- 學位論文
台灣保單資產證券化之評價研究
The Study on the Evaluation of Insurance Policy Securitization -- A Perspective of Taiwan Market
摘要
保單資產證券是一項獨特的新興資產證券化商品，其牽涉層面包括法律、金融、會計制度等領域。世界各國在學習或建立證券化體系時，多以美國為宗師，但資產證券化有高度的文化障礙，即便最先進的金融體系所使用之方法，並無法全然移植到台灣地區之金融體系，保單資產證券化之國外經驗，亦是如此。 本研究主要目的參考國外執行保單資產證券化的經驗，分析相關商品之結構及特性，並探討台灣實施保單資產證券化機制，相關法規及市場環境分析，並以資產證券化訂價模式，模擬計算證券化之保單資產債券價格與報酬。 研究方法係以資產證券化評價方法如，靜態現金流量報酬法、靜態利差法及總額報酬法，來模擬證券化保單資產之價格及報酬率。研究結果如下： 一、保單資產證券化將創造多贏局面：提高國民的平均保額，發揮社會互助機制、活絡保險次級市場、讓保單貼現產業回歸人道關懷角色、降低保險公司利率風險管理成本、具有獨特高報酬特性的投資工具。 二、「被保險人生命預期」的準確度為保單貼現證券報酬率最主要的關鍵因素。 三、計算保單貼現證券報酬率的評價研究方法中，作者推薦以靜態利差法評估投資保單貼現證券期間之額外風險溢酬。 四、透過台灣保單資產證券化的發展，引導國內保險公司不再以推銷低保障、高儲蓄性之保單，提昇整體台灣人民的平均保額，促進社會互助經濟保障制度的發展。
並列摘要
The insurance policy securitization is an unique and newly developed securitization commodity, the relevant fields include law, finance, accounting, etc. The securitization system as well as insurance policy securitization in the rest of the world is mostly imitated from the United States. However, due to the culture difference, it is unable to be completely transplant from the U.S. to Taiwan market. The main purposes of this study is to examine the structure and mechanism of the Taiwan securitization market, the related regulation, as well as the environment of Taiwan market by referring to the implementation experience of the well-developed countries. Furthermore, this work attempts to obtain the price and remuneration of the insurance policy securitization bond by employing asset securitization pricing model. The methodology is to simulate the insurance policy securitization price and rate of return by Static Cash Flow Yield (SCFY) approach, Static Spread (SS) method and Total Dollar Return approach. The conclusion of this study is summarized as follows: 1. The insurance policy securitization in Taiwan market will create a beneficial environment for various parties. It includes increasing average insurance amount of nationals, activating the secondary market of the insurance policy, leading the settlement industry toward the humanity careness, reducing the risky management cost of the insurance company. In summary, the Taiwan insurance policy securitization will be an investment instrument with high remuneration characteristics. 2. The key factor for the rate of return on the discounting insurance policy securities depends on the accuracy of insured's life expectancy. 3. Among the three methods used to pricing the insurance policy securitization, the Static Spread Model is recommended. 4. This study concludes that the government in Taiwan can create an insurance policy securitization market, which can lead domestic insurance companies to promote high ensuring and low premium insurance policies to the customers.