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Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/146651
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| Title: | 壽險業資本監理制度之比較與試算
Comparisons and Calculations of Capital Requirements of Life Insurance Companies |
| Authors: | 鄭喜文
Zheng, Xi-Wen |
| Contributors: | 蔡政憲
Tsai, Cheng-Hsien
鄭喜文
Zheng, Xi-Wen |
| Keywords: | RBC
ICS
Solvency II
資本適足率
Solvency Ability
RBC
ICS
Solvency II |
| Date: | 2023 |
| Issue Date: | 2023-08-02 14:23:02 (UTC+8) |
| Abstract: | 台灣壽險業將於2026年接軌國際保險監理制度-保險資本標準(Insurance Capital Standard, ICS)，與現行資本監理制度-風險資本額制度（Risk Based Capital, RBC），無論在資產負債評價方法、適格資本來源、風險資本架構與計算皆有重大差異。
本研究第一部分重點整理RBC與ICS之制度差，也納入歐洲現行保險監理制度-Solvsncy II與國際銀行業監理制度Basel III作為輔助參考，藉由比對其他國際重要監理制度，分析ICS制度之合理性與嚴格程度進行比較。第二部分藉由簡單試算，以量化方法實際測量接軌ICS面臨的資本壓力。
研究結果顯示，根據現行國際ICS規範，因採用不同保險負債評價方法，將導致保險負債大幅增加。利率、權益及保險風險，計算方法面臨重大改變，風險資本差距較大，而總風險資本要求約為現行風險資本要求的七倍，資本適足率將大幅度下降。
Taiwan`s life insurance industry will adopt the international insurance regulatory system - Insurance Capital Standard (ICS) in 2026. There are significant differences between the ICS and the current capital regulatory system - Risk-Based Capital (RBC), in terms of asset-liability valuation methods, eligible capital sources, and risk capital structure and calculations.
The first part of this study focuses on identifying the differences among RBC and ICS systems, the current European insurance regulatory system - Solvency II, and the international banking regulatory system Basel III. This study discusses the reasonableness and strictness of the ICS system when applied in Taiwan. The second part uses simplified calculations and quantitative methods to measure the capital requirement pressure faced by Taiwan life insurers when adopting ICS.
The results of the study show that, firstly, adopting ICS’s insurance liability valuation methods will lead to a significant increase in insurance liabilities. Secondly, there are major changes in the calculation methods for interest rates, equity, and insurance risks, resulting in large gaps in capital requirements. The total risk capital requirement is approximately seven times of the current risk capital requirement, and the capital adequacy ratio will decrease significantly. |
| Reference: | 林正國(2011)。台灣壽險公司資本適足率分析-以Solvency II QIS5原則計算。國立政治大學風險管理與保險學系，台北市。
金融監督管理委員會，銀行自有資本與風險性資產之計算方法說明及表格。https://www.banking.gov.tw/ch/home.jsp?id=107&parentpath=0,8
財團法人保險事業發展中心，111年度人身保險業資本適足性報告相關填報表格填報手冊(2022). https://www.tii.org.tw/tii/actuarial/actuarial3/checkReport/index.html
陳業寧、石百達、蔡政憲(2022)。ICS與Basel III之比較分析。台北市：國立政治大學商學院保險業永續發展研究中心
蔡政憲、謝明華、彭金隆(2021)。ICS與Solvency II的差異分析。台北市：國立政治大學商學院保險業永續發展研究中心
謝明華、王麗玲、蔡政憲、彭金隆(2021)。台灣施行ICS對壽險業資產配置的可能影響。台北市：國立政治大學商學院風險與保險研究中心
Daniela Laas, Caroline Franziska Siegel. (2016). Basel III Versus Solvency II：An Analysis of Regulatory Consistency Under the New Capital Standards. The Journal of Risk and Insurance. Vol. 84, No. 4, 1231-1267 (2017).
EIOPA. (2011). EIOPA Report on the fifth Quantitative Impact Study (QIS5) for Solvency II. https://register.eiopa.europa.eu/Publications/Reports/QIS5_Report_Final.pdf |
| Description: | 碩士
國立政治大學
風險管理與保險學系
109358023 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0109358023 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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