| 摘要(英) |
The Insurance Capital Standards (ICS) is a standard issued by the International Association of Insurance Supervisors (IAIS). The construction method of the discount rate of insurance liability contracts is consistent with the principle of IFRS17. We apply the ICS system to analyze the discount rate for valuing insurance liabilities considering the matching and non-matching asset and liability allocation methods. According to the matching criteria, we divide insurance contracts into three granularities for the liability valuation, and then consider the actuarial practice guidelines of the Republic of China Actuarial Association to evaluate the best estimated liabilities(BEL) of the contract and discuss the feasibility of the ICS system.
This study explores that when using the discount rate approach based on the ICS system to comply with the IFRS17, the risk-adjusted ratio for the general bucket method is too high. As a result, the discount rate for calculating the BEL based on the mismatched asset allocation is higher than that for the matched asset allocation. Thus, the research suggest it is important to set the standard for the qualification of the asset class in determining the discount rate for calculating the BEL. In addition, this study infers that in low-rated corporate debt spreads, in addition to credit risk, there is a risk premium that is not related to insurance liability contracts. Under risk correction, more different risk premiums that are not related to insurance liabilities should be considered. |
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