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| Title: | 固定收益資產之評價在利變型商品適用資產負債公允價值衡量之探討：IFRS 9及 IFRS 17
The Study of Fixed Income Investment Valuation for Asset-Liability Fair Value Measurement in Interest-Sensitive Insurance Policy under IFRS 9 and IFRS 17 |
| Authors: | 陳敍嘉
Chen, Hsu-Jia |
| Contributors: | 楊曉文
黃泓智
Yang, Sharon
Huang, Hong-Chih
陳敍嘉
Chen, Hsu-Jia |
| Keywords: | IFRS 17
IFRS 9
利變型商品
固定收益資產
資產負債管理
IFRS 17
IFRS 9
Interest-Sensitive Insurance Policy
Fixed Income Investment
Asset-Liability Management |
| Date: | 2024 |
| Issue Date: | 2024-08-05 14:03:05 (UTC+8) |
| Abstract: | 我國保險業自2018年已開始實施IFRS 9，並將於2026年起接軌IFRS 17，使得資產與負債皆會反映現時資訊。有鑑於此，本研究欲探討保險公司在施行國際會計新制之下的資產負債管理，以利變型終身壽險為例，並比較保險公司在不同投資標的及資產分類對其財務表現的影響程度。為提高公允價值估算的準確性，本研究使用市價衡量（mark-to-market）之債券評價模型，以Nelson and Siegal（1987）之架構，搭配Diebold and Li（2006）及Christensen, Diebold and Rudebusch（2011）之研究建立模型，避免長期預測所產生的偏誤。本研究討論三種投資策略：AC、FVOCI及FVTPL，研究結果顯示，若保險公司未行使OCI選擇權，投資在信用評等較差的公司債將可帶來較高的獲利能力；當保險公司採取含有FVTPL之策略時，獲利能力相對較佳，惟應注意其較高的風險。若公司行使OCI選擇權，將有助於提高整體財務表現並降低風險。本研究的分析結果可作為壽險業在資產配置時參考使用，在未來進行資產重分類時，應注意資產負債管理之有效性，以兼顧獲利及風險控管能力。
The insurance industry has implemented IFRS 9 since 2018 and would adopt IFRS 17 starting in 2026 in Taiwan, ensuring that both assets and liabilities reflect current information. In view of this, this study aims to explore the asset-liability management of insurance companies under the new international accounting standards, using interest-sensitive life insurance as an example. It compares the impact of different investment instruments and asset classifications on the financial performance. To enhance the accuracy of fair value estimation, this study proposes a mark-to-market bond valuation model based on the framework of Nelson and Siegal (1987), Diebold and Li (2006), and Christensen, Diebold and Rudebusch (2011). This study discusses three investment strategies: AC, FVOCI and FVTPL. The results indicate that if insurance companies do not exercise the OCI option, investing in lower-rated corporate bonds can lead to higher profitability. Also, adopting strategies involving FVTPL tend to have better profitability but should be aware of the higher risks. Additionally, exercising the OCI option could help improve financial performance and reduce risks. Overall, the study could provide recommendations for asset allocation in life insurance industry. When undertaking asset reclassification in the future, insurers should pay attention to the effectiveness of asset-liability management to balance profitability and risk control. |
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| Description: | 碩士
國立政治大學
風險管理與保險學系
111358026 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111358026 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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