勞退新制下變額年金保險之收益保證風險評估與資本適足性研究

勞退新制下退休基金之投資報酬不論是在個人帳戶制或其他年金制（年金保險制）皆有最低收益保證機制，本研究主要探討在年金保險制下，保險公司提供具有平均收益率保證之變額年金保險商品時，其所涉略的投資保證風險。隨著變額年金分離帳戶的投資標的不同，投資保證的風險將有所不同，然而變額年金的投資選擇權在於客戶，保險公司應該要如何在經營年金保險制時能確保自身財務的安全性將是非常重要的課題。本研究首先對於國外監理機關以及文獻中有關附保證給付變額保險與年金之資本適足性的制度規範，以及責任準備金的標準做一介紹，進而針對勞退新制下之平均收益率保證的機制，設計出符合年金保險制下之變額年金商品，同時建構一隨機風險評估模型，利用蒙地卡羅模擬的方法來評估不同投資標的下平均收益率的保證風險，並以各國監理機關所建議的風險值（Value at Risk; VaR）以及條件尾端期望值（Conditional Tail Expectation; CTE）做為準備金與資本適足性的風險衡量方法，分別計算出最低的適足資本與準備金。本研究以CIR利率模型（Cox, Ingersoll and Ross (1985)）來模擬利率的動態，資產的動態符合幾何布朗運動的假設，並考慮資產報酬的相關性進行模擬。本研究的結果可提供國內保險業者評估勞退新制下變額年金保險平均收益率保證風險之參考，同時可提供監理機關有關的準備金與資本適足性的資訊與監理方向。

關鍵字

投資保證；資本適足性

並列摘要

In Taiwan, the Labor Pension Act was effective in July 2005. According to the new labor retirement pension plan, the variable annuity products issued by the insurer have to provide minimum rate of return guarantee during the accumulation period. Thus, the insurer may suffer investment risk. How to deal with the investment guarantee is vital for the insurer. In this research, the main purpose is to investigate and determine the capital requirement for the variable annuity products with investment guarantees. First of all, we explore the international experiences of setting reserves and capital requirements for variable annuity with guarantees. We then carry out Monte Carlo simulation to evaluate the investment risk using value at risk and conditional tail expectation risk measures respectively. We apply CIR interest rate model (Cox, Ingersoll and Ross (1985)) to project the dynamics of future interest rate. In addition, we consider the correlation to modeling the assets returns. The estimates of the reserves and required capitals for the provisions under different countries are compared and discussed. The information in this research can benefit the insurer as well as the government supervision department.