過去二十年以來，美國金融機構的財務狀況不斷遭遇挑戰，許多同業或相關行業紛紛發生財務危機甚至破產，其間不乏一些知名大公司，探究原因發現利率是大元凶，因在一九七Ｏ年代末至一九八Ｏ年代利率產生劇烈變化，面對利率如此驟變，對其業務與利率有息息相關的金融保險機構而言，無疑是極大考驗，為此各種金融創新的商品亦陸續出籠，但亦產生新風WP在未尋求避險工具下暴露出金融機構對於利率風險的管理仍有所欠缺。且在金融自由化、國際化施政方針之下，利率自由化及金融商品創新之陸續推展，利率顯得較具變動性，主管機關為維持保險公司之清償能力，對此一風險勢必應加以注意，以免保險業因利率風險變動造成巨額虧損影響保戶權益甚或影響其清償能力。 而資產負債管理係維持現金流入與現金流出量相等Cash Flow Matching，避免利率風險、流動性風險及再投資風險；資產負債管理有別於傳統財務管理方法，其具有下列特色：□重視資產負債表資產與負債二方面的關連性；□在達成可接受的投資報酬之際，同時兼顧利率風險；□促使資產管理人員(投資部門)及保險商品管理人員(精算及行銷部門)的連繫協調，進而使投資策略及商品策略之運作能相互配合；□有益於新產品開發及管理；□最終可促使獲利能力提昇，進而穩定獲利模式並促使公司穩定成長。 資產負債管理方法，包括獲利力分析(Profitability Analysis)、利率分析(Rate / Volume Analysis)、期間分析(Duration Analysis)、Gap Analysis 等，其中較廣為使用者為：□平均存續期間(Duration) ；□利率期貨（Interest RateFutures)；□股價指數期貨（Stock Index Futures）；□息票內化法（Internal Coupon Stripping）；□利率交換（ Interest Rate Swaps ）；□資產負債的區隔(Segmentation of Assets/Liabilities)；□現金流量情境分析（Cash Flow Projection under Multiple Economic Scenarios）。以監理立場考量，選擇採用的資產負債管理方□k除須顧及壽險公司之利率風險外，尚須考慮其流動性及收益性，在我國正漸漸鬆綁金融政策及邁進國際化之際，不宜對壽險公司之監理政策採取過於嚴謹手段，而平均存續期間之方法除可包融其他資產負債管理方法並可加以綜合運用，故便針對平均存續期間方法詳加介紹。 經上述之分析討論後，若要此資產負債管理分析落實及在不對壽險公司予以過多限制下，在壽險監理上應如何規範呢？歸納結果如下：□對於模擬之利率設定，採用一綜合式規定，每期依市場狀況指定2至3種利率，其餘數種由各公司視情況選用；□避免壽險公司過多困擾及考量我國目前尚無採用市價會計之實力下，仍以法定會計原則作為衡量標準，惟對於預期交易量將日益增多之衍生性金融商品，應要求於財務報表中揭露交易活動之質與量，且當實際結果有損失部分應於報表內表達；□要求壽險公司作區隔化，便於作預測及現金流量管理，且因應我國未來人口結構老齡化之年金。 商品開始販售之年金保險，其性質不同於一般之壽險商品區隔化更有其必要。有關免疫化的分析報告於利率環境變動不大時，每季提出並須經由會計師、精算師複核簽證及每月提出資產變動情況報告；若利率產生遽烈變動(如3%)時應於一個月內再作調整及編製免疫化分析報告，以避免影響壽險公司之穩定性；□對於壽險公司平均存續期間差距情況作一評等，列入經營風險評估及稽核抽檢之考量；有關平均存續期間之分析報告採不對外公開形式。

