臺灣博碩士論文加值系統

由於國際財務會計準則的改變，造成部份金融資產認列採取公平價值(Fair Value)認列。若負債也需用相同的認列方法，導致負債的公平價值評價方法也將逐漸受到各界重視。所以，未來保險公司對其負債的考量，除了必須符合監理機關對清償能力的要求，同時也要設法因應認列方式的改變。本研究首先介紹評價保險公司負債公平價值的精算評價法與選擇權定價法，說明在特定假設下，兩方法是一致的，並且利用其中概念，加上財務管理中有關估計資金成本的技術，以較容易的評價角度推導出如何衡量負債之公平價值，最後以範例來說明相關的假設如何影響負債公平價值的計算，以及對股東或投資人收益之影響。

The demand for valuing life insurers’ assets and liabilities continually exists. The traditional methods are mainly based on historical costs. However, due to the fast-changing of operation environments life insurance industry face, the gap between market value and book value of business fluctuates more widely and frequently. Consequently, the International Financial Accounting Standard Board adopts new fair value measurements (FASB #115) for certain financial assets in order to reduce the gap. Therefore, the fair value measurements for related liabilities have gained a great deal of attentions recently.
This thesis could be divided into the following parts. Firstly, the author describes two prevailing measurements for liabilities: Actuarial Appraisal Method (AAM) and Option Pricing Method (OPM). Under certain assumptions, these two methods could be proved to have the same results. Secondly, combining with discounted cash-flow technique and some key concepts, a more simplified method could be provided. Several examples are used to illustrate the consequences of liability measurements. These examples are supportive on explaining how the changes influence the calculation in fair value of liabilities as well as the earnings of the shareholders and the investors. Lastly, the author concludes that the accounting measurements for life insurance industry should continue to align with global standards even facing difficulties currently

第一章 緒論
第一節 研究動機…………………………………………………………………1
第二節 研究目的…………………………………………………………………1
第三節 研究範圍…………………………………………………………………2
第二章 文獻回顧……………………………………………………………………3
第三章 負債公平價值之探討
第一節　選擇權定價法與精算評價法……………………………………………6
第二節　選擇權定價法與精算評價法差異………………………………………9
第三節　資金成本假設之探討……………………………………………………10
第四節　負債公平價值之折現率…………………………………………………16
第四章 範例
　第一節　範例假設…………………………………………………………………18
　第二節　權益報酬率改變下之影響………………………………………………21
　第三節　其他因素改變下之影響…………………………………………………23
第五章 結論…………………………………………………………………………27
附錄　符號對照表……………………………………………………………………31
參考文獻………………………………………………………………………………33

1.“International Financial Reporting Standards 4 : Insurance Contracts”, (2004), International Accounting Standards Board.
2. “Fair Value for Life Insurers”, (2002), Life Office Management Association (LOMA)
3.Girard, Luke, (2000a), “Market Value of Insurance Liabilities: Reconciling the Actuarial Appraisal and Option-Pricing Methods”, North American Actuarial Journal, Vol. 4.
4.Girard Luke, (2000b), “Market Value of Insurance and the Assumption of Perfect Markets in Valuation”, in The Fair Value of Insurance Business, p3-47, edited by I. T. Vanderhoof and E. I. Altman: Boston, MA: Kluwer Academic Publishers.
5.Girard Luke, (2002), “An Approach to Fair Valuation of Insurance Liabilities using the Firm’s Cost of Capital”, North American Actuarial Journal, Vol. 6.
6.Babbel D. F., Gold, J.,and Merrill C., (2002), ”Fair Value Liabilities : The Financial Economics Perspective”, North American Actuarial Journal, Vol. 6, No.1.
7.Babbel D. F., and Merrill, C., (1998), “Economic Valuation Models for Insurers”, North American Actuarial Journal, Vol. 2, No.3
8.Godfrey P., and William H., (2002), “Fair Value Accounting Compared to Other Accounting Systems”, North American Actuarial Journal, Vol. 6, No.1.
9.Iwakiri N., and Noda T., (2003), “IFRS Fair Value Reporting, 12th East Asian Actuarial Conference”, Manila, Philippines.