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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/132057


    Title: 保險負債之流動性溢酬估計
    Estimating the Liquidity Premium of Insurance Liability
    Authors: 李秉靜
    Contributors: 張士傑
    李秉靜
    Keywords: 流動性溢酬
    公平價值
    Date: 2014
    Issue Date: 2020-10-05 15:15:24 (UTC+8)
    Abstract: 我國人壽保險業因採用固定利率方式來計提責任準備金,當整體市場投資報酬率低於保單預定利率時,壽險業的利差損問題開始浮現且日益嚴重。同時,國際會計準則(International Financial Report Standards, IFRS)未來第二階段將採用公平價值評估保險負債。為改善壽險業既有的利差損問題以及符合國際發展趨勢,我國保險業將以公平價值評估保險負債及提存責任準備金。

    在公平價值評估基礎下,涉及折現率的選取和估計方式,折現率為無風險利率加計流動性溢酬。本研究探討流動性溢酬的估計方式,以及依據保險負債的流動性程度不同作流動性溢酬比例調整與估計出的流動性溢酬套用到保險負債的年期長度做討論。採取EIOPA提出之逼近法估計保險負債的流動性溢酬,並以一長年期保單和一短年期保單為例,計算其公平價值且與責任準備金進行比較。研究結果得出長年期保單的公平價值與責任準備金差異較大,對一持有長年期保單為主的保險公司而言,倘第二階段實施後,面臨增提責任準備金的壓力較甚。此外,相對於短年期保單,長年期保單對流動性溢酬的變動較為敏感,即流動性溢酬的波動對長年期保單的公平價值有較大的影響。
    Reference: 參考文獻
    Hancock, J., P. Huber, and P. Koch, 2001, “The Economics of Insurance: How Insurers Create Value for Shareholders (2nd edition)”, Swiss Re.
    Suresh Sankaran, “Calculation of the Term Structure of Liquidity Premium”.
    EIOPA, 1 March 2010, “Task Force Report on the Liquidity Premium”.
    EIOPA. 1 March 2010, “Cover letter to the report of the TF on the Illiquidity Premium”.
    John Hibbert, Alex Kirchner, Gavin Kretzschmar, Ruosha Li, Alxander McNeil, Jamie Stark, October 2009, “Summary of Liquidity Premium Estimation Methods”, Version 1.2.
    Barrie Hibbert, September 2009, “Liquidity Premium – Literature review of theoretical and empirical evidence”.
    Barrie Hibbert, May 2009, Estimation of the liquidity premium in corporate bond yields.
    CRO Forum, April 2011, “Practical application of Liquidity Premium to the valuation of insurance liabilities and determination of capital requirements”.
    EIOPA, 2010, “QIS5 Risk-free interest rates – Extrapolation method”.
    Albert S. Kyle, 1985, “Continuous Auctions and Insider Trading”, Econometrica, Vol.53, No.6.
    Maureen O’Hara, “Overview: market structure issues in market liquidity”, BIS Papers No.2.
    Delme Pritchard, Craig Turnbull, 2009, “A Measure of the Liquidity of Insurance Liabilities”, Research note, Barrie Hibbert.
    Craig Turnbull, 2010, “Liquidity premiums and contingent liabilities, Barrie Hibbert.
    財團法人保險事業發展中心, 2010年8月, 新契約責任準備金利率採浮動利率計提及強化有效契約責任準備金之配套措施 結案報告.
    財團法人保險事業發展中心, 2010年9月, 100年度人身保險業新台幣保單及外幣保單新契約責任準備金利率自動調整精算公式 檢討報告.
    張士傑, 2010, 保險契約之評價與風險管理, 第1 章, 11-61.
    張士傑, 流動性溢酬於保險業投資決策與負債評價.
    中華民國精算學會, 2013, 保險合約負債公平價值評價 精算實務處理準則(102年版草案).
    Description: 碩士
    國立政治大學
    風險管理與保險學系
    97358022
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097358022
    Data Type: thesis
    DOI: 10.6814/NCCU202001748
    Appears in Collections:[風險管理與保險學系] 學位論文

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