資產(chǎn)負(fù)債管理教學(xué)提綱

人壽保險(xiǎn)業(yè)資產(chǎn)負(fù)債管理之運(yùn)用郝充仁淡江大學(xué)保險(xiǎn)經(jīng)營(yíng)研究所壽險(xiǎn)市場(chǎng)的變化： (1)總體經(jīng)濟(jì)的變化－利率的快速變化 (2)人身風(fēng)險(xiǎn)的變化－退休產(chǎn)品的興起 (3)金融產(chǎn)業(yè)的變化－銀行保險(xiǎn)的結(jié)合 結(jié)果： 保險(xiǎn)公司的資產(chǎn)負(fù)債管理受到重視 方式： 利用存續(xù)期間來(lái)衡量

壽險(xiǎn)業(yè)資產(chǎn)占金融機(jī)構(gòu)資產(chǎn)比率表壽險(xiǎn)業(yè)資產(chǎn)占金融機(jī)構(gòu)資產(chǎn)比率表單位：百萬(wàn)元年/月金融機(jī)構(gòu)資產(chǎn)總額壽險(xiǎn)業(yè)資產(chǎn)總額比率%200227,176,0043,498,40212.87%200329,875,3874,576,26315.32%200432,531,2845,450,67316.76%200536,024,6146,485,40518.00%200638,425,8217,756,51120.19%200739,629,7018,746,48722.07%200842,218,8329,169,44921.72%200944,950,90710,782,43923.99%201047,259,88212,123,70125.65%201150,444,17313,051,67625.87%資料來(lái)源：行政院主計(jì)處(中華民國(guó)統(tǒng)計(jì)月報(bào)555期)；財(cái)團(tuán)法人保險(xiǎn)事業(yè)發(fā)展中心人身險(xiǎn)保險(xiǎn)密度、滲透度表人身險(xiǎn)保險(xiǎn)密度、滲透度表年/月保險(xiǎn)密度(元)保險(xiǎn)滲透度(%)200132,5317.39200239,4878.54200350,10610.59200457,67111.51200564,02112.42200668,35312.77200781,67514.52200883,29415.2200986,79016.08201099,85516.99201194,64715.98資料來(lái)源：財(cái)團(tuán)法人保險(xiǎn)事業(yè)發(fā)展中心註：保險(xiǎn)密度：每人平均保費(fèi)支出保險(xiǎn)滲透度：保費(fèi)收入對(duì)GDP之比率人身保險(xiǎn)業(yè)資產(chǎn)負(fù)債表人身保險(xiǎn)業(yè)資產(chǎn)負(fù)債表單位：百萬(wàn)元年/月總資產(chǎn)總負(fù)債負(fù)債準(zhǔn)備業(yè)主權(quán)益資金總額20023,498,4023,340,6763,225,864157,7253,383,58920034,576,2634,351,6604,130,794224,6034,355,39720045,450,6735,203,0604,866,363247,6145,113,97720056,485,4056,216,3385,693,529269,0675,962,59620067,756,5117,256,0056,436,200500,5066,936,70620078,746,4878,313,5347,142,995432,9537,575,94820089,169,4498,955,3357,847,933214,1148,062,047200910,782,43910,347,1478,974,937435,2929,410,229201012,123,70111,647,53910,223,028476,16110,699,189201113,051,67612,621,28311,184,402430,39311,614,7952012/0313,552,91013,069,14411,562,669483,76612,046,435資料來(lái)源：財(cái)團(tuán)法人保險(xiǎn)事業(yè)發(fā)展中心註：1.資金總額包括業(yè)主權(quán)益及負(fù)債準(zhǔn)備2.2012年3月資料尚未經(jīng)會(huì)計(jì)師查核簽證3.自2011年起適用財(cái)務(wù)會(huì)計(jì)準(zhǔn)則公報(bào)第四十號(hào)「保險(xiǎn)合約之會(huì)計(jì)處理準(zhǔn)則」及新修訂「保險(xiǎn)業(yè)財(cái)務(wù)報(bào)告編製準(zhǔn)則」之規(guī)定，部份項(xiàng)目?jī)?nèi)容配合調(diào)整。人身保險(xiǎn)業(yè)資金運(yùn)用表(1/2)人身保險(xiǎn)業(yè)資金運(yùn)用表單位：百萬(wàn)元年/月20062007200820092010金額占率%金額占率%金額占率%金額占率%金額占率%銀行存款315,7724.61410,9535.49529,9596.64688,3787.43728,4776.95有價(jià)證券3,132,90545.753,252,40143.483,439,31143.093,999,85743.184,539,41443.29公債及庫(kù)券16,585,31124.221,720,351231,944,62124.362,032,02321.942,263,27521.58股票478,5136.99553,4837.4367,0294.6551,9805.96679,5396.48公司債225,7553.3223,7632.99295,2883.7376,2144.06497,7194.75基金及受益憑證71,3861.0443,6300.58183,7152.3177,5681.92153,1951.46其他698,72010.2711,1749.51648,6588.13862,0729.31945,6869.02不動(dòng)產(chǎn)投資(不含自用)261,7363.82294,9463.94321,0724.02386,9234.18408,0023.89壽險(xiǎn)貸款481,3857.03542,3707.25616,9127.73612,5236.61625,3855.96放款524,7027.66617,0428.25631,3477.91569,8106.15544,5425.19國(guó)外投資2,075,67830.312,336,14131.232,419,20030.312,980,18332.173,615,03934.47專(zhuān)案運(yùn)用及公共投資55,6030.8127,2170.3623,9310.324,8840.2725,4390.24資金運(yùn)用總額68,47,7811007,481,0701007,981,7321009,262,55810010,486,298100資金總額6,936,7067,575,9488,062,0479,410,22910,699,189資產(chǎn)總額7,756,5118,746,4879,169,44910,782,43912,123,701資金運(yùn)用率98.7298.759998.4398.01人身保險(xiǎn)業(yè)資金運(yùn)用表(2/2)人身保險(xiǎn)業(yè)資金運(yùn)用表單位：百萬(wàn)元年/月20112012/03金額占率%金額占率%銀行存款705,5866.15776,8706.52有價(jià)證券4,701,69940.994,906,26941.15公債及國(guó)庫(kù)券2,445,46121.322,458,01620.61金融債券、存單、匯票與本票774,6146.75785,0666.58股票713,8446.22815,7046.84公司債519,1054.53552,8194.64基金及受益憑證150,7351.31198,3851.66證券化商品及其他97,9410.8596,2800.81不動(dòng)產(chǎn)投資543,4634.74555,1414.66投資用461,3224.02480,7494.03自用82,1410.7274,3910.62壽險(xiǎn)貸款569,0414.96582,1234.88放款569,5074.97574,5514.82國(guó)外投資4,327,02437.734,467,83537.47專(zhuān)案運(yùn)用及公共投資17,0300.1517,0400.14投資保險(xiǎn)相關(guān)事業(yè)9,5860.089,7490.08從事衍生性商品交易13,9880.1216,5730.14其他經(jīng)核準(zhǔn)之資金運(yùn)用12,5700.1117,9700.15資金運(yùn)用總額11,469,49410011,924,121100資金總額11,614,79512,046,435資產(chǎn)總額13,051,67613,552,910資金運(yùn)用率98.7598.98資料來(lái)源：財(cái)團(tuán)法人保險(xiǎn)事業(yè)發(fā)展中心註：資金運(yùn)用率為資金運(yùn)用總額與資金總額之比2012年3月資料尚未經(jīng)會(huì)計(jì)師查核簽證系統(tǒng)風(fēng)險(xiǎn)再融資風(fēng)險(xiǎn)(Refinance)

