隨著主管機關放寬國外投資上限，保險公司為追求高報酬因應高利率保單，紛紛將資金移往較多投資工具之外國，凸顯出匯率風險控管之重要性。為平穩保險公司損益與淨值不受匯率走勢而有大幅的波動，除了使用避險工具，可提列外匯價格變動準備金，以備新台幣升值之需。為計算每年外匯價格變動準備金提列之金額是否適足，本研究採用隨機現金流量測試，並以AAA利率模型以及CAS-SoA股票模型，分別模擬國外投資美國十年期零息公債殖利率與標準普爾五百指數之情境，並以布朗運動建構匯率情境。本研究結果顯示，財團法人事業發展中心提供準備金適足性測試之各類資產情境最為樂觀，可能會高估保險公司之清償能力。此外，外匯價格變度準備金之提列需配合國外資產風險與投資比例，方能達到此準備金制度最大效果。;Since Financial Supervisory Commission in Taiwan has gradually broadened the limit on percentage of investment in foreign countries, insurance companies increase their capital in foreign diversified investments in order that the return can be higher than the actuarial assumption of interest rate. However, these investment behaviors expose the exchange risk, and it is important for insurance companies to establish the exchange rate risk management. To avoid the fluctuation of income and value of companies by the exchange rate, in addition to hedging, insurance companies can amortize the foreign exchange valuation reserve in case of the appreciation of New Taiwan dollars. In this thesis, ten-year U.S. treasury yield is modeled by the interest model developed by American Academy of Actuaries (AAA), the S&P500 index is modeled by the equity model developed by the Casualty Actuarial Society and the Society of Actuaries (CAS-SoA) and the exchange rate is modeled by the Brownian motion . The stochastic cash flow testing shows that the assets’ scenarios offered by Taiwan Insurance Institute (TII) are more optimistic than AAA and CAS-SoA model, so the CTE65 (conditional tail expectation) of TII is highest. Besides, the amortization of foreign exchange valuation reserve need to be accorded with the amount of foreign investment and its risk so that the system of the reserve can be put into effect.
