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.

確保保險公司的清償能力一直是保險監理的重心。在所有施行的保險清償監理工具中，風險基礎資本（Risk-Based Capital, RBC）是目前為止最先進的代表。然銀行監理機關已經推薦涉險值（Value at Risk, VaR）系統為資本適足要求的工具，因此涉險值有很大的潛力成為下一代的保險資本適足要求工具，雖然尚未施行。由於保險監理的重要性以及RBC和VaR在其中扮演重要的角色，兩者相對上的精確性是我們所感興趣的。 本篇論文的目的是實際去比較RBC及VaR在破產預測上的相對精確性。我們以美國1995到1998年產險公司的實際清償記錄，用型1及型2錯誤檢視RBC及VaR的破產預測能力。RBC的數據直接從產險公司報給NAIC的年報上就可取得，而VaR的數據來自於我們所建立的現金流量模擬模型。既然RBC的數據是實際的數據，而VaR的估計值也是基於公司實際的財務數據而來，我們能以實例展現VaR相較於RBC的財務預警能力。 我們的結果顯示RBC沒有任何財務預警能力，換句話說，沒有一個破產公司的RBC值小於0.7（監理機關可以根據這個值關掉公司）。另一方面，VaR有較好的財務預警能力，但是它同時也會使許多財務健全的公司必須接受許多沒有必要的檢查。我們VaR模型的整體正確分類能力只比隨意分類稍微好一些。 雖然結果並不如原先預期的好，我們仍然對VaR成為保險監理工具抱持樂觀的態度，因為它是目前為止最嚴密也最先進的風險管理工具。我們認為這些結果可以藉由修正不適當的假設後獲得改善，未來研究可以先朝這個方向努力。 / Assuring insurance company solvency has always been the focal point of insurance regulation. Among the employed solvency regulation methods, RBC represents the currently state-of-the-art capital adequacy requirement. Bank regulators already advocated the use of VaR systems in capital adequacy requirements. Value at risk thus has great potential to be the next-generation capital adequacy regulation, although not implemented yet. Because of the importance of solvency regulation as well as the key role played in that regulation by RBC and VaR, the relative accuracy of RBC and VaR is of great interest. The purpose of this research is to empirically compare the relative effectiveness of RBC and VaR in predicting insolvency. Through the solvency record of property-casualty insurers in the United States from 1995 to 1998, we examine the Type I and Type II error of VaR and RBC in predicting insolvency. The RBC figures are readily available from the annual statement since 1994 and the VaR values come from a simulation model that we build up. Since the RBC figures are the “real” numbers and the VaR estimates also base on the companies’ real financial positions, our research will demonstrate how VaR is compared to RBC in early warning for real cases. Our result shows that RBC doesn’t have any prediction power. In other words, none of the bankrupt insurers has a RBC ratio lesser than 0.7, the threshold according to which the regulator can seize the company. On the other hand, VaR has good early warning ability, but also leads the regulator to take too much unnecessary actions on solvent companies. The overall ability of correct classification of our model is just a little stronger than arbitrary classification. Although our results are not as good as we expect, we are still optimistic about the use of VaR, the currently most comprehensive and advanced approach of risk management, as an insurance solvency regulation tool. We attribute the unsatisfactory outcome to some assumptions that may be inappropriate. Further researches can move toward this aspect.

