透過主成分分析、模擬主成分分數並將其轉回各保單年度解約率，以完成動態解約率之模擬。接著以30歲男性為對象，計算不同情境下之保費及準備金。最後比較不同情境下之保費及準備金差異以了解忽略隨機解約率對保單定價之影響程度。 實證結果顯示，考量隨機解約率與否對生死合險保費計算稍有影響但不明顯，但若長期累積觀察，是否考量隨機解約率對生死合險準備金有顯著影響。本研究使用之終身壽險解約率模型與利率無關、僅受其自身隨機效果影響，故是否考量隨機解約率對終身壽險保費及準備金之影響程度皆不大。

近年隨著油價、物價上漲所導致的通貨膨脹風險，壽險業者以增額型終身壽險來吸引潛在消費者。另外，由於醫療技術的進步，使得死亡率逐年改善，因此將造成保單在設計時可能將遭受到長壽風險的影響。本篇文章的主要目的即探討長壽風險對於保單責任準備金的影響，並以增額型終身壽險作為本文主要分析標的。首先建構死亡率模型(Lee-Carter模型)，用來配適並模擬死亡率，接著探討增額型終身壽險在各保單年度下之現金流量以及責任準備金的提存，進一步再引進不同的死亡率來探討其現金流量分佈情形與責任準備金之提存。本文研究結果發現，在保險公司未採用遞迴方式計算保費時，當繳費期間愈短、複利利率愈高以及投保年齡愈低時，保險公司所面臨之長壽風險愈大，其後在帶入各種不同死亡率模型，發現死亡改善率愈高，保險公司所面臨之長壽風險愈大，而保險公司在提存責任準備金時，並未考慮到死亡改善率的部分，此對保險公司的財務健全將造成隱憂，本文於此部分建議監理機關透過法規(RBC)的制訂，調整準備金提存的係數，以降低長壽風險對保險公司財務之衝擊。 關鍵字：長壽風險、死亡率模型、增額型終身壽險、保單責任準備金、增額準備金、Lee-Carter Model以及RBC制度。 / With the improvement of medical technology, the life expectancy around the world is increasing year by year during the past decade. Therefore, the increasing whole life insurance policy is popular during these years because its benefits are escalating with time and policyholders think they could gain more benefits when they live longer. Like annuity policies, the increasing whole life insurance could also suffer from the longevity risk, which may have enormous impact on the financial statements of insurers. The purpose of this paper is to discuss the impact of longevity risk on reserves, based on increasing whole life insurance policy. First, we construct Lee-Carter model to fit and simulate mortality rate and assume different mortality improvements from the 2002 Taiwan Standard Ordinary Experience Mortality Table (2002TSO) for further comparisons. And then, we construct a simple model to analyze the cash flows of the increasing whole life policies based on the mortality rates we observed. By constructing a simple model and simulation, we find that if the insurance company does not correctly estimate longevity risk, the insurance company will lose money on the increasing whole life policies. In order to mitigate the insufficiency of life insurers for the increasing whole life policies, we try to provide some supervision suggestion from the view of the risk-based capital (RBC) requirements. We calculate the factor of insurance risk (C2) of RBC requirements because this factor represents the surplus needed to provide for excess claims over expected, both from random fluctuations and from inaccurate pricing for future levels of claims. Keywords: longevity risk, increasing whole life insurance policy, Lee-Carter model, risk-based capital (RBC).

摘要 衡量壽險公司利率風險的初步作法是估算保單的存續期間。保單的存續期間因現金流量模式的不同與一般債券的存續期間有很大的差異。壽險保單未來不只會產生現金流出 （給付和費用），還會有現金流入（保費），其淨現金流量因而有可能變號，所以壽險保單的存續期問可能小於○，也可能大於到期日，甚至還可能因為準備金接近○的關係而有很大的數值。此外，保單的存續期間不太受死亡率下降的影響，解約率升高通常會使存續期問的數值降低，而佣金的平準化則會使原本正的存續期問變小。從壽險公司銷售保單組合可能的結果（平穩、成長、衰退等三種型態）來分析負債存續期間，由其結果可知一個新創立或成長型的壽險公司其所面臨利率風險的衝擊要大於一個處於平穩型或衰退型的壽險公司。 關鍵字：存續期間、利率風險、淨現金流量、壽險保單、準備金 / Abstract Estimating the duration of the life insurance policy is the first step in measuring the interest rate risk of the life insurance company. Life insurance policy's duration is quite different from bond's due to the difference in the pattern of cash flows. Life insurance policies generate not only cash outflows as payments to policyholders from insurance companies but also cash inflows as premiums from policyholders to insurers. Furthermore, the net cash flow usually turns from inflow to outflow as time goes by. The duration of the life insurance policy therefore could be negative or longer than the maturity of the policy. It could even be huge if its reserve is close to zero. Besides, the mortality rate does not have a significant impact on policy duration; early surrenders of policies would reduce policy duration in general; and leveling commission rate would make positive duration smaller. Findings concluding from analyzing the likely results, referring to the steadying, growing and declining modes, of insurance portfolios offered by life insurance companies for analyzing their liability duration, indicate that the interest rate risk exposure by a start-up life insurance company or a growing life insurance company is greater than a life insurance company that is at a steadying or declining phase. Keywords: duration, interest rate risk, net cash flow, life insurance policies, reserve.

