臺灣博碩士論文加值系統

本研究依據國際財務報導準則第17號–保險合約(IFRS 17)之原則分析不分紅終身壽險的保險合約負債，並與現行的法定責任準備金進行比較與分析。研究以計算長年期保險合約負債的基本要素法為基礎，建立未來現金流的精算假設，包括死亡率模型與無風險利率模型，並計算最佳估計負債、風險調整及合約服務邊際。進一步於評價時點，比較新發行保單與有效保單於各保單年度的保險合約負債與法定責任準備金之差異。主要結果顯示：保險合約負債及法定責任準備金孰高孰低與保單年度、利率模型的選定及死亡率的預期密切相關。預期研究結果將使保險人以前瞻的視角觀察保險合約負債的組成元素，並掌握新發行保單與有效保單的合約服務邊際，以利瞭解如何使財務報表順利地接軌IFRS 17。

This study aims to analyze the liabilities of insurance contracts of non-participating whole life insurance policies under the principle of International Financial Reporting Standard 17 – Insurance Contracts (IFRS 17) and to compare them with statutory reserves of the policies. Using Building Blocks Approach for long-term insurance contracts, we establish actuarial assumptions of policies’ future cash flows including mortality rate and risk-free interest rate curves, and then evaluate the best estimate of liabilities, the risk adjustment and the contractual service margin. Furthermore, on the selected valuation day, we compare and analyze the differences between the liabilities of insurance contracts and statutory reserves of each policy year for newly issued and in-force policies respectively. The main results show the higher value of the liabilities of insurance contracts or statutory reserves is determined by policy year, selected risk-free interest rate models and expectation of mortality rates. Our findings help the insurers look at each component of the liabilities of insurance contracts and grasp the contractual service margin of newly issued and in-force policies in order to better understand how to successfully transit their financial reporting to IFRS 17.

I. Introduction 1
II. Literature Review 5
III. Research Methods 6
A. The actuarial assumptions of non-participating whole life insurance 8
B. Mortality rate model used in current estimate 9
C. Interest rate model used in current estimate 11
D. The calculation of Cash Flows, Best Estimate of Liabilities, Risk Adjustment and Contractual Service Margin 12
IV. Numerical Analysis Results 15
V. Conclusion and Discussion 31
References 33

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