金融機構之降息政策與全球經濟環境之不確定性，大幅增加人壽保險人之經營風險，以鄰國日本人壽保險為例，自1996年日產生命發生財務危機開始，已有5家保險公司宣佈倒閉或破產，6家進行合併，其餘14家也面臨嚴重之財務壓力，為避免系統風險造成台灣人壽保險產業之破產危機，如何創新保險商品及研擬風險管理成為重要之議題。 　　人壽保險公司之負債資產比極高，因此公司之財務健全與投保人之權益息息相關，利率變動將顯著影響公司獲利能力，因此利率風險管理實為當務之急。投資型商品之開發為人壽保險產業因應利率風險之新興策略，早期為人壽保險與共同基金結合，或與銀行定存結合，近來發展出與指數型金融商品連結之保本型人壽保險。因為商品之複雜度，評價將成為重要之課題，投資型保險基於被保險人參與財務風險程度之大小差異，風險管理與傳統型保險有所差別。 　　本研究首先探討目前人壽保險市場之現況，詳細定義投資型人壽保險，探討發展過程，並實際進行試算與評價分析，列舉說明精算之規範，資產負債管理、風險資本額制度下之定位及外匯等問題，以個案討論台灣及中國大陸市場之投資型商品，並提出現況之建議。 / Due to the monetary policy in the banking sector and the global economic uncertainty, the solvency issue for the life insurer becomes crucial. In Japan life insurance market, five insurers have declared their bankruptcy since 1996, six insurers had been merged, and the others have suffered serious financial press. Preventing the ruin crisis of life insurers and strengthen their financial abilities through innovation products and risk management techniques in Taiwan have become an important issue for the management. 　　Owing to the high leverage ratio in life insurer's capital structure, the reserve adequacy plays a vital role in shielding the policyholder's rights. Since the uncertainty of the interest rate affects the reserve and surplus of the insurer, asset-liability risk management becomes an important subject. Adding the investment-linked life insurance policies in the insurer's liability portfolio is an innovative strategy in managing the low interest risk. Combining with the mutual fund or the bank certificates in early stage has advanced to integrate with the equity indexed products. The investment-linked products vary from the traditional ones allowing the participation in the financial risks. Owing to the complexity of its design, the valuation becomes essential. 　　This study analyzes investment-linked life insurance policies and their historical evolutions. The financial valuation processes are illustrated explicitly. The regulations in the reserve valuation, the asset-liability management, the connection with risk-based capital (RBC) and the related hedging issues are also explored. Finally, the product designs and managerial issues in operating the investment-linked life insurance policies in Taiwan and Mainland China are discussed.

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.

University of Macau / Faculty of Social Sciences and Humanities / Department of Government and Public Administration

