本研究旨在探討台灣壽險業外匯價格變動準備金與衍生性金融商品使用之關聯，並分析影響壽險公司外匯風險管理決策之因素。研究對象為凱基人壽、國泰人壽、富邦人壽、台灣人壽、三商美邦人壽及新光人壽等六大壽險公司，樣本期間涵蓋 2006 年至 2025 年之季度資料。本文以普通最小平方法分析外匯價格變動準備金淨變動對避險比率與衍生性金融商品使用金額之影響，並進一步採用多項式羅吉斯模型與有序羅吉斯模型，檢驗公司特性與外匯風險管理因素對衍生性金融商品使用型態及種類之影響。主要解釋變數包含外匯價格變動準備金淨變動、國外投資比率、公司規模、公司槓桿、負債期間不配合、分離帳戶比率、再保險比率、負債成本、避險成本與外幣資產比例。實證結果發現，外匯價格變動準備金淨變動與避險比率及衍生性金融商品名目金額呈顯著正向關係，表示外匯準備金與外部衍生性金融商品避險並非單純替代關係，而可能具有互補性。此外，國外投資比率、公司規模、公司槓桿與避險成本等因素，亦會影響壽險公司之避險比率、衍生性金融商品使用金額及使用型態。

This study aims to examine the relationship between foreign exchange valuation reserves and the use of derivative instruments in Taiwan’s life insurance industry, and to analyze the factors affecting insurers’ foreign exchange risk management decisions. The sample consists of six major life insurance companies in Taiwan, including KGI Life Insurance, Cathay Life Insurance, Fubon Life Insurance, Taiwan Life Insurance, Mercuries Life Insurance, and Shin Kong Life Insurance, covering quarterly data from 2006 to 2025. This study employs ordinary least squares regression to analyze the effect of changes in foreign exchange valuation reserves on hedging ratios and derivative notional amounts. It further applies multinomial logit and ordered logit models to examine how firm characteristics and foreign exchange risk management factors affect the type and number of derivative instruments used. The main explanatory variables include changes in foreign exchange valuation reserves, foreign investment ratio, firm size, leverage, asset-liability duration mismatch, separate account ratio, reinsurance ratio, liability cost, hedging cost, and foreign-currency asset ratio. The empirical results show that changes in foreign exchange valuation reserves are positively associated with both hedging ratios and derivative notional amounts, suggesting that foreign exchange valuation reserves and external derivative hedging are not merely substitutes, but may instead function as complementary risk management mechanisms. In addition, foreign investment ratio, firm size, leverage, and hedging cost are also found to affect insurers’ hedging ratios, derivative usage amounts, and derivative usage patterns.

[1] 林惠芳、張邦茹、葉寧欣（2012）。壽險公司使用衍生性金融商品決定因素之研究。風險管理學報，14(1)，25–47。
[2] 張碩文（2024）。外匯價格變動準備金新制對壽險業外匯避險策略影響分析 〔未出版碩士論文〕。國立臺灣大學。
[3] 金融監督管理委員會保險局（2024）。金管會將推動外匯價格變動準備金新制，協助壽險業提升避險策略運作彈性及強化財務穩健性。
[4] 金融監督管理委員會（2026）。人身保險業外匯價格變動準備金應注意事項。
[1] Bräuer, L., & Hau, H. (2024). Fund-level FX hedging redux. Swiss Finance Institute Research Paper No. 24-103.
[2] Campbell, J. Y., Serfaty-De Medeiros, K., & Viceira, L. M. (2010). Global currency hedging.The Journal of Finance, 65(1), 87–121.
[3] Colquitt, L. L., & Hoyt, R. E. (1997). Determinants of corporate hedging behavior: Evidence from the life insurance industry. Journal of Risk and Insurance, 64(4), 649–671.
[4] Cummins, J. D., Phillips, R. D., & Smith, S. D. (2001). Derivatives and corporate risk management: Participation and volume decisions in the insurance industry. Journal of Risk and Insurance, 68(1), 51–91.
[5] Eun, C. S., & Resnick, B. G. (1988). Exchange rate uncertainty, forward contracts, and international portfolio selection. The Journal of Finance, 43(1), 197–215.
[6] Froot, K. A., Scharfstein, D. S., & Stein, J. C. (1993). Risk management: Coordinating corporate investment and financing policies. The Journal of Finance, 48(5), 1629–1658.
[7] Hardwick, P., & Adams, M. (1999). The determinants of financial derivatives use in the United Kingdom life insurance industry. Abacus, 35(2), 163–184.
[8] Hodgson, A. (1999). Derivatives and their application to insurance: A retrospective and prospective overview. In N. R. Britton (Ed.), The changing risk landscape: Implications for insurance risk management: Proceedings of a conference sponsored by Aon Group Australia Limited (pp. 151–172).
[9] Hoyt, R. E. (1989). Use of financial futures by life insurers. Journal of Risk and Insurance, 56(4), 740–748. https://doi.org/10.2307/253457
[10] Nance, D. R., Smith, C. W., Jr., & Smithson, C. W. (1993). On the determinants of corporate hedging. The Journal of Finance, 48(1), 267–284.
[11] Perold, A. F., & Schulman, E. C. (1988). The free lunch in currency hedging: Implications for investment policy and performance standards. Financial Analysts Journal, 44(3), 45–50.
[12] Sialm, C., & Zhu, Q. (2024). Currency management by international fixed-income mutual funds. The Journal of Finance, 79(6), 4037–4081.
[13] Smith, C. W., Jr., & Stulz, R. M. (1985). The determinants of firms’ hedging policies. Journal of Financial and Quantitative Analysis, 20(4), 391–405.
[14] Staking, K. B., & Babbel, D. F. (1995). The relation between capital structure, interest rate sensitivity, and market value in the property-liability insurance industry. Journal of Risk and Insurance, 62(4), 690–718.
[15] Takao, A., & Lantara, I. W. N. (2009). The determinants of the use of derivatives in Japanese insurance companies. Asia-Pacific Journal of Risk and Insurance, 3(2), 1–21.