臺灣壽險業因長期持有大量美元資產，在國際會計準則第 21 號「匯率變動之影響」（IAS 21）即期匯率評價規範下，財務報表容易受到匯率波動影響，並長期承擔高額避險成本。2025 年新臺幣劇烈升值事件，再次凸顯匯率風險對壽險業財務穩健性的衝擊。為強化產業風險承受能力，主管機關於 2026 年推動匯率會計制度調整與外匯價格變動準備金 2.0 制度。

本研究以動態資產負債模型為基礎，結合 Vasicek、GBM 與 Heston 模型，模擬新臺幣升值、貶值與區間震盪三種情境，分析匯率會計制度調整結合外匯價格變動準備金 2.0對壽險公司違約風險與財務穩健性的影響，並以虧損機率（SP）、平均首次虧損發生年度（AFSY）、風險值（VaR）與條件尾端期望值（CTE）四項指標衡量違約風險。

研究結果顯示，外匯價格變動準備金 2.0 能有效降低壽險業違約風險，其中以新臺幣升值情境下之改善效果最為顯著。敏感度分析進一步發現外匯準備金 2.0 在低避險環境下最能發揮效用；此外，較高按攤銷後成本衡量（AC）之外幣債券占比，有助於提升風險吸收能力；然而，高槓桿比率與高預定利率負債結構仍會增加違約風險。整體而言，匯率會計調整與外匯準備金2.0有助於提升壽險業匯率風險管理能力與財務韌性。

Taiwan’s life insurance industry has long held substantial U.S. dollar-denominated assets. Under International Accounting Standard No. 21, The Effects of Changes in Foreign Exchange Rates (IAS 21), financial statements are highly sensitive to exchange rate fluctuations, resulting in persistently high hedging costs. The sharp appreciation of the New Taiwan Dollar (NTD) in 2025 once again highlighted the impact of foreign exchange risk on the financial stability of life insurers. To strengthen the industry’s risk-bearing capacity, Taiwan’s financial authorities implemented foreign exchange accounting reforms and the FX Valuation Reserve 2.0 mechanism in 2026.

This study adopts a dynamic asset-liability framework combined with the Vasicek, Geometric Brownian Motion (GBM), and Heston models to simulate three exchange rate scenarios: NTD appreciation, depreciation, and range-bound fluctuations. The study examines the effects of the new mechanisms on insurers’ default risk and financial soundness using four risk indicators: shortfall probability (SP), average first shortfall year (AFSY), value at risk (VaR), and conditional tail expectation (CTE).

The empirical results indicate that FX Valuation Reserve 2.0 effectively reduces default risk, with the most significant improvement observed under the NTD appreciation scenario. Sensitivity analysis further reveals that FX Valuation Reserve 2.0 is most effective in low-hedging environments. In addition, a higher proportion of foreign currency bonds classified as amortized cost (AC) enhances risk absorption capacity, while high leverage and high-guaranteed-rate liabilities continue to increase insolvency risk. Overall, the findings suggest that the new regime improves foreign exchange risk management and enhances the financial resilience of Taiwan’s life insurance industry.

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