論文摘要: 本研究以現金餘額計劃（Cash Balance Plan）及確定提撥退休金計劃（Defined Contribution Pension Plan）建構出公務人員退撫基金之建議機制，建構之主要目的在於透過第一層現金餘額計劃之利息給付機制降低退休基金利率風險，同時由第二層確定提撥計劃獲取額外退休所得，使雇主與員工在双層式退休金計劃下，同時承擔投資風險，以降低基金利率風險並同時滿足適當退休所得保障。本文在現金餘額計劃不同控管年限及利息給付假設下，模擬超額積蓄（Overfunded）基金與不足額積蓄（Underfunded）基金執行資產負債管理（Asset Liability Management）所需存續期間，同時模擬双層式退休金計劃提供員工之退休所得替代率，研究結果發現： 1、超額積蓄基金及不足額積蓄基金均可以在目前資本市場中找到符合所需存續期間之資產投資。在控管20年限內，超額積蓄基金所需存續期間在-1.71年到0.39年之間；不足額積蓄基金所需存續期間在4.68年到8.31年之間。 2、退休基金越接近超額狀態越有利於資產負債管理。當基金積蓄狀態越接近超額積蓄時，基金負債與資產的比例較不足額積蓄基金低，故資產負債管理所需存續期間較短，對於基金能夠控管的年限也越長。 3、雇主可透過現金餘額計劃利息給付機制執行百分之百免疫策略。雇主可利用現金餘額計劃利息給付依據外部債券利率為參考依據的特性，鎖定債券利率，達到資產負債管理百分之百免疫效果。 4、現金餘額計劃執行百分之百免疫策略情況下，45歲以下公務人員採行自動選擇投資基金（Default Fund）為高風險投資基金，自動選擇提撥率（Default Rate）為每月薪資5.08﹪，可使員工達到適當所得替代率保障水準。 / Abstract This thesis proposes an new alternative two-tier pension composed of Cash Balance Plan (CBP ) and defined contribution pension plan to the traditional defined benefit pension plan of Taiwan Public Employee Retirement System(TPERS). In order to decrease the interest-rate risk of the pension fund and to provide additional retirement income protection, we utilize the credit rate mechanism of CBP and supplement CBP with additional defined contribution plan. We investigate the Asset-Liability Management (ALM) for TPERS and calculate the liability duration under different time horizons, interest credits of CBP. We also simulate the replacement rate of the two-tier pension plan under different contribution rates, and investment returns. The results are as follows: 1、Given the twenty-year time horizons, the asset duration of overfunded plan ranges between –1.71 years and 0.39 years, whereas that of underfunded plan varies from 4.68 years to 8.31 years. In this case, the requirements of asset duration can be satisfied in the Taiwan Capital Market. 2、The overfunded pension plan has higher probabilities to meet the requirements of asset duration. Therefore, we suggest that the fund manager can increase the asset allocation percentage of external fund management in order to improve the long-term returns. 3、Perfect matching of pension fund can be achieved by matching the yield of securities to interest credit under CBP . In addition, we suggest that the interest credit of the new labor contracts should take the trend of the current interest rate into consideration. 4、Replacement rates provided by CBP for woman range from 19.05﹪ to 45.70﹪and from 20.86﹪to 50.05﹪for man assuming the interest credit rate is 5.2%. To increase the retirement income, the defined contribution plan provide additional replacement rate between 13.56﹪and 162.96﹪for woman and between 14.85﹪and 178.42﹪for man assuming the employee can contribute 3.08 percent to 13.37 percent of regular salaries and investment returns are from 4 percent to 8 percent .

本研究著重於分析發行大量長年期利率敏感型契約、高財務槓桿比例的人壽保險業中公司經理人之投資決策，發現台灣壽險業亦存在Canner et al.(1997)提出之資產配置迷思，亦即風險性資產中債券與股票之比率於不同壽險公司間有差異，與共同基金分離理論中陳述之風險態度不同之投資人所持有之債券與股票比率應相同不相符。本文嘗試以Sorensen(1999)提出之擬似動態規劃法(Quasi- dynamic Programming)最適化到期之效用函數，試算經理人於股票及不同到期固定收益債券之最適持有比例。且詳細探討不同風險偏好及投資期限對於壽險公司投資組合之影響。將業主權益之最適投資策略加上負債之複製投資組合成為策略性資產配置結果，並將其與目前台灣壽險公司之資產配置做比較。研究結果顯示： 1.以擬似動態規畫法求得之最適投資組合於不同風險態度下皆為長期債券以及股票。當經理人之風險趨避程度增加時，投資於股票之比例會減少、投資於債券之比例會增加。 2.比較台灣壽險公司之債券與股票配置比例與本研究之結果發現，本資公司之風險態度較外資公司積極，本資公司應提高其債券之持有比例。 本研究最後以Bajeux-Besnainou et al. (2001)提出之資產配置迷思解釋說明本資公司與外資公司持有之債券與股票比率之所以不同非因資產配置迷思之存在，本資公司與外資公司於風險性資產中持有之債券與股票比率是相同的，但因風險態度較為趨避之公司，投資於風險性資產比率下降、提高避險部位之配置，導致整體之股票與債券比率增加。 關鍵字：資產負債管理、策略性資產配置、擬似動態規劃法。

