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| Title: | 風險基礎資本額對壽險公司風險承擔行為之影響 |
| Authors: | 曾信凱
Tseng Hsin Kai |
| Contributors: | 蔡政憲
曾信凱
Tseng Hsin Kai |
| Keywords: | 風險基礎資本額
風險行為
壽險業 |
| Date: | 2002 |
| Issue Date: | 2009-09-18 |
| Abstract: | 本文主要目的在於探索風險基礎資本額監理制度之實施，對於人壽保險公司風險承擔行為（Risk-taking Behaviors）之影響。為了檢視此一議題，本文採用同步方程式模型（Simultaneous Equations Model），並利用二階段最小平方法來分析壽險公司的資本、風險與風險基礎資本額監理制度之間的關係。本文將壽險公司依照其前一年度之風險基礎資本比率（RBC ratio）分成N個等級，藉此來捕捉各種風險基礎資本比率等級下，壽險公司的風險行為異同。本文更進一步的將樣本壽險公司依照公司大小、組織型態以及樣本期間的存活情況分成數個子樣本，加以分析子樣本間壽險公司的風險行為差異。
實證結果顯示，RBC 低的公司不僅會增加公司資本，而且亦會增加產品風險；另一方面，股份保險公司相較於相互保險公司會承擔較多的風險，且相互保險公司不易受風險基礎資本額監理制度的影響。本文更進一步發現，公司規模小且RBC低的壽險公司不僅會增加公司資本，亦會同時增加公司產品風險；反之亦然。此一結果隱含當監理機關要求RBC低之壽險公司增加資本時，壽險公司亦會同時增加其產品面風險。
This paper explores the impact of Risk-Based Capital regulation on life insurer’s risk-taking behavior. To examine this issue, we use a simultaneous equations model. We employ a two stage least square (2SLS) model to analyze the relationship between life insurer’s capital, risk and RBC requirements. We classify the insurers into N categories to capture the insurers’ behavior with different levels of RBC ratios. Further, we divide the sample into several groups by insurer size, organization form, and status between sample periods.
The results suggest that insurers with lower RBC would not only increase their capital ratios but also increase their product risk. Further, life insurers with small sizes and low RBC ratios would not only increase their capital ratios but also increase product risk. The results imply that regulators require insurers with low RBC ratio increase their capital, but insurers would increase product risk at the same time. |
| Reference: | References
Baranoff, E.G. and T.W. Sager, 2002.The relations among asset risk, product risk, and capital in the life insurance industry. Journal of Banking and Finance 26, 1181-1197.
Berger, A.N., Herring, R.J., Szego, G.P., 1995. The Role of Capital in Financial Institutions. Journal of Banking and Finance 19, 393-430.
Cunnims,J.D., S.E. Harrungton, and R.W. Klein, 1995, Insolvency Experience, Risk-Based Capital, and Prompt Corrective Action in property-Liability Insurance, Journal of Banking and finance, 19:511-527.
Cummins, J. D, M. F. Grace, and R. D. Phillips, 1999, Regulatory Solvency Prediction in Property-Liability Insurance: Risk-Based Capital, Audit Ratios, and Cash-Flow Simulation, Journal of Risk and Insurance, 66: 417-458.
Cummins, J.D. and D.W. Sommer, 1996, Capital and Risk in Property-Liablilty Insurance Markets, Journal of Banking and Finance, 20:1069-1092.
Shrieves, R.E. and D. Dahl, 1992, The Relationship Between Risk and Capital in Commercial Banks, Journal of Banking and Finance, 16: 439-457.
Grace, M. F., S. E. Harrington, and R. W. Klein, 1998, Risk-Based Capital and Solvency Screening in property Insurance: Hypotheses and Empirical Tests, Journal of Risk and Insurance, 65: 213-243. |
| Description: | 碩士
國立政治大學
風險管理與保險研究所
90358013
91 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0090358013 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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