政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/85413

政大典藏 > College of Commerce > Department of Risk Management and Insurance > Theses > Item 140.119/85413

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85413

Title:	台灣壽險業風險基礎資本額共變性之實證研究 Empirical Study on the Correlation of Risk Based Captial in Life Insurance
Authors:	張弘欣 Martin Chang, Hung-Hsin
Contributors:	王儷玲 Jennifer Wang, L. 張弘欣 Martin Chang, Hung-Hsin
Keywords:	風險涉險值
Date:	2001
Issue Date:	2016-04-18 16:28:34 (UTC+8)
Abstract:	主要保險先進國家或地區對防範壽險業失卻清償能力的規範，都朝向採行資本適足性的風險基礎資本（RBC）的建制，我國亦正朝向此方向發展，而台灣財政部保險革新小組，參考的是美國「風險基礎資本制度，簡稱為RBC」，1999年保險司曾公開表示，在法令修正通過兩年後將實施RBC制度。基本上，壽險業資本適足性的建制採行RBC較單一資本制度（最低資本制度）為優，但是在RBC的設計上，除了單純的假設C1與C2風險是完全隨機發生之外，對各類的風險項目的風險係數並無適當的考量，再者對於各風險項目下的各分類項目間的相關性（或共變異性）亦無適切的考量，使本制度有其先天設計上的不完美。在台灣隨著國際化的腳步加劇，一方面國內保險公司的競爭的情形越加白熱化，且對於保險公司的規範逐漸鬆綁，因此，對壽險公司而言，面對投資商品的越趨多樣化，如何妥善的管理投資組合的市場風險是非常重要的。因此，如何訂定適合符合本國環境的RBC制度亦為當務之急，故促發本文的研究動機。 In major countries and areas with highly advanced life insurance industry, the establishment of risk based capital（RBC）founded upon capital adequacy is adopted as the norm to avoid losing solvency. Basically, to adopt RBC is more superior than to adopt Minimum Capitalization System in the establishment of life insurance industry’s capital adequacy. However, except simply assuming that the risk of C1 and C2 arises completely randomly, proper consideration is given neither to the risk factor of risk items in each category, nor to the risk items’ correlation（or covariance）with the result of inherent flaw in the design of RBC. Hence, how to institute the RBC system pertinently correspondent with the circumstances in Taiwan becomes utterly imperative, and it also motivates this study to be proceeded.
Reference:	中文部分古瀨政敏（1996），呂慧芬譯述，「美國壽險公司之經營革新」，保險事業發展中心，民國87年11月。呂自勇，「金融資產投資組合風險值衡量-以台灣股市債市投資組合為例」，中央大學財務管理研究所碩士論文，民國87年6月。周國端，「保險公司最適資本要求與破產風險的關係」，保險事業發展中心委託研究，民國85年。洪麗煌，「運用風險涉險值方法衡量風險基礎風險基礎資本額」，逢甲大學保險學研究所碩士論文，民國89年6月。黃卉芊，「台灣股匯市投資組合風險值之計算與評估，中央大學財務管理研究所碩士論文，民國88年6月。黃淑芳，「上市保險公司股票報酬之利率敏感性-台灣市場之實證」，逢甲大學保險學研究所碩士論文，民國89年6月。施惠修，「美國NAIC壽險業RBC公式於台灣壽險公司之應用」，國立台灣大學財務金融學研究所碩士論文，民國84年6月。鄒政下，保險會計理論與實務，台北：作者出版。詹志清，壽險公司責任準備金涉險值之估計，國立政治大學風險管理與保險研究所碩士論文，民國88年7月。鄭濟世，「我國壽險業資本適足性之研究」，民國87年12月。蕭如媜，「台灣產險業資本適足性之研究-風險基礎風險基礎資本之應用」，逢甲大學保險學研究所碩士論文，民國89年6月。謝劍平，「現代投資學」，智勝文化事業出版，民國87年。英文部分 Alexander, C.O. and C.T. Leigh,“On the Covariance Matrices Used in Value at Risk Models,”Journal of Derivatives, Spring 1997, p50-62. Arnott, Robert D. and David P. Flynn,“ Controlling Insurance Risk and Consumer Costs/Asset Risk Under Risk Based Capital Requirements,” Journal of Insurance Regulation, Vol. 12, Fall 1993, p81-94. Barth, Mike,“Life Insurance Companies` Risk-Based Capital Distribution by Size Groups,”NAIC Research Quarterly, Vol. 1. Cumins, J. David, “A Cash-Flow Simulation Approach to Risk-Based Capital Estimation In Property-Liability Insurance,”Prepared for the Alliance of American Insurers, December, 1992. Cummins, J. David, Scott Harrington and Grey Niehaus,“An Economic Overview of Risk-Based Capital Requirements for the Property Liability Insurance Industry,”Journal of Insurance Regulation, 1993, Vol. 11, p427-447. Grace, Martin , Scott Harrington & Robert Klein, “Risk-Based Capital Standards and Insurer Insolvency Risk：An Empirical Analysis,” Presented at the 1993 ARIA Meetings. Hendricks, Darryll,“Evaluation of Value-at-Risk Models Using Historical Data,”Economics Policy Review, Fall 1996, p39-69. Hitchins, Glyn, Simulation value-at-risk, Risk, 1997,p60-63. Jorion, Philippe, Value at Risk：The New Benchmark for Controlling Market Risk, Mcgraw-Hill Companies Inc. 1997. Klein, Robert W. and Michael M. Barth,“Solvency Monitoring in the Twenty-First Century,”Journal of Insurance Regulation, Vol. 13, Spring 1995, p257-301. Robert W. Klein,“ Insurance Regulation in Transition,”The Journal of Risk and Insurance, 1995, Vol. 62, No.3, p363-404. Stephen A. Rose, Randolph W. Westerfield and Jeffrey Jaffe, Corporate Finance, 5th Edition, 1999. Steven W. Pottier and David W. Sommer,“Life Insurer Risk Based Capital Measures,”Journal of Insurance Regulation, Vol. 16, Winter 1997, p179-196.
Description:	碩士國立政治大學風險管理與保險研究所 87358020
Source URI:	http://thesis.lib.nccu.edu.tw/record/#A2002001464
Data Type:	thesis
Appears in Collections:	[Department of Risk Management and Insurance] Theses

Files in This Item:

There are no files associated with this item.

社群 sharing

Loading...