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| Title: | 實施RBC制度對台灣壽險公司資產配置與投資風險之影響 |
| Authors: | 劉怡君 |
| Contributors: | 王儷玲
劉怡君 |
| Keywords: | 風險基礎資本額制
資產配置 |
| Date: | 2006 |
| Issue Date: | 2009-09-14 09:41:10 (UTC+8) |
| Abstract: | 我國保險業自九十二年七月九日起為與國際接軌正式施行保險業風險資本額制度（Risk-Based Capital），該制度之目的在及早偵測出可能發生失卻清償能力之保險公司。以監理角度而言，如何有效利用監理制度來確保保險公司失卻清償能力在可接受範圍內，一直是一個相當重要的課題。藉由RBC制度，監理機關可以評估保險公司資產面（資產配置）和負債面（險種經營）的風險，並給予保險公司資產與負債不同的權數，加以計算其所需的資本，因此RBC制度實為控制保險公司盈餘的一種財務監理工具。而也因為RBC制度這樣的特性，某種程度來說也可間接引導保險產業的資產配置。
本研究主要探討我國壽險業者於民國九十二年七月實施RBC制之後對於資產配置策略上有無產生影響，藉以驗證是否RBC制對於人身保險業者的資金配置產生影響力。本研究以我國壽險業共二十五家公司年報，比較其八十九年度至九十四年度在實施RBC制前後，其資產配置會因RBC實行會有何改變。本篇的研究方法是以paired sample t test 及Wilcoxon sign-rank test檢定保險公司的各資產配置項目在RBC制實施前後有無明顯改變。實證結果為整體壽險業除股票比例外，每一項投資配置項目在風險基礎資本額實施前後都有顯著地改變。
此外，本研究亦欲檢視在風險基礎資本額實施之後，各保險公司的投資報酬率與風險會有何變化，以了解實施RBC制度後對台灣壽險業投資績效之影響。實證結果為壽險業的投資報酬率及投資風險在RBC實施之後皆有下降的趨勢。
Risk-Based Capital was implemented as an important regulatory tool in Taiwanese insurance industry in July 9th 2003, which is used to predict the probability of insolvency. From the regulatory point of view, it has always been a highly important section to keep the default risk of the insurers within a certain range. By the means of RBC, the regulators can evaluate the risks of asset and liability, and assign different weights to them in order to know how much capital the insurer need. As a result, RBC can be used to regulate the insurers’ financial earnings. And because of this character, RBC can conduct the asset allocation of the insurers at the second hand.
The purpose of this paper is to verify if the implement of RBC in July 2003 had any effects on the asset allocation of the insurance industry. We used the annual reports of 25 Taiwanese insurance companies to compare the differences between 2000 and 2005 to examine how they changed their investment portfolios after RBC. Our research method is paired sample t test and Wilcoxon sign-rank test, and we found that except for the investment ratio of stocks, each ratio has significantly changed after RBC.
Furthermore, we also detected the variations of the rate of returns and the risk of insurance companies’ investment portfolios after the implement of RBC. The empirical results are that both the rate of returns and the risk of insurance companies’ investment portfolios decreased after RBC had been carried out. |
| Reference: | 中文部份：
1. 蔡政憲、吳佳哲，「保險法中之投資限制對保險業投資績效的影響之實證研究」，風險管理學報，第二卷，第二期，p.1-36，民國89年。
2. 林姿婷，風險基礎資本與涉險值運用在保險監理上之比較，國立政治大學風險管理與保險學系研究所碩士論文，民國90年。
3. 曾信凱，風險基礎資本額對壽險公司風險承擔行為之影響，國立政治大學風險管理與保險學系研究所碩士論文，民國91年。
4. 郭純芳，風險基礎資本制實施對壽險業資本與風險之影響，國立政治大學風險管理與保險學系研究所碩士論文，民國91年。
5. 鄭聿舒，風險基礎資本額制度下壽險公司之最適投資決策，國立台灣大學財務金融學系研究所論文，民國93年。
英文部分：
1. Arnott, D. Robert, and David P. Flynn, 1993, Controlling Insurance Risk and Consumer Costs-Asset Risk Under Risk Based Capital Requirements, Journal of Insurance Regulations, 12, 81-94.
2. 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.
3. Blair, R.D. and A.A. Heggestad, 1978, Bank Portfolio Regulation and the Probability of Bank Failure, Journal of Money, Credit, and Banking, 10, 1,88-93.
4. Cummins, J.D., S.E. Harrington, 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.
5. Cummins, J. David, Martin F. Grace and Richard D. Phillips, 1999, Regulatory Solvency Prediction： Rick-Based Capital, Audit Ratios, and Cash Flow Simulations, Journal of Risk and insurance, 66, 417-458.
6. Eichhorn, D., F. Gupta, and E. Stubbs, 1998, Using Constraints to Improve the Robustness of Asset Allocation, Journal of Portfolio Management, 24, 3, 41-48。
7. Grace, M.F., Timme, S.G., 1992. An examination of cost economics in the US life insurance industry, Journal of Risk and Insurance, 59, 72–103.
8. Jacques, Kevin and Peter Nigro, 1997, Risk-Based Capital, Portfolio Risk, and Bank Capital：A simultaneous Equations Approach, Journal of Economics and Business, 49, 533-547. |
| Description: | 碩士
國立政治大學
風險管理與保險研究所
94358005
95 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0094358005 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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