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| Title: | 台灣壽險業發行次順位債之風險與效益
Risk and Effectiveness of Subordinated Debt Issuance for Taiwan Life Insurance Industry |
| Authors: | 王睿為
Wang, Jui-Wei |
| Contributors: | 張士傑
王睿為
Wang, Jui-Wei |
| Keywords: | 資本性質債券
預期效用
清償能力
監理干預措施
Hybrid bonds
Expected utility
Solvency
Regulatory interventions |
| Date: | 2023 |
| Issue Date: | 2023-08-02 14:23:57 (UTC+8) |
| Abstract: | 台灣保險業將於2026年實施國際財務報導準則第17號 (IFRS 17) 及國際保險資本標準 (ICS)。其中ICS在資本適足率、自有資本、風險資本及貼現率規定與現行監理制度存在差異。本研究回顧ICS制度及南韓在地化調整之K-ICS監理架構與過渡措施，並分析韓國保險公司透過發行具資本性質債券提升資本策略，檢視對於台灣保險業接軌ICS之影響。
本研究建立預期效用模型探討壽險公司因清償能力不足而受監理干預時，主管機關採取措施如何影響保單持有人權益。監理干預措施分為限期增資及限縮風險性投資。實證結果顯示: (1) 監理機關同時限縮保險公司投資及限期保險公司增資，能極大化保單持有人支付每單位保費的等值到期保障; (2) 保單期限越長，有效提升每單位保費的等值到期保障，若保單持有人風險態度保守，則應降低風險性資產比例，導致該比值降低。(3) 發行資本性質債券之保險公司，儘管保單持有人每單位保費的等值到期保障無明顯增加，但可有效降低需增資比例。
The insurance industry in Taiwan is set to implement International Financial Reporting Standard 17 (IFRS 17) and Insurance Capital Standard (ICS) by 2026. The ICS introduces differences in regulations regarding solvency ratio, own capital, risk capital, and discount rates compared to the existing regulatory framework. This study reviews the ICS system and the K-ICS localized regulatory framework and transitional measures implemented in South Korea. It also analyzes how Korean insurance companies enhance their capital through the issuance of hybrid bonds, examining the impact on the implementation of the insurance industry in Taiwan with ICS.
In this research, an expected utility model is established to investigate how regulatory interventions affect policyholders` interests when life insurance company is insolvent. The regulatory interventions include timely capital injections and restrictions on asset allocation. Empirical results indicate that: (1) Simultaneously restricting insurance companies` investments and enforcing capital injections is most effective in increasing the interests of policyholders. (2) Longer contract terms effectively enhance the interests of the policyholders, while policyholders who exhibit more risk aversion should consider reducing the investment of risky assets, leading to a decrease in interests. (3) Insurance companies that issue capital instruments may not significantly increase policyholders` interests; however, they can effectively reduce the optimal capital injection. |
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| Description: | 碩士
國立政治大學
風險管理與保險學系
110358025 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110358025 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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