平穩準備金制度對台灣壽險業經營之影響—以資產評價準備金及外匯價格變動準備金為例

Abstract

保險監理制度的沿革隨時代演進，於美國及歐洲兩大主要體系已有不同的發展，在歐洲體系發展Solvency II之際，承襲美國風險基礎資本額保險監理制度的台灣勢必要在制度上做調整，在國際會計準則調整的潮流亦要兼顧保險監理邏輯的合理性，則成為當前台灣應重視的問題。 本研究兼採美國壽險業資產評價準備金制度及日本外匯價格變動準備金制度的概念，以平時自行提存的準備支應短期內權益資產價值波動及短期匯兌變化，期望達到保險公司的淨值波動程度減緩，穩定經營的目標，並給予保險監理制度上調整的建議。 研究方法及流程為先建立起資產面、配置面、負債面之模型，模擬未來三十年台灣股票大盤及美國一個月Fed fund rate，進而產生出以月為單位，共三百六十期的資產負債表，後觀察此三十年內業主權益等觀察項目的波動程度。結果確實提列資產評價準備金及外匯價格變動準備金對於業主權益、當期稅前損益、當期股票部位損益及實體匯兌損益有其平滑效果，但效果的大小則需配合各機制下的準備比率才能達到適切。

As time goes by, the supervision mechanism of life insurance has been involving for years in the United States of America and the Europe which have their own systems and developments. As the Europe has deeply focused on their supervision mechanism of life insurance, Solvency II, we have to adjust ours which follows the supervisory concept from America. We should concentrate on not only the trend of involving international accounting principles but also the reasonability of the logic of the supervision mechanism. Adapting the concepts of asset valuation reserve form America and foreign exchange valuation reserve from Japan in order to support the short-term volatility from security-related assets and foreign exchange, we hope to meet the goals which are to moderate the surplus and to steady operation of life insurance companies. Besides, this study would like to bring up the suggestion of the supervision mechanism of life insurance in Taiwan. In order to observing the volatility of key items, such as surplus, we establish one structured dynamic model including asset model, allocation model, liability model to simulate TSEC weighted index, 1- month Fed fund rate, and generate the simulated balance sheet with 360 months. The result said that the mechanisms of asset valuation reserve and foreign exchange reserve do smooth the volatility of surplus, income statement, gains or losses in security-related asset and exchange. However, if we would like to find an acceptable smoothing effect, the items of reserving rates should be adjusted to match each other.