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Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/95990
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| Title: | 涉險值在保險監理上應用－與風險基礎資本額之比較
Value at Risk as an Insurance Solvency Regulation Tool-Comparisons with Risk-Based Capital |
| Authors: | 廖詩芸
Liao, Shih Yun |
| Contributors: | 蔡政憲
廖詩芸
Liao, Shih Yun |
| Date: | 1999 |
| Issue Date: | 2016-05-10 16:17:00 (UTC+8) |
| Abstract: | 確保保險公司的清償能力，一直以來都居於保險監理上的重心所在。監理機關採行各種方法來保障並監管保險公司的清償能力，使得保單持有人的投保權益受到充分保護。
這些監管方法包括：最小資本額設定、費率規章、投資限制、監理面保險會計原則(SAP)、財務報表檢查、財務比率檢測、以及對公司運作進行實地分項檢查...等等。
在1980年代，美國保險監理官協會逐漸發展出一套風險基礎資本額計算標準以衡量保險業者面對的資本風險。接著於1980年代晚期，另一套可用以設算風險資本標準的方法-涉險值，正逐步發展中。剛開始時，涉險值主要用於金融機構計算其市場風險上，後來它加速發展，廣泛的被運用於衡量信用風險、交易之流動性風險以及現金流量風險...等等。由於以涉險值作為衡量金融單位風險及監理工具的情況越來越多，使得我們對於在不久將來以涉險值運用作為保險監理工具的想法，產生了興趣及期待。
相較於現存的最低資本額設定，風險基礎資本額及涉險值均加以將保險公司的經營規模以及業務、投資等諸多風險加入計算標準中，理論上應更為詳盡、客觀。本文的主要目的亦即希望利用現金流量模擬公司未來可能的財務狀況，來比較幾種監理制度的預警效果，並特別針對：究竟風險基礎資本額制度和涉險值是否真的較現存較簡易的最低資本額設定可提供較佳之提前預警果；此外，並對於公司經營應提存資本可提供更適切的衡量及決定。
目前規劃在明年度，台灣的保險市場將納入以風險基礎資本額作為保險監理的制度，正由監理單位在熱切研議中。我們進一步參考外國銀行金融業、保險市場於資本適足監理方法上的發展，涉險值正漸普遍用來評估各種風險；我們因此認為以涉險值作為另一項設算保險公司資本風險的工具，將有其發揮潛力，並且提供另一種值得參考、且在某程度上與風險基礎資本制可互為補充的計算方式。希望提供保險監理上越來越多元化、進步，且更適合的選擇。
Assuring insurance company solvency has always been the focal point of insurance regulation. Regulators use various methods to promote insurers` financial strength and protect policyholders from losses due to insolvency. These methods include minimum capital and surplus requirements, rate regulation, restrictions on investment practices, statutory accounting rules, financial reporting requirements, on- site examinations, and application of diagnostic tests to financial data.
In the 1980`s, RBC is developed and adopted as the regulation tool for measuring the principal risks facing insurers. The use of value at risk (VaR) exploded in the financial institutions during the last decade. In addition to measuring the market risk, value at risk has been extended to deal with other risks including credit risks, liquidity risks, and cash flow risks, etc. The exploded adoption of VaR in regulation as well as in the financial services industry motivate us to examine the potential of VaR as an insurance solvency regulation tool.
Compared to the existing minimum capital requirements, RBC and VaR mainly take into consideration the insurance company`s size and other risk factors. The object of our paper is to compare the early warning effectiveness of some regulation tools in insurance solvency surveillance. Especially we focus on that if RBC and VaR make some improvement in decision of the appropriate surplus that the company must hold.
Next year in Taiwan`s insurance market, RBC will be put into practice. It will be a progress for insurance surveillance. Referring to foreign insurance industry and we find that VaR is now generally used in measuring various risks. We think that VaR has great potential to be an effective solvency regulation tool for the insurance industry in the near future. Therefore, here we want to provide the concept of VaR worth of further development as another regulation tool for evaluating the insurers` financial status. |
| Description: | 碩士
國立政治大學
風險管理與保險研究所
86358011 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#A2010000591 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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