在長期低利率環境下，台灣壽險業者為追求收益率而提高海外資產配置，累積顯著的外匯曝險。本研究於TIS（TaiwanInsuranceSolvency）監理框架下，採穩健最佳化（RobustOptimization）方法，以避險比率為唯一決策變數，將避險決策形式化為有限制之最佳化問題：以最小化避險成本為目標，並要求避險比率於多個匯率波動情境下TIS皆滿足監理門檻，據此求解穩健最適避險比率。研究結果顯示，穩健最適避險比率為h∗ =0.4：在正常匯率波動（σe=5%）下TIS達158.7%、中度壓力（σe =7%）下達115.0%，均滿足 TIS ≥ 100% 門檻，且較業界慣行比率節省約三成避險成本。其後再就預定利率與資產負債比等參數進行穩健性檢驗。
模型同時納入2026年1月生效之AC債券匯率新制，與2026年1月30日發布之外匯準備金「四道防火牆」（P、Q、X、Y）架構，反映兩項制度變革對避險決策之共同影響。本研究認為外匯準備金若設計得當，可降低系統流動性風險，並避免市場劇烈波動時被迫拋售海外資產。AC攤銷新制與四道防火牆雖能平滑損益、強化資本緩衝，但亦同步延緩匯損認列速度，使緩衝累積與消耗均呈平滑化。本研究建議監理機關於TIS過渡期間，以TIS 比率下之資本路徑、及壓力情境下各防火牆之消耗速度等量化指標作為監控依據，協助產業逐步調整資產負債管理與避險策略。

Under a prolonged low interest rate environment, Taiwan’s life insurance industry has substantially increased its allocation to foreign assets in pursuit of yield, accumulating significant foreign exchange exposure. Although insurers have adopted instruments such as USD-denominated policies and basket hedging, the scarcity of long-duration domestic bonds, combined with the high cost and limited efficiency of traditional hedging instruments, has made the foreign exchange price fluctuation reserve a critical mechanism for mitigating this exposure.
This study employs a normative simulation analysis under the Taiwan Insurance Solvency (TIS) regulatory framework, applying a robust optimization approach with the hedge ratio as the sole decision variable. The hedging decision is formalized as a constrained optimization problem: minimizing hedging cost subject
to the TIS ratio satisfying the regulatory threshold across multiple exchange rate volatility scenarios, thereby identifying the robust optimal hedge ratio. The results indicate a robust optimal hedge ratio of h∗ = 0.4, under which the TIS ratio reaches 158.7%undernormalvolatility (σe =5%) and 115.0% under moderate stress(σe =7%), satisfying the TIS ≥ 100%threshold in both scenarios while reducing hedging cost by approximately 30% relative to prevailing industry practice. Sensitivity analyses are conducted on parameters including the guaranteed interest rate and the asset-liability ratio. The model also incorporates the Amortized Cost (AC) bond foreign exchange amortization mechanism effective January 2026 and the “Four Firewall” (P, Q, X, Y) foreign exchange reserve architecture announced on January 30, 2026, capturing the joint impact of both reforms on insurers’ hedging decisions.
This study finds that a well-designed foreign exchange reserve can reduce systemic liquidity risk and prevent the forced liquidation of foreign assets under severe market volatility; conversely, a poorly designed reserve may itself become a source of instability, eroding shareholder value and long-term capital efficiency. While the AC amortization mechanism and the Four-Firewall architecture smooth
earnings volatility and strengthen capital buffers, they also slow the recognition of foreign exchange losses, leading to gradual accumulation and depletion of each buffer—warranting long-term observation of their buffering capacity under stress scenarios. In conclusion, policy evaluation should return to the core question of
how regulatory incentives reshape insurers’ behavior. This study recommends that, during the TIS transition period, the supervisory authority monitor key quantitative indicators including the TIS ratio and the depletion rate of each firewall buffer under stress scenarios, thereby assisting insurers in progressively adjusting their asset
liability management and hedging strategies.

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