在現今保險業多數蓬勃發展的情況下，處於激烈競爭之局面，在日漸自由化之方向和加入世界貿易組織（WTO）之趨勢下，相信發生財務問題的保險業機會大增，故如何落實保障被保險人之權益，以發揮保險安定基金之功能，此為一重要之課題。因此，本論文擬先參考國內相關文獻之資料，再藉助外國之相關立法例－美國、英國、及加拿大之保險法令，並透過對各國保險安定基金制度的整理及介紹，來歸納出建構保險安定基金制度之所可能涉及之問題，並以此架構本文的體系。 本論文共分六章，撮其大要如下： 第一章：緒論－對於本論文研究之動機、目的及方法範圍加以介紹。 第二章：保險安定基金之定義、目的、相關法律關係與相關概念之比較－先對保險安定基金之定義作一簡單之介紹，其次討論相關資料所得知安定基金之設立目的，再來以法律層面來探討補償義務下所牽涉保險人、被保險人和保險安定基金三方當事人之間法律關係，最後再以存款保險與特別補償基金等相類似之概念，與保險安定基金作一比較。 第三章：外國立法例有關保險安定基金保障被保險人之規定－分別介紹美國、英國、及加拿大之相關保險法令，以作為我國保險安定基金之參考。 第四章：我國保險安定基金及其保護被保險人之規定與相關問題－針對我國保險安定基金先作一簡單之說明與歸納，並以現行法令之規定，探討所可能面臨之問題為何，並嘗試對問題提出一合理之解決方案。 第五章：我國現行保險安定基金保護被保險人(給付或補償義務)之探討－針對保險安定基金此一給付或補償義務作一深入之探討，如應保障的保險契約為何、提供保障之時點為何、保障的權利為何、保障之對象為何人及設定保障或給付限額等諸多問題，先透過對我國法律規定之探討，再建構出現行保險安定基金給付或補償被保險人之規範。 第六章：結論與建議－針對現行規定所產生之問題和不足之處，綜合上述之探討，提出建議。

一般而言，壽險公司會在保險契約生效前就支付保單相關之費用，例如核保與承保之成本，並且公司會預期未來保險期間內可以填補上述費用；但若保戶於保險期間內早期解約或是解約情形嚴重，將使壽險公司難達到損益兩平之目標而招受損失，影響公司預期盈收，進而增加公司資金調度上之困難。因此，對於長期穩健經營之壽險公司而言，瞭解各保險解約率變動情形對於公司之財務規劃相當重要，以期降低危害公司之風險。 本文期望藉由台灣保險事業發展中心之實證資料蒐集與相關分析，探討影響台灣壽險業生死合險及不還本終身壽險解約之因素以及其解約率之特性，進而建立與利差及保單年度相關之解約率模型，以期能準確地估計台灣壽險公司生死合險解約率與不還本終身壽險解約率。除此之外，本研究將所建構之解約率模型應用於公司未來現金流量分析，以蒙地卡羅法模擬各險種保單準備金之分配，瞭解各種解約率假設對於公司未來現金流量之影響，進而瞭解解約率參數假設對於準備金風險之評估扮演重要角色。 / In general, the life insurance companies would pay the expenses with respect to the insurance policies before the validity of insurance contracts such as underwriting and insuring costs. If the policyholders are early-surrendered or over-surrendered during the policy period, then it will make the insurance companies hard to achieve their break-even goal and result in affecting the companies’ surplus as well as management of their capital. Thus, for the long-term and stable life insurance companies, it is extremely important to understand the changes of lapse rate in order to reduce the financial risk damage before making any financial decisions. In this article, we expect to focus on the causes and the features of lapse rate changes by collecting and analyzing the empirical data of endowment and whole life insurance in Taiwan from Taiwan Insurance Institute. Based on our analysis, we could build the lapse rate model concerning the relation between the lapse rate and interest rate difference or policy year for estimating the endowment lapse rate and whole life insurance lapse rate accurately. Moreover, we apply the lapse rate model to company’s cash flow analysis. We employ the Monte Carlo simulation to simulate the policy reserve distribution, and we find out that the lapse rate assumption plays an important role in the policy reserve evaluation.

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.

