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| Title: | 壽險業發行次順位債之利益關係人最適化策略
Utility Analysis Strategic Optimization of Stakeholder Benefits in Life Insurers’ Subordinated Debt Issuance |
| Authors: | 楊誠
Yang, Cheng |
| Contributors: | 張士傑
曾毓英
Chang, Shih-Chieh
Tzeng, Yu-Ying
楊誠
Yang, Cheng |
| Keywords: | 次順位債
資產配置
監理干預
預期效用
資本注入
Subordinated debt
Asset allocation
Regulatory intervention
Expected utility
Capital injection |
| Date: | 2025 |
| Issue Date: | 2025-09-01 16:04:08 (UTC+8) |
| Abstract: | 2026年起台灣壽險業將全面接軌IFRS 17及新一代清償能力制度（TW-ICS）。在面對資本適足性挑戰與淨值波動風險下，金融監督管理委員會於2023年修法開放壽險業得以發行十年以上之次順位債，作為彌補資本缺口的重要工具，而發行具資本性質之次順位債為壽險公司重要籌資管道之一。
本研究以壽險公司發行次順位債為前提，建構資產負債模型。並區分兩大主要利益關係人：具風險中立特性的股東，與風險趨避之保單持有人。分別以股東資本注入最小化（capital injection minimization）與保單持有人效用最大化作為目標，探討在監理干預情境下兩類利益關係人最適資產配置策略。結果顯示：（1）在受監理干預時，同時限縮國內外風險性投資及增資能夠最大化保單持有人效用；提高國內風險性投資並降低海外投資能最小化股東增資；（2）壽險公司發行次順位債對於提升效用及緩解資本壓力皆有正面效果，但須注意過度發債可能帶來潛在風險；（3）在國內利率下降的情境，保單持有人效用下降、股東增資金額上升，顯示低利率環境對於保戶保障水準與資本補充壓力皆產生不利影響；（4）保險期間增長，股東願意承擔風險提高國內股票佔比，保單持有人傾向海外債券換取穩定報酬；無發行次順外債分擔資本壓力時股東傾向提高國內股票投資，而保單持有人投資策略無明顯改變。
Starting in 2026, Taiwan’s life insurance industry will fully adopt IFRS 17 and the new solvency regime (TW-ICS). In response to capital adequacy challenges and net worth volatility, the Financial Supervisory Commission amended regulations in 2023 to allow life insurers to issue subordinated debt with maturities over ten years as a key instrument to address capital shortfalls.
This study builds an asset-liability model under the premise of subordinated debt issuance and distinguishes two primary stakeholders: risk-neutral shareholders and risk-averse policyholders. With objectives of capital injection minimization and utility maximization respectively, the study analyzes optimal asset allocation strategies under regulatory intervention. The results show: (1) under regulatory constraints, increasing contingent capital while reducing both domestic and foreign risky investments maximizes policyholder utility; increasing domestic risky assets and reducing foreign investments minimizes shareholder capital injection. (2) Issuing subordinated debt improves utility and capital relief, though excessive issuing bond may pose potential risks. (3) as interest rate decreasing, policyholder utility decreases and shareholder capital injections increase, indicating that low interest rates adversely affect both the level of policyholder protection and the capital pressure faced by shareholders. (4) as policy duration increases, shareholders favor domestic equities, while policyholders prefer foreign bonds for stability; the absence of subordinated debt to share capital pressure, shareholders tend to increase investments in domestic equities, while policyholders’ investment strategies remain unchanged. |
| Reference: | 中文文獻:
黃靖軒 (2024)，台灣壽險業發行次順位債之風險評估，國立政治大學風險管理與保險學系碩士論文，台灣台北。
王睿為 (2023)，台灣壽險業發行次順位債之風險與效益，國立政治大學風險管理與保險學系碩士論文，台灣台北。
孟欣樺 (2022)，壽險業資本監理及監管干預之有效性分析，國立政治大學風險管理與保險學系碩士論文，台灣台北。
外文文獻:
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Chang, S.C., Hsuan, W., Lee, Y.K., & Tzeng, Y.Y. (2024). Evaluating the Efficiency of Capital Enhancement and Investment Constraints in Life Insurance Supervision" Asia-Pacific Journal of Risk and Insurance, vol. 18, no. 2, 2024, pp. 115-141.
Chen, A., & Hieber, P. (2016). Optimal Asset Allocation In Life Insurance: The Impact Of Regulation. ASTIN Bulletin., 46(3), 605–626.
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Yao, D., H. Yang, and R. Wang. (2011). “Optimal Dividend and Capital Injection Problem in the Dual Model with Proportional and Fixed Transaction Costs.” European Journal of Operational Research 211: 568−76. |
| Description: | 碩士
國立政治大學
風險管理與保險學系
112358030 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112358030 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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