隨著我國導入 IFRS 17 與新一代清償能力制度，保險公司之資產負債評價逐漸轉向經濟價值基礎，資產配置亦須同時考量投資績效、風險資本及資本適足性，因此，本研究依據 ICS 2.0 規範建構結合利率期限結構模型、資產負債評價與市場風險資本之分析架構，探討壽險公司於資本限制下的最適資產配置問題。
本文首先採用兩階段法估計之 Dynamic Nelson–Siegel 模型估計及預測美國公債殖利率曲線，接著建構均值回歸、水平上升及水平下降等利率加壓情境，作為資產負債評價之基礎。在資產配置方面，本文建立僅配置公債之模型一及納入 S&P 500 股票部位之模型二，並計算市場風險資本，以比較不同資產配置架構下之投資績效與資本適足性。最後，以一年期經濟利潤 (Economic Profit) 作為最適化目標，在風險資本限制下搜尋最適投資組合。
研究結果顯示，利率下降情境對壽險公司自有資金之影響最為顯著，反映資產負債存續期間配置對資本適足性的重要性。模型一主要透過不同到期期間公債之搭配平衡投資收益與利率風險；模型二納入股票後雖能提升投資績效與經濟利潤，同時亦增加權益風險資本，使資本適足性受到壓縮，而公債期限結構亦隨之調整，但中長天期公債仍維持重要地位，顯示股票並非單純取代固定收益資產。整體而言，ICS 2.0 架構下之壽險資產配置已由傳統報酬與風險之權衡，進一步轉變為投資報酬、風險資本與資本適足性之整合性決策問題。

With the adoption of IFRS 17 and TW–ICS in Taiwan, insurers’ asset-liability valuation has shifted to economic value basis. Asset allocation therefore needs to consider investment performance and risk capital simultaneously. Based on ICS 2.0 framework, this study develops a framework integrating term structure modeling, asset-liability valuation, and market risk capital to investigate optimal asset allocation for life insurers under capital constraints.
This study applies the Dynamic Nelson–Siegel model, estimated using a two–step method, to estimate and forecast the U.S. Treasury yield curve and construct stress scenarios. Two asset allocation models are examined: Model 1 invests only in government bonds; Model 2 additionally includes an S&P 500 equity position. One-year economic profit is adopted as the optimization objective under risk capital constraints.
The results indicate that level down scenario has the greatest impact on insurers’ own funds. Model 1 balances investment returns and interest rate risk through government bonds of different maturities; Model 2 improves investment performance but also increases equity risk capital and reduces capital adequacy. Long–term government bonds remain important in the optimal portfolio, indicating that equities do not replace fixed-income assets.

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