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| Title: | 壽險公司運用再保險進行利率風險管理之策略與成效分析
Strategic Use of Reinsurance for Interest Rate Risk Management in Life Insurance Companies |
| Authors: | 蘇慶軒
Su, Ching-Hsuan |
| Contributors: | 張士傑
曾毓英
蘇慶軒
Su, Ching-Hsuan |
| Keywords: | 再保險
共同保險
利率交換
資產負債管理
Reinsurance
Co-insurance
Interest Rate Swap
Asset-Liability Matching |
| Date: | 2025 |
| Issue Date: | 2025-09-01 16:04:22 (UTC+8) |
| Abstract: | 由於壽險業普遍存在資產存續期間小於負債的問題，利率波動對其財務穩健性構成重大挑戰。隨著 2026 年 IFRS 17 與新一代清償能力制度TW-ICS的實施，資產負債匹配與財報穩定性也將更受重視。再保險作為保險公司其中一種風險移轉工具，其在穩定損益與淨值上的價值將較其他避險工具更具有潛力，可為壽險業者在利率風險管理決策上提供重要幫助。本研究旨在探討台灣壽險業在面臨長期利率風險時，採用再保險與利率交換衍生工具兩種不同避險策略進行管理的成效差異。
本研究建立 CIR 利率模型，並透過蒙地卡羅法模擬比較無避險、再保險，及利率交換三種情境下的經濟價值差異。研究發現，再保險策略能有效轉嫁一籃子風險，特別是可規避對長期利率的預測錯誤，提供穩定的財務結果，但需分享潛在獲利。利率交換策略整體損益波動較大，雖然獲利潛力較大，但同時虧損可能性也較大，且在會計處理上，每期進行的現金結算將會對當期損益造成衝擊。
Taiwan's life insurance industry commonly faces a duration mismatch between assets and liabilities, making interest rate fluctuations a significant challenge to financial stability. With the implementation of IFRS 17 and the new generation solvency system (TW-ICS) for insurance industry in 2026, asset-liability matching and financial reporting stability will become even more critical. Reinsurance, as a risk transfer tool, holds greater potential than other hedging instruments for stabilizing profit and loss (P&L) and net worth, offering substantial support to life insurers in their interest rate risk management decisions. This paper compares the effectiveness of two different hedging strategies—reinsurance and interest rate swaps—for managing long-term interest rate risk in Taiwan's life insurance sector.
In this paper, we establish the CIR (Cox-Ingersoll-Ross) interest rate model and use Monte Carlo simulations to compare the economic value differences across three scenarios: no hedging, reinsurance, and interest rate swaps. The results indicate that a reinsurance strategy effectively transfers a basket of risks, particularly mitigating errors in long-term interest rate forecasts, thereby providing more stable financial results. However, this stability comes at the cost of sharing potential profits. In contrast, an interest rate swap strategy leads to greater overall P&L volatility. While it offers higher profit potential, it also carries a greater risk of loss. Additionally, the periodic cash settlements inherent in interest rate swaps can significantly impact current period P&L from an accounting perspective. |
| Reference: | 一、 中文文獻
吳雅筠(2024)，台灣壽險業以再保險工具優化資本結構可行性之研究，未出版碩士論文，國立政治大學國際金融學院，台灣台北
張士傑(2021，12月 24日)。剖析市場利率波動對壽險公司財報影響。工商時報。 https://www.ctee.com.tw/news/20211224701005-431306
張士傑(2023，8月 17日)。觀念平台－存續期間管理可達利率免疫效果嗎。工商時報。 https://www.chinatimes.com/newspapers/20230817000175-260209?chdtv
二、 英文文獻
Brigo, D., & Mercurio, F. (2006). Interest rate models—Theory and practice: With smile, inflation and credit. Berlin, Heidelberg: Springer Berlin Heidelberg.
Cox, J. C., Ingersoll, J. E., & Ross, S. A. (1985). A theory of the term structure of interest rates. Econometrica, 53(2), 385-407.
Garven, J. R., & Tennant, J. L. (2003). The demand for reinsurance: Theory and empirical tests. Assurances et gestion des risques, 71(2), 217-237.
Hardwick, P., & Adams, M. (1999). The determinants of financial derivatives use in the United Kingdom life insurance industry. Abacus, 35(2), 163-184.
Hsiao, C. Y., & Shiu, Y. M. (2019). Derivatives, reinsurance and risk: Evidence from the UK life insurance industry. Academia Economic Papers, 47(2), 253-295.
Kladivko, K. (2007). Maximum likelihood estimation of the Cox-Ingersoll-Ross process: the Matlab implementation. Technical Computing Prague, 7(8), 1-8.
Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of financial economics, 5(2), 177-188. |
| Description: | 碩士
國立政治大學
風險管理與保險學系
112358031 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112358031 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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