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.

本文主要目的在於探索風險基礎資本額監理制度之實施，對於人壽保險公司風險承擔行為（Risk-taking Behaviors）之影響。為了檢視此一議題，本文採用同步方程式模型（Simultaneous Equations Model），並利用二階段最小平方法來分析壽險公司的資本、風險與風險基礎資本額監理制度之間的關係。本文將壽險公司依照其前一年度之風險基礎資本比率（RBC ratio）分成N個等級，藉此來捕捉各種風險基礎資本比率等級下，壽險公司的風險行為異同。本文更進一步的將樣本壽險公司依照公司大小、組織型態以及樣本期間的存活情況分成數個子樣本，加以分析子樣本間壽險公司的風險行為差異。 實證結果顯示，RBC 低的公司不僅會增加公司資本，而且亦會增加產品風險；另一方面，股份保險公司相較於相互保險公司會承擔較多的風險，且相互保險公司不易受風險基礎資本額監理制度的影響。本文更進一步發現，公司規模小且RBC低的壽險公司不僅會增加公司資本，亦會同時增加公司產品風險；反之亦然。此一結果隱含當監理機關要求RBC低之壽險公司增加資本時，壽險公司亦會同時增加其產品面風險。 / This paper explores the impact of Risk-Based Capital regulation on life insurer’s risk-taking behavior. To examine this issue, we use a simultaneous equations model. We employ a two stage least square (2SLS) model to analyze the relationship between life insurer’s capital, risk and RBC requirements. We classify the insurers into N categories to capture the insurers’ behavior with different levels of RBC ratios. Further, we divide the sample into several groups by insurer size, organization form, and status between sample periods. The results suggest that insurers with lower RBC would not only increase their capital ratios but also increase their product risk. Further, life insurers with small sizes and low RBC ratios would not only increase their capital ratios but also increase product risk. The results imply that regulators require insurers with low RBC ratio increase their capital, but insurers would increase product risk at the same time.

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.

台灣壽險公司2002年之後面臨股東權益累積不足造成高槓桿比之問題，因此2008年金融危機時資產跌價股東權益大幅減損使風險基礎資本額（RBC）低於法定要求而有限期增資壓力；而業務快速成長之公司易受權益資本侵蝕（Surplus strain）造成RBC不足，壽險公司必須在增資及業務發展上取得平衡；此外歐盟於2013年實施SolvencyⅡ對資本也將有更嚴格要求，因此壽險公司如何增資成為重要議題。壽險公司增加自有資本的方式除普通股現金增資和盈餘轉增資之外，2008年金管會增列具資本性質之債券可計入自有資本，提供業者多元融資管道。本研究提供壽險公司除上述增資方式以外之選擇，即透過限額再保險以強化財務結構。壽險公司將風險移轉再保險人後，就分出業務之責任準備金金額於再保險資產項提列分出責任準備，在負債不變情形下增加自有資本也提升RBC。此外，初期盈餘佣金收入也可同時提升自有資本。因此，限額再保險的安排與規劃，對於提升壽險公司RBC有相當程度的影響。限額再保險交易的優點手續簡便，只需要分保人與再保險人議約，並經監理官核准即成立，對於改善公司財務及強化資本結構立即見效。然而其缺點是淪為粉飾財報工具誤導投資人及保戶。為避免限額再保險交易衍生弊端，監理機關訂立保險業辦理再保險分出分入及其他危險分散機制管理辦法涉及「交易規範」、 「公司治理」及「資訊揭露」。本研究證實限額再保險確實能提升分保人隱含報酬率，並降低其增資壓力，但應加強其資訊揭露，讓外部人瞭解公司財務之真實狀況。

