本研究探討 IFRS 17 架構下合約服務邊際（CSM）折現率之經濟意涵與建構問題。相較於既有文獻多將折現率視為外生參數，本文主張折現率應內生於資產負債管理與風險評價框架中，並影響保險負債衡量與利潤釋放動態。本文建構市場一致性（market-consistent）折現率模型，參考加拿大精算學會（CIA）之 Hybrid Approach 作法，由參考投資組合之市場利差出發，扣除預期信用損失（ECL）與非預期信用損失（UCL）等與保險負債無關之風險成分，以推估非流動性貼水（IP），並透過 Smith-Wilson 方法進行利率期限結構之擬合與外推。本文並將最佳估計負債（BEL）與風險調整（RA）納入履約現金流量衡量架構，進一步分析折現率變動對 CSM、BEL、RA 與盈餘認列之影響。

數值結果顯示，折現率建構不僅影響負債評價水準，亦改變 CSM 釋放路徑與盈餘波動結構，呈現會計穩定性與經濟風險揭露間之權衡關係。特別是在信用風險與非流動性貼水不同組合下，CSM 對市場利率變動呈現非線性反應。本文進一步探討 IFRS 17 與風險資本制度之錯配問題，研究結果對保險公司資產配置、財務報導品質與監理政策設計具有實務意涵。

This study examines the construction and economic implications of discount rates for the Contractual Service Margin (CSM) under IFRS 17. Unlike prior studies that often treat discount rates as exogenous inputs, this paper endogenizes discount rates within an Asset-Liability Management and risk valuation framework. Based on the Hybrid Approach proposed by the Canadian Institute of Actuaries (CIA), this study develops a market-consistent discount rate model by deriving the Illiquidity Premium (IP) from a reference portfolio after deducting Expected Credit Loss (ECL) and Unexpected Credit Loss (UCL). The resulting term structure is fitted and extrapolated using the Smith-Wilson method. Best Estimate Liability (BEL) and the Risk Adjustment (RA) are further incorporated into the fulfilment cash flow framework to analyze the effects of discount rate changes on CSM, liability valuation, and earnings recognition.

The numerical results show that discount rate construction affects liability measurement, CSM release patterns, and earnings volatility, revealing a trade-off between accounting stability and economic risk transparency. Under different credit risk adjustments and illiquidity premiums, CSM exhibits nonlinear responses to interest rate changes. The findings also highlight potential mismatches between IFRS 17 and risk-based capital frameworks, providing implications for insurers' asset allocation, financial reporting, and regulatory policy.

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