政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/60053
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文笔数/总笔数 : 113318/144297 (79%)
造访人次 : 50965014      在线人数 : 959
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    请使用永久网址来引用或连结此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/60053


    题名: 負債評價、資產負債組合與資本強化策略:台灣人壽保險產業分析
    Liability valuation, portfolio of assets and liabilities, and capital strengthening strategy: analysis of Taiwan life insurance industry
    作者: 謝奇芳
    贡献者: 張士傑
    謝奇芳
    关键词: 國際財務會計準則
    利差損
    監理寬容
    日期: 2009
    上传时间: 2013-09-04 15:02:18 (UTC+8)
    摘要: 經過2008年金融海嘯影響後，台灣壽險業帳列資產價值大幅縮水，整體
    壽險產業淨值下跌。加上國際會計準則 (IFRS) 及資本監理標準
    (Solvency II) 之修正，具體呈現於歐洲保險子公司在台股權移轉交易，紛
    紛退出台灣市場，突顯集團母公司必須遵循母國標準，必須將資產負債移轉給
    相對寬鬆資本規範之本國公司。當金融產業不穩定下，監理機關採取暫行措施
    可以穩定金融市場運作，對於降低金融監理標準之作法稱做監理寬容。持續低
    利率環境造成過去壽險公司在1990年代高利率時期，發行之長期性過高利率保
    單產生利差損問題。尤其在接下來預定實施國際會計準則第四號公報
    (IFRS4) 後，壽險公司需依照「市場實際利率」提存準備金，預估整體壽險
    業將至少須增提10%到15%的資本，此增資壓力龐大，利差損問題益加嚴重。
    本研究主要回顧過去之保險負債評價文獻，並且引用國際會計準則委員會
    (IASB) 針對保險合約會計之討論稿，整理IFRS 4中對於保險負債評價的部
    份，IASB希望以「現時移轉價值」來衡量保險負債，其中現實移轉價值包括現
    金流量、時間價值、風險邊際、服務邊際四個部份。此外，本研究將透過主成
    分分析檢視台灣壽險公司的資產與負債結構，從結果可得知，在資產部分，可
    以大略歸類出四種不同的投資性質；而負債部分，除了兩家外商公司以外，其
    他壽險公司在各險種的經營上仍有些許差異。資產負債結構相似的公司在資產
    負債管理及風險管理上較為相近，在面對利率波動及其他市場風險時，可作為
    決策之借鏡。最後，在國際財務會計準則第四號公報實施後，利差損問題會益
    加嚴重，本研究試著提出由政府成立「政府再保險公司」，透過風險轉換，也
    許可以減緩台灣壽險公司的增資壓力。
    參考文獻: 英文文獻

    Bacinello, A. R. and Ortu, F., 1994, “Single and Periodic
    Premiums for Guaranteed Equity–Linked Life Insurance
    under Interest Rate Risk: The Lognormal + Vasicek Case”,
    In: Peccati, L. and Viren, M., Editors, 1994. Financial
    Modelling, Physica-Verlag, pp. 1–25.

    Barth, M. E., W. R. Landsman, and J. M. Wahlen,1995, “Fair
    Value Accounting:Effects on Banks’ Earnings Volatility,
    Regulatory Capital, and Value of Contractual Cash
    Flows”, Journal of Banking and Finance, 19: 577-605.

    Bellhouse, David R. and Harry H. Panjer, 1981, “Stochastic
    Modelling of Interest Rates with Applications to Life
    Contingencies–Parl II”, Journal of Risk and Insurance,
    48:628-637.

    Black, F. and Scholes, M., 1973, “The Pricing of Options
    and Corporate Liabilities”, Journal of Political
    Economy, 81: 637-654.

    Bloomer, J., 2004, “Impact of Insurance Accounting on
    Business Reality and Financial Stability”, The
    Geneva Papers on Risk and Insurance: Issues and Practice,
    29: 56-62

    Botosan, C. A., 1997, “Disclosure Level and the Cost of
    Equity Capital”, The Accounting Review, 72: 323-349.