行政院會於民國八十八年十二月十六日通過保險法修正草案，修正草案中針對強化保險業之監理機制與增進保戶大眾之權益係以強化其資本適足性為其修法目標，所採之方法即建立風險基礎資本額制（Risk-based Capital, RBC）。而保險法修正案於民國九十年六月二十六日業已經立法院三讀通過，基於保險法相關條文規定，RBC制度將於民國九十二年中實施。 另一方面，美國經濟、社會及投資環境和台灣不盡相同，若將此制度直接或稍加修改即套用於台灣，將可能造成不切實際與誤導的作用，其結果不僅可能無法有效規範及避免保險公司失卻清償能力，亦可能因而造成龐大的社會成本，反而和當初建立RBC制度之原意背道而馳。因此，本論文即依循台灣產險業之產業特性制訂一套合宜之產險RBC制度，其中包括各個適當之風險項目及所屬之風險係數。 本論文在資產風險部分結合風險值（Value at risk, VaR）來計算資產之風險係數；在準備金風險以及自留保費收入風險則依照美國RBC制度之原始公式重新計算得來，惟準備金風險部分實因資料取得限制無法順利求出，為求模型完整性此部分本論文以財政部草案取代之；而於自留保費收入風險方面是採險種別及公司別。 研究結果發現：台灣產險的風險係數確實和美國產險的風險係數是有相當的差異，並且須根據台灣產業的經驗及配合我國的社會、經濟、投資環境並經由實際的運算才能得到適切的風險係數；而以論文所建立之RBC模型試算於各公司之風險基礎資本比則多有偏低之情形。 / Legislative Yuan has pass the draft of Insurance Law on June 26, 2001. In order to strengthen insurance regulation mechanism and to protect the insureds' benefit, the Risk-based Capital will be implemented in Taiwan Insurance market in 2003. On the other way, the economic environment and investment markets in United State are different from those in Taiwan. If we directly imitate their RBC system in Taiwan, the outcome would be impractical. It not only can't regulate the insurers effectively, but also may cause huge social cost. Therefore, the purpose of the thesis is to establish a suitable risk items and suitable risk factors for Property-Liability insurance in Taiwan by our own empirical data. This study finds that risk factors are significant different between Taiwan and American for Property-Liability insurance industry. The risk factors of the RBC system in Taiwan must depend on our own empirical data. I used the RBC model built in the thesis to test every Property-Liability company in Taiwan, and found that calculated Risk-based Capital ratios were relatively low.

第一章在說明研究之動機及限制。第二章：說明目前我國汽車製造廠商之資本額，設 備使用情況和汽車及零配件的進出口情況。第三章分五節說明台灣區汽車工業之關稅 及非關稅保護情況，並討論合理的自製率。第四章，分三節，討論台灣汽車工業保護 效果不佳之原因及其經濟影響，並說明台灣汽車工業的重要性。第六章：在討論台灣 最適當的汽車製造廠商的數目，以及是否有必要成立大汽車廠，及大汽車廠成立後是 否能帶動其他廠商的合並或造成君子協定瓜分市場等情況，第七章：如何使台灣汽車 工業成為出口產業，則必先合並國內小廠商，並簡化車型使能大規模生產，及降低成 本。

行政院會於民國八十八年十二月十六日通過保險法修正草案，修正草案中針對強化之監理機制與增進保戶大眾之權益係以強化其資本適足性為其修法目標，所採之方法即建立風險基礎資本額制（Risk-based Capital, RBC）。而保險法修正案於民國九十年六月二十六日業已經立法院三讀通過，然RBC制度將於民國九十二年中實施。台灣保險監理機關的確有必要對於壽險公司之投資效率及經營上的安全作一考量，所以便引入美國監理關協會（National Association of Insurance Commissioners, NAIC）早於1993年便推動的風險基礎資本額制。 　　本文檢視美國壽險業者在風險基礎資本額制實施後，其資本結構與資產風險是否產生顯著之變化，研究保險公司之冒險行為之增減，以作為台灣監理機關未來施行RBC制度的參考。然基於此，本文利用三階段最小平方法來分析壽險業者其風險、資本與風險基礎資本制度的關係，實證結果發現RBC ratio較高的業者在風險基礎資本額制實施後，雖然增加風險但也同時調高資本比率，另一方面，RBC ratio較低之保險公司不僅僅增加公司整體風險外，也降低資本比率。 / The risk-based capital requirements developed by the National Association of Insurance Commissioners (NAIC) were intended to raise the safety net for insurers and provide regulators with the authority to intervene when capital falls below a minimum standard of capital adequacy that is related to risk. The paper examines the simultaneous impact of RBC had on life insurer’s both capital and risk. We employed a three stage least squares (3SLS) model to analyze the relationship between life insurer’s capital, risk and the risk-based capital requirements. The results suggest that life insurers with lower RBC ratio would not only increase their capital ratio but also increase their company-wide risk. Besides, the life insurers with higher RBC ratio would reduce the capital ratio and increase the risk.

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.

