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| 題名: | 台灣壽險業新一代清償能力制度下資產配置與監理措施分析
An Analysis of Asset Allocation and Regulatory Interventions under Taiwan’s New Solvency Framework for Life Insurers |
| 作者: | 葉永濬
Yeh, Yung-Chun |
| 貢獻者: | 張士傑
曾毓英
Chang, Shih-Chieh
Tzeng, Yu-Ying
葉永濬
Yeh, Yung-Chun |
| 關鍵詞: | 清償能力制度
壽險資產配置
監理干預
ICS
效用最大化
Solvency regime
Life insurance asset allocation
Regulatory intervention
Insurance capital standard (ICS)
Utility maximization |
| 日期: | 2025 |
| 上傳時間: | 2025-08-04 14:10:49 (UTC+8) |
| 摘要: | 台灣金融監理機關將於2026年實施新一代保險清償能力監理制度（TW-ICS），引進經濟基礎之資本適足監理架構，此項制度將要求壽險公司重新調整其資本結構與資產配置策略，以符合新的風險資本計提與資本限制規範。然而，TW-ICS在嚴格約束資本配置與風險承擔能力時，亦可能影響保單持有人效用。本研究評估TW-ICS導入對台灣壽險業資產配置與監理干預措施之影響，並檢視新制度是否能有效提升保戶效用與監理效率。
本研究納入國際風險資產配置並修正負債評價假設，使模型更符合TW-ICS對資產負債評價的一致性原則，並建構符合ICS規範的動態資本限制模型，以模擬保險公司在多期監理條件下的資本調整行為，最後透過數值模擬，分析不同監理干預策略對保單持有人等值效用的影響，模擬結果顯示，若同時實施「限縮風險性資產配置」與「增提資本」之干預措施，將有助於提升保單持有人於契約終期的等值效用，呈現出正向監理成效。然而，當資本適足比率要求過於嚴格時，將降低效用提升幅度，顯示監理干預的邊際效益存在遞減現象。
Taiwan's financial supervisory authorities are set to implement a new generation of insurance solvency regulation—the Taiwan Insurance Capital Standard (TW-ICS) in 2026. This framework introduces an economic-based capital adequacy supervision mechanism, requiring life insurance companies to restructure their capital composition and revise their asset allocation strategies in accordance with updated risk capital requirements and capital constraint rules. However, while TW-ICS imposes stringent constraints on capital deployment and risk-taking capacity, it may also influence policyholder utility.
This study assesses the impact of TW-ICS implementation on asset allocation and regulatory intervention measures in Taiwan’s life insurance industry, and further evaluates whether the new regime effectively enhances policyholder utility and supervisory efficiency. The research incorporates international risk asset allocations and refines liability valuation assumptions to better align with TW-ICS’s principle of asset-liability valuation consistency. A dynamic capital constraint model, compliant with ICS standards, is constructed to simulate insurers’ capital adjustment behavior under multi-period regulatory constraints. Through numerical simulations, the study analyzes how different supervisory intervention strategies affect the certainty-equivalent utility of policyholders. Results indicate that implementing both “constraints on risk asset allocation” and “capital reinforcement measures” simultaneously can improve policyholder utility at contract maturity, demonstrating positive regulatory effectiveness. Nevertheless, when capital adequacy thresholds become excessively stringent, the magnitude of utility gains diminishes, revealing a diminishing marginal return to regulatory interventions. |
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| 描述: | 碩士
國立政治大學
風險管理與保險學系
112358014 |
| 資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0112358014 |
| 資料類型: | thesis |
| 顯示於類別: | [Department of Risk Management and Insurance] Theses
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