台灣位處環太平洋地震帶，為全球地震風險潛勢較高的地區之一；因台灣高科技產業蓬勃發展，地震保險需求殷切，再加上開放保險費率自由化的政策及金控效應，趨使保險業間競爭白熱化，惡性價格競爭及保險經紀人的推波助瀾，保險公司的清償能力面臨重大考驗。 台灣在保險監理方面如同日本、美國採行風險基礎資本額（RBC）制度，惟國際間位處高度地震風險潛勢之國家大都另建立一套地震保險監理機制，以確保保險公司的巨災準備金足以支付回歸期地震所造成的損失，其中以美國加州及加拿大政府均採用地震保險PML申報制度作為地震保險監理之依據最值得台灣學習。 地震保險PML評估可採用CRESTA Zone平均損失幅度表計算或採用認許的地震風險評估電腦軟體推估獲得，實施的關鍵為主管機關應建立具有公信力的CRESTA Zone平均損失幅度表。本文特就二種評估方式的利弊做深入的比較分析，並藉由地震風險評估軟體的架構說明影響地震保險PML的因素與權重，作為保險公司落實地震風險管理之依據。 本研究參考Solvency II的三大支柱提出建立地震保險監理機制之結論與建議如下： 1.鼓勵建立保險公司的地震風險管理機制。 2.公佈CRESTA Zone平均損失幅度表，作為保險公司地震保險PML申報依據，以落實產物保險業之地震保險監理機制。 3.依據保險公司申報資料，提供保險主管機關實施差異化管理之依據。 4.主動揭露經營績效、強化保險市場紀律，建立公平合理的經營環境。 期待藉由建立適當的地震保險監理機制，減輕或消弭產物保險市場面臨自由化的惡性價格競爭與保險經營面的不合理現象，進而達到健全保險經營環境、促進保險業長期穩定發展，並確保社會大眾之保險權益的目標。 關鍵詞：地震保險監理機制、地震保險PML、巨災準備金、風險基礎資本額、地震風險評估軟體 / Located at the Pacific Rim earthquake zone, Taiwan has been recognized as one of the severe seismic hazard areas in the world. With the bloom of high tech industry in the past two decades, the demand of earthquake insurance has been considerably increasing. However, along with the liberalization of insurance market, the new business model of financial holdings and the expanding influence from international brokers, insurance companies’ solvency capacity has been significantly challenged. Taiwanese Government, same as Japan and U.S., adopts Risk-Based Capital (RBC) method in insurance supervision, while most countries with high earthquake potential have set up independent earthquake insurance supervision systems to ensure insurers’ earthquake reserves capable to compensate the huge earthquake losses. Among all the measures, the PML reporting system adopted by Canada and the State of California to regulate and trace insurance companies’ financial statuses could be an adequate paradigm for Taiwan. The PML estimation could be obtained either using computer models or following default mean damage ratio table. This research compares the strength and weakness between these two methods, and presents the importance of parameters and key points in earthquake insurance management. Based on the three pillars of Solvency II, the conclusions and recommendations of this paper are: (1)Encourage insurance companies to build up the earthquake risk management mechanism; (2)Establish the official default mean damage ratio table for PML reporting system; (3)Adopt differential supervision practice to different level insurance companies; (4)Promote the self-disclosure of key business information and enhance market discipline. Establishing a sound earthquake insurance supervision system would not only ease the immoderate low-price competition but the whole insurance environment could also be stabilized and improved. It will ultimately achieve the objective to insure society liability and benefit the public as well. Keywords: Earthquake Insurance, Earthquake Model, Catastrophic Risk Management, Insurance Supervision, Risk-Based Capital, CRESTA Zone, PML

保險公司清償能力一直是保險監理的重心，在所有現行的制度中風險基礎資本是最重要的，但此項制度仍有其缺點，因此其他動態分析模型被許多學者所提出，如涉險值及情境分析。雖然這些動態分析模型被學者所偏好，但監理機關仍須對這些模型的精確程度加以了解，這也是本篇論文所要研究的目的。 基於此，本篇論文以模擬方式及經濟模型加以分析風險基礎資本、情境分析及涉險值等方法的破產預測的相對精確性。其中風險基礎資本完全採用現有NAIC的年報資料，情境分析及涉險值則採用我們所建立的模型，基於此也可以確認現有監理制度是否有缺失。 我們的結果發現風險基礎資本的預測能力很低，動態模型-情境分析及涉險值皆優於風險基礎資本，且在不同動態模型中涉險值的預測能力較好。因此可知被學者所偏好的動態分析模型應是未來保險監理的方向希望藉由本篇提供監理機關一個參考的依據。 / Solvency prediction of insurers has been the focus of insurance regulation. Among the solvency regulation systems, risked-based capital (RBC) is the most important but RBC still has some drawbacks. Thus, the dynamic financial analyses-scenario analysis and Value at Risk have been developed to be the regulation tool. Although, the scholars prefer the dynamic financial analysis, the regulators still want to make sure the accuracy of dynamic financial analysis. That is the purpose of our paper. Therefore, we use the simulation result and the econometric model to analyze the relative effectiveness of RBC, scenario and Value at Risk (VaR). The RBC is from the annual statement and the scenario and VaR come from our simulation model. Our result shows that the RBC has very low explanatory power, the dynamic financial analysis is better than RBC, and VaR outperform scenario analysis. Thus, we conclude that VaR is the way to go for property-casualty insurance regulators.