不同監理規範下附保證給付變額年金負債衡量要求對保險公司財報之影響：AG 43、VM-21與IFRS 17之探討

The Impact of the Regulation Requirement of Valuing Variable Annuity Guaranteed Benefits on the Insurer’s Financial Report under AG 43, VM-21 and IFRS 17

李友瑄(Lee Yu-Hsuan)

指導教授 ： 楊曉文 ； 黃泓智

國立政治大學/商學院/風險管理與保險學系/碩士(2021年)

https://doi.org/10.6814/NCCU202100733

摘要

本研究探討AG 43、VM-21與IFRS 17三種不同負債提存制度對保險公司財務報表及損益之影響。透過建立6年期具GMDB與GMMB之變額年金商品的現金流量模型來進行負債評價與模擬損益結果。資產假設中分離帳戶連結標的是以美元計價的平衡型基金，透過對數常態模型模擬投資報酬率情境，並考慮基金間的相關性，同時於負債假設中納入死亡率與脫退率因子，以此模型結果來分析並比較不同負債提存制度之差異及對公司損益之影響。模擬結果顯示不同制度不會改變商品之獲利性，但IFRS 17之損益型態於三個制度中對保險公司有最大的獲利貢獻。而VM-21相較於AG 43有更嚴格的準備金提存規範，遇到市場狀況不佳時，需要提存更高的保證給付責任準備金。
同時本研究透過對連結標的資產類型、保證費用率與投資報酬率情境進行敏感度分析，探討不同個別因子會如何影響保險公司的財務穩定與商品經營方向。結果顯示如下：
1.連結股票型基金會造成損益波動度較大，但連結債券型商品因投資績效較差，容易產生保證成本。
2.調整保證費用率會影響IFRS 17的CSM與淨利。
3.當發生大量滿期保證時，仍是IFRS 17擁有最大的NBV margin。

關鍵字

AG 43 ； VM-21 ； IFRS 17 ； GMxB ； 負債評價 ； 財務影響

並列摘要

This article discusses the impact of insurer’s liabilities on the financial reports and profit and loss under AG 43, VM-21 and IFRS 17. In order to quantify insurer’s liability and P&L results, we build a cash flow model for the 6-year variable annuity with guaranteed minimum death benefit (GMDB) and guaranteed minimum maturity benefit (GMMB). For assets, the underlying item of separate account is mapped to the balanced fund denominated in US dollars. Then we adopt the lognormal model to generate investment return scenarios and consider correlation matrix between funds as well. Moreover, we take mortality rate and lapse rate into consideration in the liability assumptions. The simulations are used to analyze the differences between AG 43, VM-21 and IFRS 17 as well as the impact on the insurer’s P&L. The results demonstrate that different valuation regulation has no impact on the profitability of the variable annuity with guarantee. However, the profit profile of IFRS 17 has the greatest contribution to the profitability of the insurance company among the three valuation regulations. Compared to AG 43, VM-21 has more rigorous regulations for calculating statutory reserve. In adverse economic scenarios, the insurer should hold more reserves to cover severe losses.
Furthermore, to further understand how each factor affect the financial stability of the insurance company and the strategy of the variable annuity product, we perform
the sensitivity test around the factors such as the asset class of the underlying item, cost of guaranteed benefits and investment return scenario. The numerical results are showed as follows.

1. When separate account assets are invested in equity funds, it causes greater volatility in profit and loss. While separate account assets are invested in bond funds, it may cause higher guarantee costs due to poor investment performance.
2. Adjusting expense ratio of guaranteed benefits has an effect on the CSM and net profit of IFRS 17.
3. When the contracts mature, a large number of maturity guarantees are triggered; IFRS 17 still has the greatest NBV margin.

並列關鍵字

AG 43 ； VM-21 ； IFRS 17 ； GMxB ； Valuation of Liabilities ； Financial Impact

參考文獻

中文文獻

1. Deloitte (2018)。保險面面觀—IFRS 17及保險精算實務解析。檢自：

https://www2.deloitte.com/content/dam/Deloitte/tw/Documents/financial-services/tw-fsi-%E4%BF%9D%E9%9A%AA%E9%9D%A2%E9%9D%A2%E8%A7%80_IFRS%2017%E5%8F%8A%E4%BF%9D%E7%B2%BE%E7%AE%97%E5%AF%A6%E5%8B%99%E8%A7%A3%E6%9E%90_Final.pdf

英文文獻

1. Bélanger, A. C., Forsyth, P. A., & Labahn, G. (2009). Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals. Applied Mathematical Finance, 16(6), 451-496.