    Bowers, N.J., Gerber, H.U., Hickman, J.C, Jones, D.A. and
    Nesbitt, C.J., 1986, Actuarial Mathematics, Society of
    Actuaries, Itasca, Illinois.

    Boyle, Phelim P., 1976, “Rates of Return as Random
    Variables”, Journal of Risk and Insurance, 43: 693-713.

    Brenard, M. J., and Schwartz, E. S., 1976, “The pricing of
    equity-linked life insurance policies with an asset value
    guarantee”, Journal of Financial Economics,3: 195-213.

    Chen, A., Suchanecki, M., 2007, “Default risk, bankruptcy
    procedures and the market value of life insurance
    liabilities”, Insurance: Mathematics and Economics 40,
    231-255.

    Cox, S.H., Lin, Y., 2005, “Securitization of mortality
    risks in life annuities”, The Journal of Risk and
    Insurance, 72, 227-252.

    Daske, H., 2006, “Economic Benefits of Adopting IFRS or US
    GAAP – Have the Expected Costs of Equity Capital Really
    Decreased?”, Journal of Business Finance and Accounting,
    33: 329-373.

    Denis Duverne and Jacques Le Douit, 2007, “IFRS for
    Insurance: CFO Forum Proposals”, The Geneva Papers,
    2007, 32, 62–74.

    Dickinson, G., and P. M. Liedtke, 2004, “Impact of a Fair
    Value Financial Reporting System on Insurance Companies:
    A Survey”, The Geneva Papers on Risk and Insurance:
    Issues and Practice, 29:540-581.

    Dillmann, T., and J. RuB, 2001, “Implicit Options in Life
    Insurance Contracts Part1 –The Case of Lump Sum Options
    in Deferred Annuity Contracts”, Blatter der DGVM, 15:
    211-223.

    ERNST&YOUNG, 2006, “Phase II Insurance Accounting – Which
    view will prevail?”.

    Gassen, J., and T. Sellhorn, 2006, “Applying IFRS in
    Germany–Determinants and Consequences,
    Betriebswirtschaftliche Forschung and Praxis, 58: 365-386.

    Gonedes, N. J., 1972, “Efficient Capital Markets and
    External Accounting”, The Accounting Review, 47: 11-21.

    Grosen, A., Jørgensen, P.L., 2002, “Life insurance
    liabilities at market value: An analysis of insolvency
    risk, bonus policy, and regulatory intervention rules in a
    barrier option framework”, Journal of Risk and
    Insurance, 69(1): 63-91.

    Hotelling, H., “Analysis of a Complex of Statistical
    Variables into Principal Components”, Journal of
    Educational Psychology, Vol. 24, 498-520, 1933.

    IAIS, 2005, “Issues arising as a result of the IASB’s
    Insurance Contracts Project –Phase II, Initial IAIS
    Observations”.

    IAIS, 2005, “Issues arising as a result of the IASB’s
    Insurance Contracts Project –Phase II, Second Set of
    IAIS Observations”.

    IAIS, 2006, “Survey Report: Impact upon supervisors of
    implementation of IFRS”.

    IASB, 2007, “Preliminary Views on Insurance Contracts:
    Part 1 – Invitation to Comment and main text”.

    IASB, 2007, “Preliminary Views on Insurance Contracts:
    Part 2 – Appendices”.

    Jordan, C.W., 1967, Life Contingencies. (Chicago, III:
    Society of Actuaries).

    Jørgensen, P. L., 2004, “On Accounting Standards and Fair
    Valuation of Life Insurance and Pension Liabilities”,
    Scandinavian Actuarial Journal, 104: 372-394.

    Pearson, Karl, 1901, “On Lines and Planes of Closet Fit to
    Systems of Points in Space”, Philosophy magazine Series,
    2, 559-572.

    Lai, S. L., and Frees, E. W., 1995, “Examining Changes in
    Reserves Using Stochastic Interest Models”, Journal of
    risk and Insurance, 62: 535-574.

