臺灣博碩士論文加值系統

我國保險產業預計將於2025(或2026)年起同時適用國際財務報導準則第17號公報及保險資本標準，前者關乎保險合約負債的評價，後者則將對保險業的清償能力評估方式帶來改變。本研究探討在兩者共同實施的條件下，適用於台灣壽險業經驗資料的死亡率模型。經由死亡率模型的建立，本研究進一步分析死亡率的波動度，並與國際保險資本標準的死亡率波動度進行比較。除了波動度之外，本研究以簡易的終身壽險為例，從給付的現金流量出發，探討死亡率的選用對於最佳估計負債及風險資本的影響，期望能從不同面向，探討模型選用的重要性。研究結果顯示：(1)對於台灣壽險業經驗資料之短期一年的死亡率預估，以LC族群、APC模型及Plat模型的準確度較為優異；(2)比較各模型之下的死亡率波動度，LC模型的波動度最低，而Plat模型的波動度則最高，故死亡風險資本計提若趨向保守即可選擇Plat模型，反之則選擇LC模型；(3)若考慮採用國際保險資本標準建議的死亡率波動度，則較有利於以男性為被保險人的壽險保單。

Insurance industry in Taiwan expects to apply for both IFRS 17 and ICS in 2025 (or 2026). IFRS 17 is related to the evaluation of contractual liability insurance, and ICS will change to the assessment method of the solvency of the insurance industry. This paper analyzes mortality model suitability on the data of Taiwan life insurance industry in both systems. We further use the mortality model to analyze mortality shock level and compare it with mortality shock level addressed by ICS. We use whole life insurance policy as an example, starting from the cash flow of benefits, we explore the impacts of the choices of mortality models for the best estimate of liabilities and capital requirement. We expect to investigate the importance of model selection from various aspects. Our results show that (1) for the one-year mortality forecast of Taiwan life insurance industry, the accuracy estimated by the LC family of models, APC model and the Plat model are acceptable; (2) if the accrual of capital requirement of mortality risk tends to be conservative, the Plat model should be chosen, otherwise, LC model should be chosen; and (3) the mortality shock level addressed by ICS is more lenient for male insured policies in Taiwan’s life insurance.

第一章 前言 1
第二章 文獻回顧 3
第三章 國際財務報導準則第17號公報與保險資本標準 5
第四章 研究資料 7
第五章 研究方法與模型 11
第六章 死亡風險資本評估 28
第七章 結論與建議 39
參考文獻 40
附錄一 各模型之轉換公式 42
附錄二 各模型配適之誤差指標 44
附錄三 各模型預估死亡率之誤差指標 46
附錄四 各模型預估平均餘命之誤差指標 48
附錄五 各模型預估定期年金之誤差指標 52
附錄六 各年度暴露數之加權比重圖 56

中文文獻
1.王信忠、金碩與余清祥，2012，小區域死亡率推估之研究，人口學刊，45：121-145。
2.保險事業發展中心，2018，新一代風險資本額制度研究-保險風險資本的方法論與實證更新研究報告，主持人：詹芳書。

英文文獻
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