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    Title: 台灣實施IFRS 17之資產負債管理 ― 以終身壽險為例
    The Asset-Liability Management under implementation of IFRS 17 in Taiwan ― A case of whole life insurance policies
    Authors: 黃照鈜
    HUANG, CHAO-HUNG
    Contributors: 楊曉文
    黃泓智

    SHARON S. YANG
    HUANG, HONG-CHIH

    黃照鈜
    HUANG, CHAO-HUNG
    Keywords: IFRS 17
    資產負債管理
    合約服務邊際
    Date: 2019
    Issue Date: 2020-02-05 17:37:06 (UTC+8)
    Abstract: 國際會計準則理事會(International Accounting Standards Board, IASB)將於2022年正式實施國際財務報導準則IFRS 17號公報,我國保險業將延後至2025年適用。保險負債改以公允價格表達之現時履約模型(Current Fulfillment Model),保險公司須依現時市場資訊及公司經驗,如:折現率、死亡率及費用率等,於每一財報日更新保險商品負債衡量之假設,重新計算保險負債,導致財報之波動而影響保險業資產負債管理之策略。
    本文將以傳統型商品終身壽險保險為例,結合兩種保險收入認列模式,以及不同資產配置決策下模擬預測之現金流,並加入8個風險指標並建構多屬性決策(multiple attribute decision making, MADM)方法找出最適資產配置決策。投資標的為台灣十年期公債、台灣五年期公債、美國十年期公債、美國五年期公債、台灣加權股價指數及S&P500指數等六種資產,以及兩種合約服務邊際(contractual service margin, CSM)攤銷方法於保險收入認列,分別為有效契約數(number of Policies, NOP)與考慮保單承保日鎖定之折現率(locked-in discount rate at inception)之有效契約數(PVNOP)。
    多屬性決策下之最適資產配置結果顯示風險趨避之配置將集中於台灣十年期公債,而調整於台灣五年期公債或美國五年期公債之配置將可以提升資產配置之表現。若採用PVNOP法,於商品保障期間前期將有較低之稅前損益波動、股東權益波動與較高之股東權益成長,相較於NOP法較為穩健,然而,保障期間後期之稅前損益表現較為疲弱。
    Reference: 高渭川與謝秋華,(2016)。保險會計變革-IFRS 4 Phase II保險合約衡量模型之影響。會計研究月刊,364,104-113
    高渭川與謝秋華,(2016)。保險會計變革-IFRS 4 Phase II對我國保險業之影響。會計研究月刊,365, 118-129
    曾雅微,(2018)。SMITH-WILSON模型利率曲線建構方式探討,國立政治大學風險管理與保險研究所碩士論文,台北市
    黃泓智、余清祥、楊曉文與黃彥富,(2006)。隨機投資模型與長期負債投資避險策略之研究,證券市場發展季刊,8卷2期,1 – 40
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    Description: 碩士
    國立政治大學
    風險管理與保險學系
    106358021
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0106358021
    Data Type: thesis
    DOI: 10.6814/NCCU201901304
    Appears in Collections:[風險管理與保險學系] 學位論文

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