人壽保險公司之風險及清償能力評估：檢視利率變動型人壽保險

Risk and Solvency Assessment of the Life Insurer: An Examination of the Interest-Sensitive Life (ISL) Insurance Policies

持續低利率的市場環境對壽險業產生顯著影響，於此同時，利率變動型壽險成為壽險市場主要投保商品。利變型壽險之宣告利率會依據區隔基金進行調整，因此受到利率不確定性之影響。本研究嘗試建立資本市場模型描述利變型壽險宣告利率之隨機特性。另一方面，依據統計，2017年6月底，台灣壽險公司之國外投資比重已達63.3%，面對匯率曝險部位增加與顯著匯率市場波動下，利變型保單之區隔基金投資績效顯著影響壽險公司之清償能力。 本研究應用模擬方法量化壽險公司發行利變型壽險商品之虧損風險，並與現行資本適足性監理法規RBC風險資本額進行比較。模擬結果顯示，衡量時間長度增加時，壽險公司發行利變型壽險商品之虧損機率越高。敏感度分析結果並顯示資產負債比與投資策略為影響虧損風險之最顯著因子。而保險公司採行合理宣告利率，應可顯著降低保險公司發行利變型壽險商品之虧損機率。 The persistent low interest rate environment has a notable impact on the life insurance industry, and interest-sensitive life insurance (ISL) policies have become the major product sold in the Taiwan life insurance industry. The crediting interest rate of ISL is adjusted periodically to reflect the performance of its segregated funds, which is influenced by interest rate uncertainty. In this study, uncertainty from the capital market is modeled to examine ISL products through crediting interest rate declarations. As exchange rates become volatile, more so than interest rates, they expose companies to substantial currency mismatch when liabilities and assets are denominated in different currencies. Hence, segregated assets held by ISL fluctuate extensively and affect the insurer’s solvency. In this paper, the simulation method is employed to measure the shortfall risk of insurers associated with risk-based capital requirements. Based on the numerical results of the simulations, the shortfall risks of ISL increase when the duration of the evaluation period increases. The results show that financial leverage and investment decisions are the major factors in controlling shortfall risk, and annual credited rates should be properly declared to reduce the risk capital.