本研究運用Vasecik、ARMA與VEC三種時間序列模型，以蒙地卡羅法，模擬未來五年台幣利率、美元利率與新台幣兌美元匯率的隨機漫步過程，並分析壽險公司的資產、負債與業主權益價值，在利率與匯率的隨機過程中所受到的影響。 藉由蒙地卡羅模擬之隨機漫步過程，本研究發現在利率模型方面，Vasicek利率模型因具有均數回歸的特性，較VEC模型擁有更穩定的隨機漫步過程；在匯率模型方面，VEC模型因同時考量長期影響與短期影響的效果，較ARMA模型擁有較穩定的漫步過程。 在負債面的模擬結果中，當利率下跌時，保單應提列準備金價值的成長速度較利率上升時快，此點反應壽險公司在低利率的環境下，將面臨較嚴峻的資本要求；同時，藉由歷史資料以Vasicek債券評價模型估計之利率期間結構，整體結構呈現負斜率與凹口向上的走勢，在此情形下，短期利率的值較長期利率的值高，保單應提列的準備金價值較原始估計時更高。 在長期的低利率環境中，上述現象反應於長期保單的價值變化尤為明顯。本研究建議在進行保單的精算訂價時，不應僅以預定利率做為保單全期的折現因子，而應將長期的利率風險納入考量。 同時，匯率的變化亦嚴重衝擊壽險公司的業主權益，在模擬結果中，當匯率落於風險值時，壽險公司配置於美元資產的減損將造成業主權益呈現虧損，此點亦反應當壽險公司將資產配置於海外時，必須謹慎地評估外匯避險的相關策略。 整體而言，在本研究中，將資產配置偏重台幣的投資策略擁有較穩定的業主權益價值，並在短期擁有較佳的風險轉換報酬能力；另一方面，將資產配置偏重美元的投資策略在長期擁有較佳的風險轉換報酬能力，然而，也因其擁有較高的風險值，壽險公司可能面臨較嚴重的損失。本研究建議壽險公司在進行海外資產配置時，應謹慎地將利率風險與匯率風險納入考量。 / This article uses Monte Carlo simulation method to forecast the random walk process of Taiwan interest rate, US interest rate, and Taiwan US dollar exchange rate between next five years. The simulation base on three time series model：Vasecik, ARMA and VEC. Through the random walk process, this article aims to analyze the influence in asset, liability and equity by the change of interest rate and exchange rate. In this paper, we find that the Vasicek interest rate model has a more stable stochastic process than the VEC model, which because of the effect by mean reversion. On the other hand, because the VEC exchange rate model takes both long-term and short-term impact in concern, it has a more robust stochastic process than the ARMA model. Through the simulation results of the liabilities, we find that when the interest rate fell, the reserve value of insurance policy will rise faster, which makes life insurance companies face more severe capital requirements in the low interest rate environment. Besides, we also find that the interest rate term structure in the Vasicek Bond Pricing Model displays negative slopes with concave upward, which means the value of short-term interest rate higher than the value of long-term interest rate. In this situation, the reserve value of insurance policy will become much higher than the value original priced. In the long-term low interest rate environment, the impact of interest rate risk has more effect in the long-term insurance policy. This paper suggests that when pricing the costs of insurance policy, we should not only use one interest rate as the full term discount factor. The better way is to discount with the interest rate term structure. Overall, in this paper, the asset allocation strategy, which focus on Taiwan commercial bonds, has both better performances in value at risk and better ability to covert risk into revenue in the short term. On the other hand, the asset allocation strategy, which focus on US commercial bonds, has better ability to covert risk into revenue in the long run. When conducting overseas asset allocation, we suggest that life insurance companies should carefully consider interest rate risk and exchange rate risk.

