English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113656/144643 (79%)
Visitors : 51719114      Online Users : 679
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/153063


    Title: 台灣壽險業接軌ICS風險資本變化與影響之分析
    The Analysis of Capital Requirement Changes and the Impact on Taiwan's Life Insurance Industry Aligning with ICS
    Authors: 李涴玶
    Li, Wan-Ping
    Contributors: 鄭士卿
    Jeng, Shih-Ching
    李涴玶
    Li, Wan-Ping
    Keywords: ICS
    RBC
    風險資本
    壽險業
    資本適足率
    ICS
    RBC
    Risk capital requirement
    Life insurance industry
    Capital adequacy ratio
    Date: 2024
    Issue Date: 2024-09-04 13:40:00 (UTC+8)
    Abstract: 我國原採RBC制度作為監控保險公司清償能力之指標,但為求與國際接軌,並與會計制度採取相同之公允價值評價方式,金管會宣布台灣將於2026年正式實施ICS制度。ICS 與現行之RBC制度不論在資產負債評價或風險資本計算等項目上皆不盡相同,尤其風險資本計提方式之改變將造成巨大的增資壓力。本文藉由比較兩制度規範上之不同,並建立保單現金流模型及資產配置假設,以計算出兩制度下風險資本提存金額之差別。有別於過往文獻,本文將負債組成設定更貼近實務,並將巨災風險納入考慮,更透過敏感性分析了解各變數對風險資本之影響程度。
    本研究結果發現ICS需提存之風險資本約為RBC之6倍,且保險風險及市場風險受到最大的影響。保險風險倍數提升最多,本文推測原因有二,ICS之加壓情境納入較多極端風險;且ICS下保險風險具有許多子項目風險,RBC則僅以淨危險保額作為計算風險資本之唯一考量。此外,金額最大的風險資本為市場風險,本文推測我國壽險公司之資產配置狀況容易造成巨大的利率、匯率風險,而ICS風險情境皆較RBC極端,進而使市場風險資本金額龐大。最後,在敏感性測試中,年齡及保單數量分布兩變數將對風險資本產生較大之影響;市場風險方面,則是債券年期之配置狀況。本文期望可以提供壽險公司關於新制度接軌所產生風險資本之影響之分析,以及商品設計及風險管理上之相關建議。
    Taiwan initially adopted the RBC (Risk-Based Capital) system as an indicator to monitor the solvency of insurance companies. In order to align with international standard, the Financial Supervisory Commission announced that Taiwan will officially implement the ICS (Insurance Capital Standard) system in 2026. ICS and RBC differ significantly in terms of asset and liability valuation and risk capital requirement. This study compares the differences in regulations between two capital standards. This study establishes policy cash flow models and make asset allocation assumptions in order to calculate the differences in risk capital requirement. Differ from previous study, this study sets liability composition closer to practice and take catastrophe risk requirement into consideration. Sensitivity analysis is also conducted to understand the impact of different variables on risk capital.
    The results of this study show that the risk capital requirement under ICS is approximately six times of that under RBC, while insurance risk and market risk are
    significantly affected the most. ICS includes more extreme risk scenarios and has many sub-item for insurance and market risk.
    Last but not least, in sensitivity test, age and policy distribution significantly affect insurance risk capital requirement. On the other hand, bond’s maturity will affect market risk capital requirement more. This study aims to provide life insurance companies with an analysis of the impact of new capital standard, as well as recommendations for product design and risk management.
    Reference: 王俐敏(2019)。IFRS17 對亞洲壽險公司之影響與做法分析─以韓國為例。國立臺灣大學財務金融學研究所碩士論文。
    財團法人保險事業發展中心(2023)。112年度人身保險業資本適足性報告相關填報表格/填報手冊。
    https://www.tii.org.tw/tii/actuarial/actuarial3/checkReport/index.html
    莊蕎安(2019)。IFRS 17 與 ICS 雙管齊下提升保險業者風險管理能量-專訪保險事業發展中心董事長桂先農。會計研究月刊,(406),69-71。
    https://doi.org/10.6650/ARM.201909_(406).0009
    陳允新(2023)。壽險業接軌國際ICS標準所面臨之風險與衝擊及對應方式。國立政治大學國際金融碩士學位學程碩士論文。
    鄭喜文(2023)。壽險業資本監理制度之比較與試算。國立政治大學風險管理與保險學系研究所碩士論文。
    鄭榮治、郭榮堅(2020)。壽險數理要義:精算師入門基石(第六版)。華泰文化事業股份有限公司。
    戴偉軒(2021)。不同制度下附保證型變額年金之資本要求研究。國立政治大學風險管理與保險學系研究所碩士論文。
    International Association of Insurance Supervisors. (2023). Instructions (Part 2) for the April 2023 Insurance Capital Standard (ICS) Data Collection Exercise of the Monitoring Period Project International Association of Insurance Supervisors. (2023).
    2023 ICS data collection Yield curves.
    https://www.iaisweb.org/uploads/2023/06/Public-2023-ICS-Data-Collection Yield-Curves.xlsx
    Description: 碩士
    國立政治大學
    風險管理與保險學系
    111358009
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0111358009
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

    Files in This Item:

    File Description SizeFormat
    800901.pdf2450KbAdobe PDF0View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    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 ©   - Feedback