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| Title: | IFRS 17下英式分紅保單的商品策略
The Product Strategy of With-Profits Policy Mechanism under IFRS 17 |
| Authors: | 李晉維
Li, Jin-Wei |
| Contributors: | 黃泓智
Huang, Hong-Chih
李晉維
Li, Jin-Wei |
| Keywords: | 英式分紅
IFRS 17
修正式一般衡量模型
紅利模型
紅利鎖定權
With-Profits Policy
IFRS 17
Modified General Measurement Model
Bonus Model
Bonus Lock-in Option |
| Date: | 2024 |
| Issue Date: | 2024-08-05 14:02:17 (UTC+8) |
| Abstract: | 本研究選擇國內業者現售的分紅終身壽險作為研究對象，透過隨機過程模擬資產面數值，並採用過往學術文獻較少探討的修正式一般衡量模型（Modified GMM）評價保險負債。最終，基於財報數值結果計算而得CSM margin、平均淨利、損益波動度、綜合權益及解約年化報酬率的不同構面，探討英式分紅商品採用的紅利模型及紅利鎖定選擇權等商品機制的財務效果，進一步分析具有優勢的分紅商品策略。其中，研究涵蓋的紅利模型包含國內外業者實務使用的「動態參數法」、「資產額分法」與本研究提出的「緩衝資金法」。
研究結果顯示，不同投資情境將影響具優勢的紅利模型。而緩衝資金法在所有投資情境下皆穩定展現相對高的合約服務邊際動能、全期平均淨利以及綜合權益；資產額分法則以損益波動度與解約報酬率方面同樣優秀的表現次之。相較之下，動態參數法雖無明顯優勢，但因其作業簡便、易於說明報酬率與紅利間的關聯，在實務上仍具有相當價值。
最後，對保險業者而言，紅利鎖定權搭配資產額分法為最具優勢的商品策略，能夠在保持合約服務邊際的同時，發揮提升淨利、綜合權益與降低損益波動度的最佳效果。對保單持有人而言，行使紅利鎖定權將有助於提升解約收益，特別是搭配動態參數法時，將最大化提升解約報酬率之效果。
This paper selects whole life with-profits policy currently sold by domestic insurer as the research object. By simulating asset values through stochastic processes and employing the Modified General Measurement Model, a less explored approach in existing literature, to valuate insurance liabilities, the study calculates CSM margin, average net profit, P/L volatility, comprehensive equity, and surrender annualized return rates based on the numerical results. It explores the financial effects of bonus models and bonus lock-in option used in with-profits policy, aiming to analyze advantageous product strategies. The bonus models covered in this study include the "dynamic parameter method" and "asset share method" commonly used by domestic and international insurers, as well as the newly proposed "buffer fund method."
The results indicate that different investment scenarios affect the advantageous bonus models. The buffer fund method consistently demonstrates relatively high CSM margin, average net profit, and comprehensive equity across all investment scenarios. The asset share method follows with excellent performance in P/L volatility and surrender return rate aspects. In comparison, although the dynamic parameter method shows no significant advantage, its simplicity and ease of explaining the relationship between return rates and bonus make it valuable in practice.
For insurers, the combination of bonus lock-in option with the asset share method is the most advantageous product strategy. It optimizes net profit, comprehensive equity, and reducing P/L volatility while maintaining CSM. For policyholders, exercising the option enhances surrender returns, particularly when paired with the dynamic parameter method, which maximizes the surrender return rate. |
| Reference: | 李照聖（2024）。壽險會計理論與實務：IFRS 9與IFRS 17（初版）。元照出版有限公司。
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Bohnert, A., & Gatzert, N. (2012). Analyzing surplus appropriation schemes in participating life insurance from the insurer’s and the policyholder’s perspective. Insurance: Mathematics and Economics, 50(1), 64-78.
Dominic Clark, Jeremy Kent, & Ed Morgan. (2020). Impact of IFRS 17 on insurance product pricing and design. Milliman. https://www.milliman.com/-/media/milliman/pdfs/articles/3112ldp_impact-of-ifrs-17_20200512.ashx
Grosen, A., & Jørgensen, P. L. (2000). Fair valuation of life insurance liabilities: the impact of interest rate guarantees, surrender options, and bonus policies. Insurance: Mathematics and Economics, 26(1), 37-57.
Haberman, S., Ballotta, L., & Wang, N. (2003). Modelling and valuation of guarantees in with-profit and unitised with profit life insurance contracts. Cass Business School Research Paper.
Hansen, M., & Miltersen, K. R. (2002). Minimum rate of return guarantees: the Danish case. Scandinavian Actuarial Journal, 2002(4), 280-318.
Kling, A., Richter, A., & Ruß, J. (2007). The interaction of guarantees, surplus distribution, and asset allocation in with-profit life insurance policies. Insurance: Mathematics and Economics, 40(1), 164-178.
KPMG. (2024). Insurers’ full-year reporting under IFRS 17 and IFRS 9. https://assets.kpmg.com/content/dam/kpmg/xx/pdf/2024/04/isg-real-time-ifrs-17-first-annual-reporting-talkbook.pdf
Zemp, A. (2011). Risk comparison of different bonus distribution approaches in participating life insurance. Insurance: Mathematics and Economics, 49(2), 249-264. |
| Description: | 碩士
國立政治大學
風險管理與保險學系
111358014 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111358014 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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| 801401.pdf | | 1354Kb | Adobe PDF | 1 | View/Open |
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