國外投資與匯率避險對於人壽保險公司履約能力之分析

台灣壽險業資產快速累積下，受限國內固定收益市場規模小、利率持續下降，加上國外投資上限不斷放寬，使壽險公司紛紛轉往國外投資，以追求更高收益，整體壽險業於2018年國外投資比例高達68.65%，創下歷史新高。近期新冠肺炎擴大，在全球低利率環境、台幣升值下，壽險業面臨莫大的匯率、利率風險。故本文研究安定基金的風險保費，以衡量保險公司的違約風險所得出，在此考量匯率、利率風險因子，並加入匯率避險工具，以及匯率、利率相關性，分析各因子對風險保費的影響，詳細釐清：(1)國外投資上限對風險保費影響；(2)利率、匯率與風險保費關係；(3)避險比例對風險保費的關聯性。研究結果顯示：(1)若國外投資上限放寬，隨國外投資比例增加，受匯率、利率波動影響下，使保費增加；(2)匯率、國外利率波動度增加，使保費增加，且國外利率風險大於國內利率風險；此外，三者間相關係數增加，亦使保費增加。(3)匯率避險效果顯著降低匯率風險與利率風險。因此，建議國外投資比重、匯率與利率、匯率避險等因子應納入安定基金風險保費的計算，以確保壽險公司之履約能力。

關鍵字

風險保費；國外投資；匯率避險；波動度

並列摘要

With the rapid accumulation of assets in Taiwan’s life insurance industry, the restricted domestic fixed-income market is small, interest rates continue to fall, and foreign investment ceilings continue to be relaxed, causing life insurance companies to invest abroad for higher returns. In 2018, the proportion of foreign investment reached 68.65%. In addition, the recent expansion of the COVID-19, the life insurance industry is facing enormous exchange rate and interest rate risks under the global low interest rate environment and the appreciation of the TWD. This paper studies the risk premium of life insurance guaranty schemes, which can be reflected the default risk of life insurers. We consider exchange rate and interest rate risk factors, and adds exchange rate hedging tools, as well as the correlation between exchange rate and interest rate, to analyzes the impact of each factor on risk premiums. The main research is: (1) the impact of foreign investment ceiling on risk premiums; (2) the relationship between interest rates, exchange rates and risk premiums; (3) the impact of currency hedging on risk premiums. The research results show that: (1) With foreign investment ratio increases, the premium increases; (2) The volatility of exchange rate and interest rate increases, the premium increases; and the foreign interest rate risk is greater than the domestic interest rate risk; in addition, the correlation coefficient between interest rate and exchange rate will increase premiums; (3) The exchange rate hedging effect significantly reduces exchange rate risk and interest rate risk. Therefore, We recommend that the factors of foreign investment ratios, exchange rate and interest rate, currency hedging should be included in the calculation of the risk premiums to ensure the performance of life insurance companies.