1970 至 1980 年代初期，美國壽險業在高市場利率的衝擊下，壽險保單持有人為尋求更高的投資報酬，紛紛提出解約(Lapse)或保單貸款(Policy loans)的要求，產生所謂的脫離金融機構症(Disintermediation)，此現象可能造成保險公司現金大量流出，進而影響公司的資金運用。故美國壽險公司為降低此種利率不正常變動所造成之影響，便致力開發變額壽險等與利率相關的保單商品。 人壽保險契約解約率(Lapse rate)過高一直是壽險公司經營上的困擾，解約率的高低除直接反應保單的穩定性外，亦可作為公司業務成長及業務品質的重要指標。我國對於影響壽險契約解約率因素的研究多以問卷調查的方式為之，藉此瞭解個別保戶解約的動機，屬個體面的探討，此種研究方法可能無法直接反映總體經濟環境的改變所造成的影響。由歐美國家學者提出的相關研究，顯示其已漸漸重視總體經濟環境興壽險解約率間的相互關係。反觀國內並無相關的研究文獻，故本論文即以壽險解約率與總體經濟關係為研究的主題。 本論文的實證研究受限於國內壽險業發展較晚及資料取得不易，故以成立時間較久的七家本土壽險公司為研究樣本，以民國 72 年至 85 年為研究期間，被解釋變數則分為保額解約率及件數解約率兩項，解釋變數為經濟成長率、平均每人國民所得、替代資產報酬率、失業率及通貨膨脹率。並以橫斷面及時間序列結合資料(Panel data)型態應用於壽險解約率的模型建構，此資料型態可解決壽險解約率相關資料太少，無法有足夠樣本建構橫斷面或時間序列資料型態的模型，故本研究採用此種資料探討壽險保單解約率與總體經濟變數間的關係，並透過各種檢定方法，選取解約率模型。 實證結果顯示國內經濟成長率及平均每人國民所得對壽險保額解約率及件數解約率皆有顯著的影響，失業率在轉換前的件數解約率模型為顯著，替代資產報酬率及通貨膨脹率皆不顯著。此實證結果可能因變數選取的不適當而扭曲，但壽險公司仍可根據本研究的研究方法，修正有關的解釋變數建立適合公司的解約率模型，提供壽險公司擬定相關策略，降低總體經濟變動對壽險公司解約率的衝擊。 / Lapse rate plays a crucial role in monitoring the effectiveness of management for life insurers. Its changing phoneme not only characterizes the stability of the insurer's financial strength but also provides a benchmark in valuing the development and quality of business. There are many factors influencing the lapse rate of the life insurance policies. In this study, macroeconomics index, economic growth rate, per capita income, rate of return on alternative, unemployment rate and inflation rate are selected as independent variables to measure their importance. Seven Taiwan domestic life insurers between 1983 and 1996 are sampled and studied. The panel data approach combining cross sectional and longitudinal observations are adopted. The lapse rate of the insured amount and the insured case are selected in variable intercept regression model as dependent variable to summarize the mutual relationship with the chosen independent variables. F-tests, Lagrangian-multiplier test and Hausman test are performed in making the conclusion. Based on our study, several results have been found and summarized as following. (1) Economic growth rate and per capita income are found to be significant in influencing both the lapse rates of insured amount and insurance case. (2) Unemployment rate is also significant in influencing the lapse rate of insurance case. (3) There is no significant effect from the rate of return on alternative and inflation rate. This study has emphasized on employing the methodology of adopting the panel data to explore the relationship between the lapse rate and the selected macroeconomics factors. Based on our approach, the life insurers could monitor its renewal life insurance policies and associated cash flows when the impacts from the macroeconomic factors present.

Many studies suggest the ability of the NAIC Risk-Based Capital ratio (RBC ratio) to predict insurer insolvency. Based on the US life insurer (insurer) data for the period of 2005 to 2008, this study finds explanatory variables that have a statistically significant relationship with the RBC ratio. Advantages of panel data over cross-sectional and time series data analysis are exploited to make valid inference on coefficients of the explanatory variables. Testing for unobserved insurer and time effects and for dependence between these effects and the explanatory variables indicates the appropriateness of the fixed insurer and time effects model. Based on the ordinary least squares estimates, it is found that insurers' size, capital-to-asset ratio, and return on capital have a statistically significant relationship with the RBC ratio. Additionally, health product, annuity product, opportunity, and regulatory risks of insurers are related to the RBC ratio. Accounting for heteroscedasticity and autocorrelation for a given insurer yields the same coefficient estimates, but increased standard errors. / text

