台灣壽險業為滿足存續期長與高利率保單需求，擁有高比例海外投資。為因應幣別錯配風險並加強資產負債管理，台灣保險公司推出外幣計價保單商品，其中以美元計價保單銷售占比最高。在COVID-19所引發經濟動盪下，美國聯準會透過大幅升息政策，依此穩定經濟。聯準會大幅升息舉動，導致台灣壽險業美元計價保單脫退率居高不下。脫退率顯著增加情形，可能造成保險公司流動性和反中介的風險。
本研究旨在探討利率差如何影響美元計價保單脫退率，並分析台灣保險公司面臨的流動性風險。研究結果顯示，當美元計價保單的宣告利率與1年期美元定存之利率差大於2%時，保單脫退率維持穩定低點，特別是未滿期保單。而當其利率差低於2%時，保單脫退率隨之提高。當美元計價保單的宣告利率與新台幣計價的20年期美債ETF之利率差大於1%時，保單脫退率維持穩定低點。對於已滿期保單而言，無論是與1年期美元定存或新台幣計價20年期美債ETF利率差分析，對保單脫退的影響皆更為敏感。

Taiwanese insurance industry has a high proportion of overseas investments to meet the long durations and return requirements of life insurance policies. To address currency mismatch risks and enhance asset-liability management, Taiwanese insurers have expanded from issuing exclusively New Taiwan Dollar (NTD)-denominated policies to offering policies in other foreign currencies, with US dollar-denominated policies comprising the majority. Amid the economic disruptions caused by the COVID-19 pandemic, the Federal Reserve implemented significant interest rate hikes, which may have led to increased lapse rates for US dollar-denominated policies. The significant increase in lapse rates has undoubtedly heightened concerns among insurers regarding financial liquidity and disintermediation risks.
This study aims to examine how interest rate differentials influence lapse rates of US dollar-denominated policies and to discuss the liquidity risks faced by Taiwanese insurers. The results indicate that when the rate differential between the declared rate of policies and one-year US dollar fixed deposits exceeds 2%, lapse rates remain stable at low levels, particularly for non-matured policies. However, when the differential falls below 2%, lapse rates start to increase. Similarly, when the rate differential between the declared rate of policies and the NT dollar-denominated 20-year US bond ETF exceeds 1%, lapse rates also remain stable at low levels. For matured policies, the lapse rates are found to be more sensitive for both.

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