    Laura Ballotta, Giorgia Esposito, and Steven Haberman,
    December 2006, “Modelling the Fair Value of Annuities
    Contracts: The Impact of Interest Rate Risk and Mortality
    Risk”, Actuarial Research Paper, No.176.

    Lev, B., 1989, On the Usefulness of Earnings and Earnings
    Research: Lessons and Directions from Two Decades of
    Empirical Research, Journal of Accounting Research,
    27:153-192.

    Leuz, C., and R. E. Verrecchia, 2000, “The Economic
    Consequences of Increased Disclosure”, Journal of
    Accounting Research, 38: 91-124.

    Meyer, L., 2004, “The Impact of Insurance Accounting on
    Business Reality and Financial Stability”, The Geneva
    Papers on Risk and Insurance: Issues and Practice,
    29: 71-74.

    Panjer, tlarry It. and David R. Bellhouse, 1980,
    “Stochastic Modelling of Interest Rates with Applications
    to Life Contingencies”, Journal of Risk and Insurance,
    47:91-110.

    Thomas Post, Helmut Grundl, Lisa Schmidl, and Mark S.
    Dorfman, 2007, ”Implications of IFRS for the European
    Insurance Industry –Insights from Capital Market
    Theory”, Risk Management & Insurance Review, 247-265.

    PricewaterhouseCoopers, 2002, Waking up to IAS:
    Implications for the Insurance Industry, World Wide
    Web: //www.pwcglobal.com/images/gx/eng/fs/insu/ias/
    iaswakingup.pdf (accessed June 13, 2007)

    PricewaterhouseCoopers, 2006, Standing up to Scrutiny:
    Analysts’ Perspectives on Insurance Reporting, World
    Wide Web: http://www.pwc.com/extweb/pwcpubli-
    cations.nsf/docid/C7E45582BDDA69F985257158001236F9/
    $File/0406ifrsimpact.pdf (accessed June 13, 2007).

    PriceWaterHouseCoopers, 2007, “IFRS Insurance Alert –
    Phase II Discussion Paper”.

    Shih-Chieh Chang, and Shang-Yin Yang, 2009, “Default risk,
    bankruptcy cost and regulatory intervention in life
    insurance supervision”.

    Swiss Re, 2004, “The Impact of IFRS on the Insurance
    Industry”, Sigma 7/2004(Zurich: Swiss Re).

    Wakker, P., R. Thaler, and A. Tversky, 1997,
    “Probabilistic Insurance”, Journal of Risk and
    Uncertainty, 15: 7-28.

    中文文獻

    李家泉，2000，《實用壽險數理》，華泰文化事業股份有限公司。

    李秀珍，2004，「國際財務報告準則對壽險商品負債面影響之探討」，逢甲大學計與精算研究所碩士論文。

    李佳穆，2008，「附保證商品在SOLVENCY II的資本評價」，政治大學風險管理與保險學系碩士學位論文。

    張士傑、蔡政憲，2009，《從學術理論到監理實務》，財團法人保險事業發展中心。

    張士傑，2010，《保險契約之評價與風險管理》，前程文化事業有限公司。

    楊文，2005，「國際與我國保險契約會計處理及相關議題之探討」，台灣大學會計研究所碩士論文。

    葉典嘉，2007，「壽險責任準備金公平價值之評價分析－以強制分紅保單為例」，政治大學風險管理與保險學系碩士學位論文。

    廖雅芬，2006，「探討國際會計準則－保險契約」，東吳大學會計學系碩士學位論文。

    賴姿吟，2003，「保險會計－美國與國際會計準則之比較」，台灣大學會計研究所碩士論文。
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    95358024
    98
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0953580241
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

    文件中的档案:

    档案 描述 大小格式浏览次数
    024101.pdf1378KbAdobe PDF2664检视/开启


    在政大典藏中所有的数据项都受到原著作权保护.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回馈