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| Title: | 台灣壽險業發行次順位債之風險評估
Risk Assessment of Subordinated Debt Issuance for Taiwan Life Insurance Industry |
| Authors: | 黃靖軒
Huang, Ching-Hsuan |
| Contributors: | 張士傑
曾毓英
Chang, Shih-Chieh
Tzeng, Yu-Ying
黃靖軒
Huang, Ching-Hsuan |
| Keywords: | 次順位債券
資本性質債券
清償能力
監理干預
預期效用
Subordinated debt
Hybrid bonds
Solvency
Regulatory intervention
Expected utility |
| Date: | 2024 |
| Issue Date: | 2024-08-05 14:02:41 (UTC+8) |
| Abstract: | 台灣壽險業將於2026年1月1日採行國際財務報導準則第17號(IFRS 17)及新一代清償能力制度(TW-ICS)。因此，壽險公司面臨會計制度和資本適足率規範的變革。為符合新標準，壽險公司採取多項措施強化資本結構，如現金增資、發行次順位債、保留盈餘及調整保險商品等。金融監督管理委員會為接軌新清償能力標準，陸續開放不同的籌資管道，包括長期次順位公司債和具資本性質之債券的發行。
本研究比較分析保險業清償能力標準之發展歷程，依據資本結構理論，並分析壽險公司的籌資策略。透過建立保單持有人的預期效用模型，探討當壽險公司清償能力不符法規標準時，主管機關的監理干預對保單持有人的效用及壽險公司資產配置的影響。研究結果顯示：(1) 監理干預措施能提升保單持有人的效用，以同時增加應急資本及限縮風險性資產的效用最高；(2) 初始金融負債資產比增加能提高每元保費的效益，因金融負債可視為資本，降低資本成本；(3) 延長保單期限能提升保單持有人的效益，因長期投資帶來的複利效應及市場波動減少；(4) 保單預定利率上升會減少保單持有人的效益，並增加應急資本需求，因保險公司承諾的報酬率上升。
Taiwan's life insurance industry will adopt IFRS 17 and TW-ICS starting January 1, 2026. Consequently, life insurance companies face changes in accounting standards and capital adequacy regulations. To comply with the new standards, life insurance companies have implemented various measures to strengthen their capital structure, such as raising cash capital, issuing subordinated debt, and adjusting insurance products. The Financial Supervisory Commission has gradually opened different financing channels to align with the new solvency standards, including the issuance of long-term subordinated corporate bonds and hybrid bonds.
This study conducts a comparative analysis of the development history of solvency standards in the insurance industry. Based on capital structure theory, it also analyzes the financing strategies of life insurance companies. By establishing a policyholders’ expected utility model, the study explores the impact of regulatory interventions on policyholders’ utility and life insurance companies' asset allocation. The research findings indicate that: (1) Supervisory interventions can improve policyholders’ utility, with the highest utility achieved by simultaneously increasing emergency capital and restricting risky assets; (2) Increasing the initial financial debt-to-asset ratio can improve efficiency per dollar of premium, since financial debt can be considered capital, reducing the cost of capital; (3) Extending the policy term can enhance policyholder benefits due to the compounding effect of long-term investments and reduced market fluctuations; (4) An increase in the policy's assumed interest rate decreases policyholders’ utility and increases the demand for emergency capital, as the promised return rate of the insurance company increases. |
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| Description: | 碩士
國立政治大學
風險管理與保險學系
111358017 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111358017 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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