周國端臺灣大學：財務金融學研究所陳宣仲Chen, Shiuan-ChungShiuan-ChungChen2007-11-282018-07-092007-11-282018-07-092006http://ntur.lib.ntu.edu.tw//handle/246246/607492001年以降，國內長期處於低利率的環境，截至目前為止發售了許多利率敏感型商品以增加銷售額，而以利率變動型年金為濫殤。又國人對退休金的意識增加，因此保險公司對於利率變動型年金的風險控管亦趨更加重要。 本文以2004年底發售最多利率變動型年金之公司為模擬之參考，在不同的負債結構、宣告利率策略、資產投資比重、期初投入資本及國內外長期利率平均水準下，觀察其破產機率、資本適足率及業主權益報酬率等因素，並針對前述之變因作敏感性分析。 在本文假設下發現： 1.經營利率變動型年金需要較高的期初投入資本。 2.以目前的利率水準下，資產部位持有過高的債券部位將增加發生大量解約時對於破產的威脅性及破產肇因於大量解約之比重。而負債部份持有高比重的利率變動型年金，須當心無力負擔宣告利率而導致破產的風險及大量解約對於破產的威脅性。 3.利率變動型年金無法有效解決利差損，因宣告利率策略隨著兩年定儲利率改變，此將消弭大環境利率上升時投資面所賺得的報酬，而使得業主權益報酬率無法大幅增加。 4.保險公司不應承諾大於自身能負擔的宣告利率策略，以避免為增加市佔率反而卻破產的可能。 5.於流動性資金充裕的情況下，低宣告利率策略所造成的大量解約將不存在過高的破產危險性，是保險公司可使用的策略。 6.相較於利率變動型商品，宣告利率以四家行庫兩年定儲為下限與十年期公債殖利率為上限之保單，對於保險公司的經營有較高的危險性。 7.國內長期利率水準持續維持低檔而國外利率水準提高，有助於利率變動型年金的經營，並且在不損及國外投資報酬下，發生大量解約將增加業主權益報酬率。Since 2001, the interest rate in Taiwan has been still at a low level. In order to stimulate the sales, Insurance companies sold a series of interest sensitive products. The interest sensitive annuity is the first hit of this kind of products. And as the awareness of pension fund getting increased, insurance companies should make more efforts on the risk management of interest sensitive annuities. This study tries to discuss the impact under different liability structures, credit rate strategies, asset portfolios, initial equity-to-asset ratio, and foreign and domestic long-term interest rate levels. The simulation divides into two parts. The first part is scenario analysis based on two insurance companies which sold the most interest sensitive annuities in 2004. And the second part is stress testing. The observe factors are included the insolvency probability, RBC ratio, return on equity…etc. Based on our assumption, the conclusion as following: 1. When the liability structure contains higher percentages of interest sensitive annuities, the insurance company needs higher initial equity-to-asset ratio. 2. The asset portfolio contains more percentages of bond will increase the risk of early surrender and the percentages of insolvency caused by early surrender. The insurance company which contains more percentages interest sensitive annuities should be aware of the probability that cannot afford the credit rate and the treat of early surrender. 3. Because the credit rate floats with two year saving deposit rate, the interest sensitive annuity will cancel the opportunity of earning higher return and cannot improve the interest spread loss effectively. 4. The insurance company should not promise prohibitive credit rate that they cannot afford, or the intreset sensitive annuity may boost the market shares but harm the health of insurance company. 5. When insurance company has sufficient liquidity, although dropping the credit rate will generate most early surrender, it becomes one of the companies’ usable strategies. 6. Compared with other interest sensitive annuity products, it is more dangerous when the company runs the product which is regulated the credit rate’s lower bound as two year saving deposit rate average and upper bound as ten year bond yield. 7. When the domestic long-term interest rate keeps at low level and foreign interest rate level remains at high. Early surrender will increase earnings under the prerequisite of not redeeming the foreign investment.致謝 ii 摘要 iii Abstract iv 第一章 緒論 1 第一節 研究動機與目的 1 第二節 研究架構 6 第二章 文獻探討 8 第一節 資產負債管理文獻 8 第二節 風險基礎資本額制度 9 第三節 保單解約率與市場利率關聯性相關文獻 11 第四節 利率變動型年金相關文獻 12 第三章 研究方法與模型 14 第一節 資產面模型設定 14 一、資產模型基本假設 14 二、資產模型說明 16 第二節 負債面模型設定 20 一、負債模型基本假設 20 二、負債模型說明 22 第三節 資產與負債配合方式 23 一、現金流量測試 23 二、損益表、資產負債表 24 三、資本適足率 25 第四節 參數估計 27 一、標準差之估計 27 二、利率模型參數估計 28 三、股價、匯率、利率相關性參數估計 29 第四章 模擬過程與結果分析 30 第一節 模擬分析流程 30 第二節 模擬結果與分析 32 一、A、B兩公司模擬結果分析 32 二、敏感性分析 38 1.負債結構 38 2.宣告利率策略 42 3.資產投資比重 46 4.期初投入資本 49 5.解約率上限 49 6.長期利率平均水準 52 第五章 結論 55 一、A、B公司情境分析結論 55 二、敏感性分析結論 55 第六章 參考文獻 60 附錄一 62 附錄二 66 附錄三 68524693 bytesapplication/pdfen-US利率變動型年金資產負債管理interest sensitive annuityALMthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60749/1/ntu-95-R93723068-1.pdf