利變型年金保單對壽險公司股東權益之影響

Abstract

自西元2000年網路泡沫化和受次級房貸風暴後，各國央行為了刺激經濟，紛紛開始調降利率。在低利率的環境下，大眾以購買利率變動型年金商品取代定期儲蓄，因此研究利率變動型年金商品的宣告利率制訂策略就變成一個非常重要的課題。 本文將監理機關自西元2001.04.03後三次修改的利率變動型年金保險宣告利率上下限規範整理出各次修改之宣告利率的上下限數學式，接著利用Cox, Ingersoll and Ross(C.I.R.)模型模擬出未來十年的利率期間結構，然後算出在每個時間點下資產、負債和股東權益個別的總值，而後將個別的總值折現到時間點零時。 本文主要研究在三次宣告利率上下限規範修改和資產配置、分配乘數、債券會計科目對壽險公司股東權益現值的影響。模擬結果顯示在西元2005.05.24修正的『利率變動型年金保險費率相關規範』是在三次修改中對壽險公司的股東權益最為有利的；在大部分情況下隨著股票投資比例的增加，壽險公司的風險值也隨著增大，對於股東權益有不良的影響；隨著分配乘數(alpha)的增加，壽險公司也面臨了沉重的投資績效壓力，因此對股東權益的影響也是不良的；最後將債券放在持有至到期(Hold to maturity)或交易目的(Trading)則對股東權益的影響並不是非常明顯。

Since A.D.2000 the network technology stock froth and the subprime crisis , the central banks of most countries lowered interest rate for economic stimulus . In the low interest rate environment , people purchases interest sensitive annuity commodities in place of fixed deposits , so the research in the establishment strategy for the declared interest rate of interest sensitive annuity has been an important issue. Firstly , this paper will generalize the upper limits and lower limits for the declared interest rate of interest sensitive annuity which have been modified by audit agency since 2001.04.03 for three times ; secondly , use the C.I.R. model to simulate the interest rate term structure in ten years ; thirdly , calculate the total value of asset、liability and equity on every time point ; finally , discount the total value of asset、 liability and equity to the original time point. The principal objective in this paper is to study the influence of different declared interest rate establishment strategies、asset allocations、alpha and accounting titles for bonds on the present value of equity. The simulating result shows that the modified declared interest rate in A.D 2005.05.24 is the best for equity among three ; in most conditions , the value at risk for insurance company increases as the investing ratio in stock increases ; as the alpha increases , the insurance company must get high investing return rate to pay the liability ; finally , the influence of different bonds’ accounting titles(HTM and Trading) for equity is not very clear.