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    Title: 風險基礎資本制實施對產險業資本與風險之影響
    The Impact of RBC on the Captial and Risk in the Property-Liability Insurance Industry
    Authors: 彭郁婷
    Peng, Yu-Ting
    Contributors: 蔡政憲
    Chengh-Sien Tsai
    彭郁婷
    Peng, Yu-Ting
    Keywords: 產險業
    資本結構
    風險基礎資本額
    Date: 2002
    Issue Date: 2009-09-18
    Abstract: 本文主要是探討風險基礎資本額制度施行後對產險公司資本與風險的影響,以作為台灣未來施行風險基礎資本額的參考。我們所使用的方法是二階段最小平方法來分析資本、風險與風險基礎資本額之關係,結果發現,當RBC ratio較低的產險公司會增加資本比率、減少其風險行為,反之,RBC ratio較高的產險公司其行為會受到公司規模大小之影響,若是RBC ratio高的大型保險公司,會減少資本、增加風險,避免過多資本管理沒有效益;小型保險公司則是會增加資本、減少風險,此即可能是為了增加承保能量以減少未來可能發生之巨災所造成的損害。
    This paper examines the simultaneous impact of the RBC regulation on property-liability insurers’ capital ratios and risk including asset risk and product risk. We use a two stage least squares (2SLS) model to analyze the relationship between property-liability insurers’ capitals, risk and RBC ratios. The results suggest that insurers with low RBC ratios increase their capital ratios and decrease their risks, while insurers with high RBC ratios have different risk-taking behavior. This is affected by the insurers’ sizes. Small insurers with high RBC ratios increase capital and decrease risk to enlarge capacity and to prevent any catastrophe happening in the future. Large insurers with high RBC ratios decrease capital and increase risk to avoid management inefficiency.
    Reference: Aggarwal, R. and K. T. Jacques, 2001, The Impact of FDICIA and Prompt Corrective Action on Bank Capital and Risk: Estimates Using a Simultaneous Equations Model, Journal of Banking and Finance, 25: 1139-1160.
    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.
    Cummins, J.D. and D.W. Sommer, 1996, Capital and risk in the property insurance markets, Journal of Banking and Finance, 20: 1069-1092.
    Jacques, K and P. Nigro, 1997, Risk-Based Capital, Portfolio Risk, and Bank Capital: A Simultaneous Equations Approach, Journal of Economics and Business, 49: 533-547,
    Rime, B, 2001, Capital Requirements and Bank Behavior: Empirical Evidence for Switzerland, Journal of Banking and Finance, 25: 789-805.
    Shrieves, R.E and D. Dahl, 1992, The Relationship Between Risk and Capital in Commercial Banks, Journal of Banking and Finance, 16: 439-457.
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    90358002
    91
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090358002
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系 ] 學位論文

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