本文主要探討產物保險公司如何以自身的風險管理及內部的流程控制來達到有效的控管和預測，進而創造更高的業主權益報酬率，確保被保險人的權益，以維繫公司的永續經營發展為研究的目的。 身為風險管理工具之一的保險公司，必須瞭解自身於經營上面對的風險所在。首先論述如何建立保險公司風險管理程序，並從風險中深入分析，得知不適當的定價是造成保險公司喪失清償能力最主要的原因，建立完善的核保風險機制據以發展保險公司本身的核心價值，特以火險為例詳細說明其建制的過程與細節。 除介紹如何利用核保財務分析模型（Underwriting Financial Model）來解決適當訂價的問題，並配合運用風險資本額的公式求出各險種之風險資本額、各險種之業主權益分配額、各險種之可運用資金、各險種之自留綜合率、各險種業主權益報酬率、以預測來年之營運績效，另外尚討論信用風險與風險累積的控制，運用創新的觀念及技術來管理公司的業務量。 最後建議保險公司應設立風險管理專責單位，對於風險管理的流程與運作提早規劃準備，保險公司應有意願提昇風險管理的專業能力並嚴格自律及確實執行，俾強化公司自身風險觀念瞭解到公司真正有此需求。 關鍵字：風險管理、業主權益報酬、風險資本額、核保、產物保險經營 / The main theme of this research is to explore the issues related to the ways of risk management and internal operation control for insurance companies. The insurance companies could be efficiently controlled and projected to create higher return on equity, to guarantee the insured’s benefit, and to maintain the company’s long-term operation by implementing risk management process. Insurance companies, as one of the tools for risk management, are required to realize their own risks in operation. Firstly they must explore how to build up a process of risk management and to recognize that inadequate price is one of the main reasons to cause insurance company’s insolvency. Secondly they should explore how to build up an adequate underwriting risk mechanism to develop the core value of insurance companies, and to illustrate its process and detail of the building-up with Fire insurance business. Insurance companies are also required to know how to solve inadequate price by using Underwriting Financial Model, and how to calculate Risk Base Capital, Capital Allocation, Asset Allocation, Combined Ratio, Return on Equity for each line of business to predict business results for the coming year. This paper also discusses the importance of credit risk and risk accumulation in order that insurance companies can manage their own business by using innovating concept and technique. Finally Insurance companies are recommended to set up a risk management unit that should plan and prepare for the process of risk management. They ought to show their high wiliness to increase the capability of risk management, and to exercise high discipline and put into work in order to enhance the concept and need of risk management. Key Words： Risk Management, Return on Equity, Risk Base Capital, Underwriting, Insurance Operation.

我國監理機關為強化保險公司之財務能力，有效監管保險公司之風險狀況，特於2003年7月9日，正式引進美國風險基礎資本額制度(Risk-Based Capital, RBC)，作為監理保險公司清償能力之工具。RBC制度除了改善單一資本額規定的缺失外，亦反映了保險公司之經營風險，對於保險公司面臨風險所需資本有較妥適的規範。讓監理機關得以藉此工具發現體質較弱之保險公司，進而採取適當之行動。 本文檢視我國壽險公司在RBC制度前後，資本與風險間之關係。探討RBC制度實施後，對於我國壽險公司之資本比例、資產風險以及產品風險是否確實造成改變，能使壽險公司之資本提列與公司風險大小有一正向搭配，在保險公司面臨越高的風險狀態時，願意提列更多資本做為緩衝，以保障公司安全。藉此分析觀察RBC是否達到預期之功能，以作為我國監理機關實行RBC制度之參考。 本文使用聯立方程式部分調整模型，以二階段最小平方法進行檢測。實證結果發現，在RBC制度實施後，壽險公司之資本比例對資產風險以及產品風險具有顯著負向關係，顯示資本比例低者所承擔之風險較高，而資本比例高者風險較低。此外，公司規模以及公司型態對於壽險公司之資本與風險具有顯著影響力，外商壽險公司之資產風險較本土壽險公司為低。 / Risk-based capital (RBC) has been implemented as an important regulatory tool for the insurance industry in Taiwan since year 2003, which is used to strengthen the financial capability and to predict the probability of insolvency. It not only improves the shortcomings of single capitalization index but also reflects the business risks. Moreover, it lets the regulator be able to apply this tool to discover the insurance companies with weak financial management and take the suitable actions. This paper explores the changes on the capital ratio, asset risk and product risk in life insurance industry in Taiwan before and after the RBC regulation and verifies if the implementation of RBC had a positive effect on the relationship between capital and risks. To examine this issue, this study uses a simultaneous-equation partial-adjustment model with two-stage least squares method. The results suggest that the life insurers with lower capital ratio take higher asset risk and product risk, while life insurers with higher capital ratio take lower asset risk and product risk. For life insurers, company size and type also have an important impact on their capital and risks. The empirical finding shows that there is lower asset risk in the international insurers than domestic insurers.