保險風險的自然避險效果對風險基礎資本額要求的影響 The Natural Hedging Effect of Insurance Risk to the Impact of Requirement

本文探討保險公司壽險與年金險商品組合的自然避險效果對於資本要求的影響。以精算模型為主要架構，並利用模擬方法產生預估未來的死亡率，因此可以同時產生各組死亡率的責任準備金機率密度分布，取95百分位數資本要求的指標值，以達到清償能力95%的信心水準。本文發現資本要求至少受到商品組合以及準備金是否有把死亡率的更新資訊考慮進來之影響。壽險與年金險的商品組合所產生自然避險效果而減少資本要求計提額度；而責任準備金提列水準則也可能影響資本計提額度。
關鍵詞：自然避險、資本要求、風險基礎資本額
Abstract
This article discusses the impact of natural hedging effect of product portfolios of life insurance and annuity on the requirement of capital for insurance companies. Using actuarial model as a framework and utilizing simulation technique to generate the forecasting mortality rates, a probability density distribution of reserves is produced simultaneously. In this article, the 95 quantile reserves is used as the benchmark of capital requirement so as to cover the solvency at 95% confidence level. This article shows that the capital requirement is at least affected by product portfolio and whether or not the reserves consider the updated information of mortality rate. The needed capital of requirement is lowered by the natural hedging effect of life insurance and annuity portfolios and also affected by the level of reserves.
Keywords: natural hedging, capital requirement, risk based capital