IFRS 9和IFRS 17對臺灣壽險公司資產配置之影響

The Impacts of IFRS 9 and IFRS 17 on Asset Allocations of Life Insurers in Taiwan

壽險公司的資產、負債，在IFRS 9與IFRS 17公報正式實施後，應以公允價值衡量。本文旨在研究，以長天期保單作為主要經營業務的臺灣壽險公司，在不同的經營目標導向下，資產配置策略將如何制定，使得壽險公司的利潤與權益波動水平維持於低位的同時，也能保持較高的盈利。本文選擇臺灣零息政府債券與股票作為國內的資產部位，美國零息政府債券與股票作為外國資產部位的代表，而負債則選取終身壽險作為代表。我們以AR、GARCH模型對國內外股票、匯率走勢進行模擬，並以Svensson模型的隱含參數對VAR模型進行配適，以模擬國內外債券利率的走勢，最後再以Smith-Wilson模型外插。我們模擬了未來三年壽險公司的資產負債可能的變化路徑，並對於第三年末，公司資產、負債可能的分布情形，以及壽險公司財務指標進行檢視，得到在不同經營目標的約束，壽險公司最適的資產配置方案。實證結果顯示，若壽險公司更注重資產報酬率時，臺債及美債部位的配置將會增加，並傾向歸類至FVTPL項目；如公司側重於權益價值和報酬穩定，公司可能會更多地配置國內債券，並將其歸類於FVOCI或AC項目中。

Our article aims to explore the optimal asset allocation strategies for life insurers with different goals under IFRS 9 and IFRS 17. For asset positions, we assume zero-coupon government bonds and stocks from Taiwan and US respectively; and for liabilities, we consider reserves of whole-life insurance contracts. Domestic and foreign stock prices and exchange rates for the future 3 years are simulated through AR and GARCH model, and interest rates of domestic and foreign bonds are simulated by VAR model, which is fitted by parameters implied by Svensson model. We focus on the distribution of 3rd year’s assets and liabilities, and compare the results of ROA, ROA deviations, equity and default risk under different weight sets. In addition, by designing the object function, we then determine the optimal allocation strategy under each target. Our results demonstrate that the importance of ROA would prompt life insurers increase domestic and foreign bond investments under FVTPL. Moreover, companies would purchase more domestic bonds under FVOCI and AC when attaching more importance to ROA and equity deviations.