我國壽險業資金運用之國外投資研究分析

現壽險公司為去化龐大保費收入而積極採國外投資之資產配置方式，應如何在居高不下國外投資的資產配置做好風險控管並顧及未來之償付能力，實考驗著壽險公司與主管機關的專業判斷與智慧，此為本文研究的主要動機。另參考美國紐約州保險法建議，保險業者之資金運用應以資金來源為劃分基準，予以差異化之嚴格限制，並將不同資金來源對應風險度最適切的可投資項目，以落實保險公司清償能力及保戶權益之實義。換言之，在面對台灣壽險業如此居高不下的國外投資比例，壽險業應有更嚴謹的風險控管機制，如建立外匯價格變動準備金機制、使壽險業以較具彈性方式管理匯率風險及降低避險成本等，進而強化壽險業清償能力以健全其財務體質。本研究使用我國壽險公司資料，樣本期間2009至2016年，樣本數目總共為206筆，分析壽險業國外投資金額占可運用資金比例之影響。實證結果發現國外投資金額占可運用資金比例，與公司規模與是否為金控成員呈現顯著正相關，而與保費收入占資產總額比例呈現顯著負相關。本研究進一步探討外匯價格變動準備金占國外投資金額比例的影響因素分析，使用2013至2016年的樣本資料，共計95筆資料進行迴歸實證分析。實證研究結果發現，壽險公司之國外投資金額占可運用資金總額比例升高時，其外匯價格變動準備金占國外投資金額之比例反而降低。另外，規模越大及外資的壽險公司也提存較多的外匯價格變動準備金。

關鍵字

資產配置；可運用資金；匯率避險；外匯價格變動準備；利差損

並列摘要

In Taiwan, life insurance companies are adopting the asset allocation method of foreign investment highly proportion in order to dispose massive premium income. However, with the high standards of such foreign investment allocation, how to control risks while giving consideration to future solvency has become a challenge to life insurance companies and the authorities. With the consistent high ratio of foreign investment in the business in Taiwan, life insurance companies should have risk control mechanisms that are stricter, such as building foreign exchange valuation reserve mechanisms, allowing them to manage exchange rate risks more flexibly and reducing hedge costs, to further strengthen their solvency for perfecting their financial constitution. The purpose of this study is to examine the determinants of foreign investment for life insurance companies. By using 206 samples from 2009 to 2016, this study investigates the determinants relating to the amount of foreign investment to applicable capital ratio. The empirical results support the size and the financial affiliated group membership have the positive and significant impact on the amount of foreign investment. But the premium to total asset ratio has the negative and significant impact on the amount of foreign investment. Furthermore, by using 95 samples from 2013 to 2016, this study investigates the determinants relating to the foreign exchange valuation reserve amount of foreign investment ratio. The empirical results support the foreign life insurance companies intend to have more foreign exchange valuation reserve. However, the life insurance companies with more amount of foreign investment to applicable capital ratio intend to have less foreign exchange valuation reserve.