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    题名: 新版國際會計準則對壽險公司財務報表影響分析
    The impact of IFRS 9 / IFRS 17 on financial statement of life insurer
    作者: 張蕙茹
    Chang, Hui Ju
    贡献者: 謝明華
    Hsieh, Ming Hua
    張蕙茹
    Chang, Hui Ju
    关键词: 國際財務報導準則第9號
    國際財務報導準則第17號
    主成分分析
    極端利率情境
    攤銷後成本
    International Financial Reporting Standard 9 (IFRS 9)
    International Financial Reporting Standard 17 (IFRS 17)
    Principal component analysis (PCA)
    Interest rate shock scenarios
    Amortized cost
    日期: 2017
    上传时间: 2017-07-31 11:01:12 (UTC+8)
    摘要: 金融風暴喚起各界改革財務報表未能反映實際虧損的缺失，因此，新版國際財務報導準則第9號及第17號公報應運而生，未來正式接軌後，對於壽險業的財報將產生重大衝擊，更突顯其資產負債管理之重要性，故本研究係採用主成分分析建構極端利率情境，並考量折現率需反映現時狀況下，於資產面分別以攤銷後成本或公允價值衡量、負債面採公允價值評價，欲探討資產負債配置及攤銷後成本比重不同時，利率變動對於壽險公司股東權益波動度之影響，以供壽險業參考。
    研究結果發現攤銷後成本比重能夠有效控制股東權益波動度。再者，壽險公司應審慎評估海外投資比例，並配合其壽險商品外幣保單之銷售策略加以布局，同時謹慎考量會計決策，適當選擇攤銷後成本權重，方能有效控制資產負債表之波動。
    The financial crisis has caused wide public concern since it is failed to reflect the actual losses in financial statements. As a result, International Accounting Standards Board (IASB) issued new International Financial Reporting Standards, IFRS 9 and IFRS 17. The surplus of life insurers may fluctuate sharply if assets and liabilities don’t match appropriately under these new IFRS Standards. We follow the international regulation standard by using principal component analysis to generate extreme interest rate shock scenarios. This study examines the volatility of surplus under extreme interest rate shock scenarios for different combinations of liabilities, fair-valued assets, and amortized cost assets. In particular, the assets are measured at amortized cost or fair value, and all liabilities were acquired at fair value approach. In the numerical analysis, we showed that it is one of the most effective methods to control the surplus volatility by adjusting the percentage of amortized cost assets. Furthermore, life insurer should adjust the percentage of foreign investments and insurance policies carefully in order to reduce the fluctuation in shareholders’ equity.
    參考文獻: 江美艷、陳欣怡（2016，4月16日）。金融工具大變革─談IFRS 9。證券暨期貨月刊，34(4)，30-44。
    吳靜君（2017年4月13日）。外幣保單熱賣業績占近三成。經濟日報。上網日期：2017年6月19日，檢自：https://udn.com/news/story/7239/2402367
    保險市場重要指標。保險事業發展中心。上網日期：2017年6月19日。檢自：http://www.tii.org.tw/opencms/research/research05/
    保險合約負債公允價值評價精算實務處理準則105年版草案（2016）。臺北市：中華民國精算學會。
    處理IFRS 9與新保險合約準則適用日不同而引發之疑慮（IFRS 4準則修正）(2016)。臺北市：勤業眾信聯合會計師事務所。
    國際財務報導準則第9號金融工具(International Financial Reporting Standard 9：Financial Instruments)(2016)。臺北市：財團法人中華民國會計研究發展基金會。(原作2014年出版)。
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    European Insurance and Occupational Pensions Authority. Solvency II Calibration Paper. (2010). CEIOPS.
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    描述: 碩士
    國立政治大學
    風險管理與保險學系
    104358015
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0104358015
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

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