台灣壽險業長期受高利率保單存量︑國內長天期固定收益資產不足及海外投資比重偏高等因素影響，形成資產負債幣別錯配與匯率風險暴露︒隨著 IFRS 17 及新一代清償能力制度（Taiwan Insurance Solvency, TIS）於2026 年接軌，保險負債與資產評價將更即時反映市場變動；同時，金管會推動之外幣攤銷後成本（Amortized Cost, AC）債券匯兌損益攤銷認列新制，亦可能改變壽險公司之外幣資產配置︒本文以利率變動型終身壽險為研究對象，建構資產負債管理（ALM）動態模型，採用恆定相對風險趨避（Constant Relative Risk Aversion, CRRA）效用函數衡量損益與淨值穩定性，在積極型︑穩健型及保守型三種管理風格下，比較匯率舊制（即期認列）與新制（攤銷認列）對最適 IFRS 9 資產配置及財務績效影響︒
研究結果顯示，匯率新制下最適外幣 AC 債券配置由舊制之 5.0% 提高至 20.9% 至 26.1%；期望損益率由 3.2% 至 6.6% 提升至 10.6% 至 15.3%；淨值比波動度由 13.3% 至 13.5% 下降至 7.1% 至 7.8%，降幅約 45%；5th 百分位淨值比由 18.8% 至 19.1% 提升至 43.7% 至 47.2%︒此外，三種管理風格之CRRA 期望效用均顯著增加，以保守型（+1.082）及穩健型（+0.746）增幅最為明顯︒壓力測試亦顯示，新制配置於淨值穩定性︑下行風險控制及技術性破產機率等指標均優於舊制︒整體而言，匯率會計新制結合 IFRS 9 資產分類機制，將透過匯兌損益認列方式改變壽險公司資產配置決策，並提升財務報表穩定性，此改善主要來自匯率損益認列時點平滑效果，並未消除實質匯率經濟曝險，壽險公司仍須透過資產負債管理與避險策略持續強化匯率風險管理能力︒

Taiwan's life insurance industry has long faced significant currency mismatches and interest rate risk exposure due to high-guaranteed-rate policies, insufficient domestic long-term fixed-income assets, and a high proportion of overseas investments —a structural vulnerability sharply illustrated by a 6.98% single-month appreciation of the New Taiwan dollar in May 2025. With the 2026 implementation of IFRS 17 and the Taiwan Insurance Solvency (TIS) regime, insurance liabilities and asset valuations will more directly reflect market fluctuations; a concurrent amortization-based foreign exchange recognition rule for foreign-currency amortized- cost (AC) bonds, introduced by Taiwan’s regulator, may further alter insurers’ incentives for foreign-currency asset allocation. Using interest-sensitive whole life insurance as an example, this study develops a dynamic asset-liability model incorporating interest rates, exchange rates, equity markets, and insurance liabilities, and applies a constant relative risk aversion (CRRA) utility function to evaluate earnings performance and net worth stability across three management styles (aggressive, balanced, and conservative). The study compares optimal IFRS 9 asset allocation and financial performance under the previous spot-rate recognition regime and the new amortization-based regime.
The results show that under the new regime, the allocation to foreign-currency AC bonds rises from 5.0% under the old regime to 20.9%–26.1%. In terms of financial performance, the expected profit rate increases from 3.2%–6.6% to 10.6%–15.3%; net worth ratio volatility falls by approximately 45% (from 13.3%–13.5% to 7.1%– 7.8%); and the 5th-percentile net worth ratio improves from ii 18.8%–19.1% to 43.7%–47.2%. Expected CRRA utility increases across all three management styles, with the largest gains for conservative (+1.082) and balanced(+0.746) styles. Stress tests on the conservative style under rising-rate, high-lapse, and sharp-appreciation scenarios further show that the new-regime allocation remains more stable in net worth ratio volatility, downside percentiles, and technical insolvency probability than the old-regime allocation. Overall, foreign exchange accounting rules and IFRS 9 asset classification materially influence life insurers' asset allocation decisions through their effects on earnings recognition and net worth volatility —although this effect stems primarily from smoothing the timing of foreign exchange gain/loss recognition, rather than from any reduction in actual currency exposure.

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