傳統的資產負債管理(Asset-Liability Management，ALM)研究大多強調數量分析方法，並未考慮資料來源的問題。然而在銀行實務上，資產負債管理人員卻必須根據現有內外部資料來釐定資產負債組合的整体政策。在決策支援系統中，模式整合的功能包含模式之組合及連結等，可用以整合數量分析模式與相關資料。本研究運用人工智慧技術來探討資產負債管理中模式整合之問題。藉此可以明瞭ALM的分析流程，以作為銀行人員訓練之參考。另一方面由於應用黑板架構發展系統，也可以提供一個有彈性的整合環境，以反應使用者需求及資料異動狀況，亦可彈性新增、刪除及修改模式整合過程中的資料結構與知識內涵，以為未來連接理論技巧與實務環境之參考。 / The computer support for Asset Liability Management (ALM) in the literature emphasizes on the mathematical analysis and does not address the data source problems. In the practical banking environment, however, ALM decisions are made based on the dynamic internal and external data changes. Therefore, an ideal ALM decision support system has to consider the integration of data sources and mathematical analysis. Traditional Decision Support Systems (DSS) rely on the expert's assistance to understand the problem and formulate or integrate appropriate models. There is a growing recognition that incorporates Artificial Intelligence techniques (Al) into the DSS can enhance the acceptance of these decision aids by management. 　　This paper intends to develop an Intelligent Decision Support System (TDSS) and addresses the model integration concept for the ALM. In the paper, model integration is defined as a series of processes from which important decision making information is inferred through automatic data model mapping and mathematical model conversion. The investigation of model integration concept helps the ALM analysis process understanding which can be useful for baaldng personnel training. On the other hand, the IDSS provides a flexible integration environment in which the system can flexibly response to the user's analysis request with the updated data situations. Since the blackboard architecture used for the system development supports the modularization structure, its inherent maintainability aLows a flexible update of the domain knowledge and data structure, and can therefore serve as a testbed to evaluate the potential integration approaches of various ALM data and mathematical models.

本研究的目的是針對退休金的長期負債以資產負債管理的方式提出有效的投資避險策略建議。在過去，傳統精算的資產負債管理大多採用確定投資模型（Deterministic Model），即以過去的經驗設立「精算假設」，但是這樣的假設無法精確的呈現未來的趨勢，所以本文的第一部份，便是根據過去的台灣總體經濟資料，建構一個退休基金的隨機投資模型（Stochastic Investment Model）。首先，我們以ECM（Error Correlation Model）模式建構出第一個投資模型，之後在精簡參數的考量下，建構第二個以因果關係為基礎的Causality投資模型，再以模型配適能力與預測能力比較兩模型，結果顯示Causality投資模型優於ECM投資模型。 　　有了投資模型，我們設定不同的退休金負債形式，如固定成長型負債MF、隨通貨膨脹成長M^R負債及隨max{固定成長比例，通貨膨脹}而成長的退休金負債M^L，以靜態避險的方式去求得各資產的最適配適比例。從模擬的結果中發現隨著到期日的增長，投資在風險性高報酬率佳的投資標的物上的比例也越來越高。另外，隨著負債固定成長比例f的增加，其M^L負債之期初資產配置額便越接近M^F負債之期初資產配置額。整體而言，我們由模擬中可得出，使用投資組合的投資方式優於單一資產投資的結論。 / In this study, we investigate the hedging strategies for pension liabilities by using Asset-Liability Management method. In the past, the traditional actuarial valuation usually does not take account of market value for both assets and liabilities. Most of the traditional actuarial valuation adopted the Deterministic Model, that is, setting the assumptions based on the experiences. However, it can not exactly show the trend in the future. In part one of this study, we build a stochastic investment model for the pension funds based on Taiwan Market data. First, we apply the first model : ECM( Error Correlation Model ). And then, we apply the second model : Causality Model under considering parsimonious parameterization. Finally, we compare the results of ECM with Causality Model on fitting and forecasting efficiency, and we find that Causality Model is better than ECM. With the investment model, we set some formulas of pension liabilities calculated to obtain the best fit proportion of each valuation by the static hedging. This involves finding optimal static hedging strategies to minimize riskiness of the investment portfolio relative to the liability. Overall, from the simulation results, for static hedging in these kinds of liabilities, investing in all three assets is a better strategy than investing in a single asset class. This confirms that the more assets we use, the more effectively we can hedge.

本論文應用數學規劃建立符合我國法令規範與投資政策說明書之投資政策及風險管理的資產負債管理模型。主要的討論對象為國民年金、公務人員退休撫卹基金與新制勞工退休金。模型中主要透過資產配置的收益與提撥收入維持現金流的平衡，以支應現在或未來的負債。在提出的模型中，採取維持最低基金公積率的策略，以確保長期的償付能力。當償付能力不足時，以政府撥補或是修正提撥率處理巨額的虧損。且使用機率限制式將發生不足的風險控制在可接受的範圍內。因此本論文提出的模型為多階段的有補償的混和整數隨機規劃模型。