台灣風險基礎資本額制度實施至今已將近七年，但風險係數卻從未調整，本研究主要針對股票指數與匯率之風險係數探討其是否有更新之必要，藉由1986年12月至2009年12月之資料，利用GARCH模型及EGARCH模型進行風險係數之估計，除了和風險基礎資本額制度相同，以風險值為考量外，另外加入條件尾端期望值，並比較其與風險值之差別。 實證結果發現，僅部分財務時間序列有顯著之槓桿效果，因此使用GARCH模型估計風險係數較為合適；所估計之風險係數，無論是股價指數或是匯率，其估計結果皆比現行標準高出許多。 / In Taiwan, Risk-based capital (RBC) is set up in 2003. From 2003 until now, no matter how the economical environment has changed, the risk factors have remained all the same.This research mainly focuses on the risk factors of stock index and foreign exchange and wants to know if the risk factors need to be changed. The data this research encompasses is from December 1986 to December 2009.The risk factors are estimated by GARCH model and EGARCH model, utilizing not only the VaR but also the conditional tail expectation (CTE). From the result, only a few financial time series have shown leverage effect, therefore it is indeed more appropriate to apply GARCH model in risk factors estimation. Moreover, the risk factors from the result of this research, whether it is stock index or foreign exchange rate, are significantly higher than the risk factors standard applicable in Taiwan at the present.

Artzner等學者在1999年提出風險測量值應具備同調（coherent）性質，然而，涉險值並未能完全符合。本文針對Wirch ＆ Hardy（1999）提出滿足Artzner et al.（1999）所定義同調性質之風險量化指標如條件尾端期望值（Conditional Tail Expectation；又稱尾端涉險值，Tail-VaR）以及危險比例（proportional hazards；PH）、雙重次方（dual power；DP）變形函數（distortion function）等風險衡量方法作探討，參考MGWP（1980）、Boyle ＆ Hardy（1997）、Hardy（2000）、Yang（2001）、Wilkie ＆ Waters ＆ Yang（2003）對於附保證給付之投資連結型保險契約提存準備金的方法，將其應用到保險公司所發行的附保證給付之風險量化上，同時比較其與涉險值之差異。其中之數值分析將以附最低死亡保證給付（Guarantee Minimum Death Benefit）之變額年金，以及附保證年金選擇權（Guaranteed Annuity Options）之單位連結（Unit-linked）保險商品作為範例，分別以台灣、英國兩地的投資環境為背景，檢視其附保證給付之投資型保單可能面臨的風險暴露，提供保險公司作為提存投資型商品保證給付部分之責任準備金參考。 / In this paper we introduce the properties of a coherent risk measure（Artzner et al（1999））. The risk measure of Value at Risk that does not adhere to the consistency requirements is discussed. We consider the coherent risk measures of conditional tail expectation（also known as Tail-VaR）, proportional hazards and dual power distortion functions outlined by Wirch and Hardy（1999）. MGWP（1980），Boyle and Hardy（1997），Hardy（2000），Yang（2001），Wilkie, Waters and Yang（2003）use VaR and the latter two papers also apply conditional tail expectation to reserve for investment-linked contracts with guaranteed risk. Instead, we apply the coherent measures to reserve two different types of guarantee：guarantee minimum death benefit and guaranteed annuity options attached to variable annuity contracts and unit-linked contracts separately. In addition, the comparison of the numerical results for VaR risk measure and coherent risk measure are analyzed.