In many regions of the world, the solvency regulation of insurers is becoming more principle-based and market oriented. However, the exact forms of the solvency standards that are emerging in individual jurisdictions are not entirely consistent. A common risk and capital framework can level the global playing field and possibly reduce the cost of capital for insurers. In the thesis, a conceptual framework for measuring the insolvency risk of life insurance companies will be proposed. The two main advantages of the proposed solvency framework are that it addresses the issue of incentives in the calibration of the capital requirements and it also provides an associated decomposition of the insurer's insolvency risk by term. The proposed term structure of insolvency risk is an efficient risk summary that should be readily accessible to both regulators and policyholders. Given the inherent complexity of the long-term guarantees and options of typical life insurance policies, the term structure of insolvency risk is able to provide stakeholders with more complete information than that provided by a single number that relates to a specific period. The capital standards for life insurers that are currently existing or have been proposed in Canada, U.S., and in the EU are then reviewed within the risk and capital measurement framework of the proposed standard to identify potential shortcomings.

In many regions of the world, the solvency regulation of insurers is becoming more principle-based and market oriented. However, the exact forms of the solvency standards that are emerging in individual jurisdictions are not entirely consistent. A common risk and capital framework can level the global playing field and possibly reduce the cost of capital for insurers. In the thesis, a conceptual framework for measuring the insolvency risk of life insurance companies will be proposed. The two main advantages of the proposed solvency framework are that it addresses the issue of incentives in the calibration of the capital requirements and it also provides an associated decomposition of the insurer's insolvency risk by term. The proposed term structure of insolvency risk is an efficient risk summary that should be readily accessible to both regulators and policyholders. Given the inherent complexity of the long-term guarantees and options of typical life insurance policies, the term structure of insolvency risk is able to provide stakeholders with more complete information than that provided by a single number that relates to a specific period. The capital standards for life insurers that are currently existing or have been proposed in Canada, U.S., and in the EU are then reviewed within the risk and capital measurement framework of the proposed standard to identify potential shortcomings.

台灣的壽險公司早在數年前就開始自願性揭露自身的隱含價值(Embedded value, EV)，迄2016年底共有3家金控、3家壽險公司在每年初第一季法人說明會揭露去年整體公司的隱含價值，希望透過自願性的揭露隱含價值來降低與投資大眾之間的資訊不對稱，提升股票價格與流動性。國際投資法人都會用隱含價值來做為金控、壽險公司股價的判斷依據，但台灣股票價值明顯低於隱含價值甚多。有鑑於此，本論文想研究台灣2009-2015年間，壽險公司自願性揭露隱含價值報告書是否提供有價值的資訊給投資大眾。本文利用簡單迴歸3個模型來檢驗假說，再將有無揭露隱含價值報告書之金控、壽險公司分群，資料從2009至2015年底的日資料與季資料，利用統計學兩獨立樣本T檢定與無母數Wilcoxon檢定方式，分別比較兩群金控、壽險公司股價與財務變數表現。實證結果顯示，隱含價值能提供有價值之資訊，並且有揭露隱含價值的壽險公司在財務變數的資產、稅後淨利、ROE和ROA波動度顯著表現較好與穩定；有揭露隱含價值的金控公司在股價變數表現方面皆顯著更好。整體而言，自願性揭露隱含價值確實能提供有價值的資訊給投資大眾。因此，建議未來主管機關也能將是否強制要求壽險公司揭露隱含價值納入考量，以作為金融政策監理之參考。 / Life insurers in Taiwan began disclosing voluntarily their embedded value (EV) a few years ago. By the end of 2016, there were 3 Financial Holding Companies (FHC) and 3 insurers disclosing their EV in the first-quarter financial report every year. They hope to increase the stock price and liquidity through voluntary disclosure of EV which may reduce the information asymmetry for the investors. The stock prices of life insurers in Taiwan are significantly lower than their EVs, and the voluntary disclosure of EV is not common. Therefore, this paper intends to study whether the disclosure of EV provides valuable information to the investor. Based on the data of FHC and life insurers during 2009-2015, this study compares the operating stability, stock price and financial performance between the firms with and without disclosure of EV. The empirical results show that the life insurers with EV disclosure present better profiles in Asset, Net Income, ROE and ROA Volatility, and the FHC with EV disclosure outperform in stock price, volume, turnover, market value, and price book ratio. Therefore, this study concludes that voluntary disclosure of EV does provide valuable information to the investors.