由於銀行準備金比率為受貨幣政策機制影響的重要變數之一，但目前並無針對台灣進行的實證研究，因此本文的研究重點著重於探討台灣的銀行準備金比率受不同變數因子的影響。本研究採用的解釋變數有央行的重貼現利率、製造業的工業生產指數、加權法定準備率、壞帳比率、存放款利差、3年期政府公債殖利率、落後一期拆款利率及代表拆款市場重大變革時點的虛擬變數。樣本主要採用由中央銀行統計資料庫及 TEJ 資料庫所蒐集之月資料，採用期間為 1995 年 6 月至 2014 年 7 月，並且使用 OLS 模型進行實證分析。實證結果發現，製造業的工業生產指數及落後一期拆款利率為負向顯著，而 1995年8月的虛擬變數為正向顯著。 / The purpose of the study was focused on the impact of Taiwan banks' reserve ratio by different variable factors, since the banks' reserve ratio was one of the important variables affected by monetary policy mechanism, however, there was no empirical research carried out for Taiwan currently. The explanatory variables used in the study has the discount rate, the index of industrial production of the manufacturing sector, the weighted statutory reserve ratio, the ratio of bad debts, deposit and loan spreads, 3-year government bond yields, the call rate that one year lags and the dummy variables of representatives major changes in interbank call loan market. This study obtained monthly samples from the central bank's statistical databases and TEJ database mainly, the period was during June 1995 to July 2014, and then OLS model was used to analyze. The results revealed that the index of industrial production of the manufacturing sector and the call rate that one year lags has a negative and significant effect on banks' reserve ratio, while the dummy variables of August 1995 has a positive and significant effect.

本研究的第一部份是利用有效存續期間與有效凸性來衡量人壽保險人的利率風險。我們發現Tsai (2009)指出的壽險保單準備金之有效存續期間結構並非一般化的結果。當長期利率水準高於保單預定利率及保單解約率敏感於利差時，準備金之有效存續期間會呈現與Tsai (2009)相反的結構。我們進一步發現準備金之有效凸性會亦有可能呈現負值，且不易依照保單到期期限歸納出一般化的結構。負值的有效凸性起因於準備金並非利率的單調函數，且準備金與利率的函數關係隨保單到期期限而不同。我們的研究結果可以幫助人壽保險人執行更為精確的資產負債管理。 本研究的第二部分是利用模擬最佳化的方法，幫助銷售傳統壽險保單的保險人求解出適切的業務槓桿與資產配置策略。我們假設保險人在考量破產機率與報酬率的波動之下，將資本與淨保費收入投資於資本市場中，以追求較高的業主權益報酬率。以業務槓桿與資產配置相互影響為前提，我們求解出適切的業務槓桿與多期資產配置策略，並分析在不同的業務槓桿之下，保險人多期資產配置的差異。 / In the first part of this doctoral dissertation, we focus on a proper measurement on interest rate risk of life insurer’s liabilities, policy reserves, by incorporating the general effective duration and effective convexity measures. Tsai (2009) identified a term structure of the effective durations of life insurance reserves. We find that his results are not general. When the long-run mean of interest rates is higher than the policy crediting rate and the surrender rate is sensitive to the spread, the term structure would exhibit an opposite pattern to the one in Tsai (2009). We further find that the effective convexities might be negative and the term structure of the effective convexities exhibits no general pattern. The irregularities originate from negative effective convexities result from the relationship between mean reserves and initial short rate for different years to maturity. Our results can help life insurers to implement more accurate asset-liability management. In the second part, we analyze asset allocation and leverage strategies for a life insurer selling traditional insurance products by using a simulation optimization method. We assume that an insurer invests equity capital (from its shareholders) and premiums it receives from policyholders by choosing a portfolio intended to maximize the annual return of equity minus the penalty of insolvencies and risks. We regard the leverage as an internal factor in asset allocation. Based on these assumptions, we get a promising multiple-periods asset allocation and leverage, besides analyzing how leverage affects asset allocation strategies.

本研究分為兩個部分，第一個部分為探討1990年來英美等國央行貨幣政策操作改革方向，期望貨幣市場的金融同業隔夜拆款利率，沿著隔夜拆款目標利率微幅波動。 英國央行原採零準備率制度，不易估測貨幣市場資金，其隔夜拆款利率波動幅度較美國為劇，為有效控制操作目標， 2006年5月起實施「自願準備金制度」，有利英國央行進行公開市場操作，達成穩定利率的效果。 第二部分參考Nadja(2006)一文，探討我國央行貨幣政策操作對短期利率之影響，係以隔夜拆款利率與目標利率的利差為利率函數模型之因變數，其中以重貼現率為目標利率，並以超額準備為主要的操作變數。 本文以最小平方估計法（OLS）實證結果發現，央行貨幣政策操作有效地影響隔夜拆款利率；惟2003年起央行不以重貼現率為隔夜拆款利率的底限，貨幣政策操作對隔夜拆款利率與重貼現率之間的利率變動並無顯著性的影響，亦即央行已放棄重貼現率為隔夜拆款利率之目標利率，而係積極地進行之公開市場操作，穩定短期利率。