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| 研究生： |
廖伯軒 Liao, Po Hsuan |
|---|---|
| 論文名稱： |
會計制度對壽險公司資產負債管理之影響 The impact of international financial reporting standards on life insurance company's asset-liability management |
| 指導教授： | 蔡政憲 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 風險管理與保險學系 Department of Risk Management and Insurance |
| 論文出版年： | 2011 |
| 畢業學年度： | 100 |
| 語文別： | 英文 |
| 論文頁數： | 58 |
| 中文關鍵詞： | 公平價值準備金 、資產負債管理 、國際會計準則 |
| 外文關鍵詞： | Fair value reserve, IFRS4, Asset liability management |
| 相關次數： | 點閱：502 下載：93 |
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壽險業所販賣之商品通常為長年期保單，此一商品特性使得壽險公司的責任準備金(負債)非常容易受到市場利率波動而產生變動，進而影響到公司的清償能力。因此，資產負債管理對壽險公司來說一直是非常重要的一個課題。
過去的會計制度並未強制要求保險公司在財報中反應出準備金對利率的波動，資產負債管理的好處便無法在這樣的會計制度之下產生原有的作用，進而可能導致保險公司不重視這樣的管理方式。近年來保險監理的國際趨勢致力於加強準備金公平衡量以及真實揭露保險業的負債價值，因此我們可以預期在未來準備金的波動對保險公司的影響會較現在來得顯著，資產負債管理對壽險公司也應該會有較為顯著的影響。
本研究採用模擬的方式，比較不同投資策略的壽險公司在不同會計制度之下的財務狀況，進而探討資產負債管理的策略是否確實能讓保險人在公平價值準備金下較不受利率波動之影響。本研究的結果顯示在公平價值準備金的架構下，採用資產負債管理的壽險公司其損益會較沒採用資產負債管理的壽險公司穩定；若是在帳面價值準備金的架構下，採用資產負債管理的公司反而因為做出了多餘的避險行為致使其損益較不穩定。另外，本研究發現若是保險公司在資產負債策略下所採用的避險指標不符合目前法規，對公司的損益也會造成不必要的波動。因此本研究認為保險公司在實行資產負債管理策略時，應該參照目前會計制度下所給定的方式來做避險，進而達到最大的效益。
Life insurers' liability value is relatively sensitive to interest rate due to the long term characteristic of the policies. The high leverage ratio strengthens the impact on how interest rate can influence solvency.. Life insurer therefore should manage their assets and liability in a prudent way.
In the past, supervisory authorities used to regulate the insurer to recognize their liabilities in book value, which makes the benefits of ALM insignificant. Under such regulation, the main purpose of asset allocation for most of the life insurers was to generate higher investment return instead of matching asset with the liability, nor to maintain risk at acceptable level under book-value reserving. The international financial report standard No.4 (IFRS4) suggests that insurers should measure their liability under fair value in the future. The new regulation may increases the volatility of the life insurer's liability and emerges the benefit of ALM
The objective of this article is to compare the effect of ALM strategy on life insurer's financial statement under both accounting standards via simulation methods. The result shows that the insurers with ALM face more stable financial statement if they manage their interest rate decently.
One of the results shows that the insurers who manage their asset based on fair value duration faces more volatility than insurers without ALM under book value reserve. This implies that the insurer with ALM still suffers higher volatility if the regulations do not support such behavior. We therefore suggest that the insurers should manage their asset based on their liability interest rate risk under the condition that they choose the appropriate interest rate risk indicator to fit different regulations.
1. Introduction 1
2. Literatures Review 3
2.1 International Financial Reporting Standards 4 4
(a) The Objective of IFRS 4 5
(b) Best Estimated Liability 7
(c) Risk Adjustment 12
(d) Residual Margin 14
2.2 Quantitative Impact Study 5 16
(a) Best Estimated 16
(b) Risk Margin 20
2.3 Fair Value Reserve Estimation 22
(a) BELt 23
(b) RAt 24
(c) RMt 26
3. Simulation 26
3.1 The Investment Markets 26
(a) Interest Rate Model and Bond Markets 27
(b) Stock markets 28
3.2 Policy's Specifications 28
(a) Cash Flow of a Twenty-Year Endowment Policy 29
(b) Policy assumptions 30
3.3 Reserves 30
(a) Policy reserves 30
(b) Reserve Duration 33
3.4 Investment Strategy 34
(a) Buy-and-Hold Strategy 34
(b) Duration Matching Strategy 36
3.5 Insurer's Activities 37
(a) At the Beginning Period 38
(b) At the Ending period 40
4. Simulation Results 43
4.1 Balance Sheet Results 45
(a) Equity 45
(b) Profit and Loss 49
4.2 Sensitivity Test Results 53
(a) Result 1 54
(b) Result 2 55
5. Conclusions 56
References 58
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