利變型保單之風險管理：宣告利率與投資策 The Risk Management of Interest Rate Sensitivity Policies：

本文探討利變型保單在不同的宣告利率方式下，投資策略與獲利邊際之關係。我們討論三種具代表性的宣告利率方式，研究結果顯示，不同的宣告利率方式分別有其合適的投資策略。為了避免在獲利時宣告過多之利率保證，保險人通常運用利差、平滑機制等宣告策略於宣告方式之中。在本文中，我們也探討目標期末紅利應用於利變型保單在風險管理上的效果。研究結果發現，在各種模擬的情境下，扣除利差與加入目標期末紅利可以提高獲利邊際，平滑機制則可能降低期望獲利邊際。這些宣告策略皆能夠使得保險人願意且能夠購買更多的股票、承擔較高的風險，提高保單的宣告利率，但太積極的投資策略也會讓被保險人面臨更大的不確定性，甚或是侵蝕被保險人的期望到期給付金額。因此，在決定利變型保單之宣告利率方式與投資策略之前，保險人應該做足充分之獲利測試以及保單價值測試，俾能同時兼顧保單之獲利能力以及消費者之可接受度。本文針對利變型商品之現金流量、宣告利率方式與宣告策略等作詳細的研究與分析，研究的結果對於國內保險公司了解利變型保單之保單設計與風險管理提供很有幫助的訊息。
關鍵字：利變型保單、宣告利率、投資策略
Abstract
In this paper, we examine the relationship between profit margin and investment strategy of interest rate sensitivity policies. We consider three main types of interest rate declaring rules and observe the possible and suitable investment strategies under each rule. Expense spread and smoothing technique are common factors applied in the interest rate declaring formula. In this paper, we further investigate the efficiency of risk control by applying the concept of terminal bonus. We find that both factors of expense spread and terminal bonus can indeed increase profit margin efficiently. Smoothing technique can improve the efficiency of risk management rather than increase profit margin. Nevertheless, the insurer is capable and willing to hold more risky assets to increase declaring rate by applying these three factors. However, it is possible to suffer high risks with too risky investment strategy. Thus, it is important for insurance companies to compute cash flow tests carefully before issuing these types of policies. The research provides very useful information of risk management for insurance company’s interest rate sensitivity policies.
Keywords: interest rate sensitivity policy, interest rate declaring, investment strategy