隨著IFRS 17之實施與台灣邁入超高齡社會，兼具下檔保本與上檔參與的指數型連結年金(Fixed Indexed Annuity, FIA)逐漸成為退休理財市場之主力商品。然而，其內含複雜之衍生性金融商品特性，使得保險業在公允價值衡量下面臨資產負債管理與財報波動之嚴峻挑戰。
本研究旨在探討IFRS 17規範下，不同資產配置策略對FIA合約服務邊際變動之具體影響，進而尋求兼顧利潤極大化與破產機率最小之資產負債管理策略。在研究方法上，本研究建構P測度與Q測度之隨機經濟情境，採用幾何布朗運動(GBM)模擬股價路徑，並以CIR模型模擬隨機利率，透過蒙地卡羅模擬，動態計算不同長短期公債與股票權重組合下之避險預算與宣告上限(Cap)，最終以破產機率小於2.0%為限制條件，求解出能使期初CSM極大化之最適資產配置組合。
結果顯示，商品宣告上限(Cap)與IFRS 17財報獲利性存在顯著之抵換關係；過度追求高宣告上限將使保險公司之避險預算受限，且保險給付也增加，進而導致保單首日認列之CSM下降。此外，本研究發現，在利率情境之下，配置長天期公債能有效發揮資產負債管理之緩衝作用。當資金移往10年期長債時，其較高的孳息能顯著吸收極端隨機利率與股市衝擊，有效降低破產風險。
在嚴格控管破產機率小於2%之風險胃納條件下，模型最終優化得出「58%之10年期公債、32%之2年期短債與10%股票」為最佳資產配置組合。此配置不僅成功將破產機率壓制於1.90%之安全水位，更為保險公司創造出94,559元之最高CSM，完美取得獲利性與清償能力之最佳平衡。

As Taiwan transitions into a super-aged society under the IFRS 17 framework, Fixed Indexed Annuities (FIAs) have become popular but pose significant Asset-Liability Management (ALM) challenges due to their embedded derivatives. This study identifies an optimal asset allocation strategy that maximizes the Contractual Service Margin (CSM) while strictly limiting ruin probability.
Employing a dual-measure stochastic framework (P and Q measures), this research utilizes Geometric Brownian Motion (GBM) and the Cox-Ingersoll-Ross (CIR) model alongside Monte Carlo simulations to dynamically calculate hedging budgets and cap rates. Empirical results reveal a critical trade-off: excessively high cap rates strain hedging budgets and diminish the day-one CSM. Crucially, allocating funds to long-term (10-year) bonds effectively buffers against market volatility and mitigates ruin risk.
Under a strict ruin probability constraint of under 2%, the optimal portfolio is identified as 58% in 10-year bonds, 32% in 2-year bonds, and 10% in equities. This allocation successfully suppresses the ruin probability to 1.90% while generating a maximum CSM of 94,559, achieving an ideal balance between profitability and solvency.

一、 中文部分
中華民國精算學會（2025）。《人壽保險業 IFRS 17 精算實務處理準則（114年版）》。台北市：中華民國精算學會。
吳佩軒. (2019). 台灣實施 IFRS 17 之資產負債管理研究―以傳統型保險商品為例. 政治大學風險管理與保險學系學位論文, 1-47.
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二、 英文部分
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