(利率上升)再投資風(fēng)險(xiǎn)(Reinvestment)(利率下跌)到期日配合利率上升(cashout)利率下跌(負(fù)債＞資產(chǎn))AssetLiabilityLiabilityAsset存續(xù)期間之意義：

資產(chǎn)或負(fù)債的平均期間：

：cashflow r：marketyield

01234568080808080801000r=8%(1)到期值增加存續(xù)期間增加(2)利率增加存續(xù)期間降低

存續(xù)期間的經(jīng)濟(jì)意涵：

存續(xù)期間衡量利率變化量，對(duì)資產(chǎn)、負(fù)債價(jià)格變化的敏感度債券價(jià)格三大定理債券價(jià)格與殖利率成反向關(guān)係。到期期間愈長(zhǎng)，債券價(jià)格對(duì)殖利率的敏感性愈大。低票面利率債券之殖利率敏感性高於高票面利率債券。債券價(jià)格與殖利率之關(guān)係利率與債券價(jià)格呈反比，即若利率上揚(yáng)則

債券價(jià)格下跌，利率下跌則債券價(jià)格上漲利率上揚(yáng)票面利率利率下滑溢價(jià):價(jià)格上揚(yáng)價(jià)平折價(jià):價(jià)格下跌到期期間不同的債券，其價(jià)格變化與殖利率的關(guān)係票面利率不同的債券，其價(jià)格變化與殖利率的關(guān)係資產(chǎn)負(fù)債的免疫策略：

Question： (1)大公司與小公司受利率影響程度？ (2)為何會(huì)發(fā)生利差損？ (3)生存型商品與保障型商品