台灣壽險業在推動 IFRS 17 與 TW-ICS 制度轉型過程中，面臨外幣資產比重高與長期低利環境等挑戰，使資本結構與風險管理策略成為監理政策與企業決策的核心議題。本研究建構一個整合保單持有人風險偏好、利率與匯率動態的壽險公司資本監理模型，透過**效用最適化問題（utility optimization problem）**求解最適監理干預與資本配置策略。模型以確定性等價原理推導保單持有人之最適效用水準，並評估監理政策對清償能力與資本結構的影響。研究結果顯示，主管機關採取「雙軌干預」（同時限縮風險性資產並要求增資）可顯著提升保單持有人保障水準，並將違約機率降至 ICS 所設定的年化 0.5% 以下；次順位債發行則能強化資本結構、提升效用並增進公司財務韌性。模擬分析進一步發現，外部報酬下降或匯率波動擴大時，最適監理門檻與國際投資比例將隨風險溢酬動態調整。政策建議主管機關採行動態監理門檻與早期預警機制，壽險公司可運用 Tier 2 次順位債取代部分增資，以提升資本彈性與永續經營能力。

Taiwan’s life insurance industry faces significant challenges in implementing IFRS 17 and the Taiwan Insurance Capital Standard (TW-ICS), particularly due to the high proportion of foreign-currency assets and the prolonged low interest rate environment. This study develops an integrated regulatory capital management model that incorporates policyholders’ risk aversion, interest rate, and exchange rate dynamics. The model formulates a utility optimization problem under solvency constraints to determine the optimal regulatory intervention and capital allocation strategy. Using the certainty-equivalent approach, the study derives the optimal utility level for policyholders and evaluates the effects of supervisory measures on solvency and capital structure. The results indicate that a dual-track intervention, involving simultaneous restrictions on risky assets and capital injections, effectively enhances policyholder protection and reduces the default probability below the ICS benchmark of 0.5% per annum. Issuing Tier 2 subordinated debt further strengthens the capital base and improves both utility and financial resilience. The analysis also shows that optimal regulatory thresholds and foreign investment ratios dynamically adjust with changes in risk premia under volatile economic conditions. Policy recommendations suggest that the Financial Supervisory Commission (FSC) adopt a dynamic supervisory threshold and early-warning mechanism, while insurers should employ subordinated debt as a flexible substitute for equity to enhance capital efficiency and long-term sustainability.

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