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.

我國保險業監管制度之實施，以2003年7月之RBC制度影響最為重大，因此本研究希望檢驗RBC制度對於壽險公司之經營策略，是否有顯著之改變，而保險公司之經營策略中，又以資產配置與產品組成為最重要的議題，兩者將影響資產風險與產品風險。因此本研究將重點聚焦於壽險公司之資產風險與產品風險於RBC制度實施前後之變化，藉以探討是否RBC制度實施後，保險公司對於經營中涉入風險之行為，保有更穩健之思維，而不違反RBC制度實施立意之良好。 本研究整理我國25間壽險公司之財、業務之資料為分析基礎，並以簡單複迴歸之研究方法為實證分析。實證結果中，壽險公司於RBC制度實施後有風險抵換之情形，但無論資產風險及產品風險都與前期資本比例為負向關係。另外，小型公司中資本比例越低者，有增加投資於高風險資產的比例；並且小型公司中，前一期經營結果越差，銷售越高風險產品的比例將會上升。 / One of the most important supervision system in insurance industry is the implementation of Risk-Based Capital system in 2003 in Taiwan. In this study, we examine whether the business strategy of life insurance companies changes significantly because of the implementation of RBC system. In insurance’s business strategy, asset allocation and product composition are the main issues and both will influence asset risk and product risk. Hence, we focus on the changes in asset risk and product risk to find that whether life insurance companies have more stable operating concepts after the implementation of RBC system. We use multiple regression model to analyze the relationship between asset risk, product risk and capital ratio of the life insurance companies. The results suggest that there are a negative relationship between asset risk, product risk and capital ratio after the implementation of RBC. Besides, the small size companies which have low capital ratio will tend to increase the proportion of risky assets in their investment. And small size companies which have worse operating outcomes in the previous year will increase the proportion of high-risk products they sell in current year.

截至2016年的統計資料，我國產險與壽險業的保險公司家數來到54家，保險業資產總額佔了全台灣所有金融機構總資產的31.78%，資產規模來到新台幣22.6兆元，在如此龐大的資產規模下，保險公司的投資組合管理變成相當的重要，重點漸漸的從投資在什麼樣的商品可以讓資金獲取最大效益轉移到了投資後的管理與部位的調整，以避免不必要的非系統性風險，有鑑於此，台灣在2003年實施了RBC制度，讓保險公司的投資組合的分配有所依據，不過仍然免不了過度集中在某些資產的問題，所以本研究的目的在於能否運用風險集中度的概念來判斷投資組合是否過度集中，而不僅僅只有投資金額的比例來做判斷。 本論文的研究方法會根據各家保險公司的實際投資組合以每半年或每年的型式分別計算Marginal Risk Contribution(MRC)的値，並且進行分析後再以Herfindahl-Hirschman Index(HHI)與 Gini Index 來檢視長期資產組合集中度的趨勢，最後的研究結果可以發現若是從邊際風險貢獻的比例來看，各保險公司的風險分布主要是集中在國內上市普通股與ETF、海內外不動產投資、國外已開發國家或新興市場上市普通股與ETF以及A評等的國外固定收益債券，而利用HHI與Gini Index兩個指標來看，各保險公司的資產集中度是逐年上升的。 / According to the statistical data in 2016, there are 54 insurance companies which includes property and casualty insurance company and life insurance company. And the scale of insurance asset is NTD 2,260 billion, accounting for 31.78% of whole asset of financial institution in Taiwan. Under huge amount of asset, the portfolio management for insurance company become more and more important. The key points of this issue are transferring to the ratio of portfolio management from choosing asset class to get maximum profit in order to avoid the nonsystematic risk gradually. Therefore, the Risk-based Capital policy has established in 2003 in Taiwan. The ratio of the insurance companies’ portfolio had the reference to allocate. However, there were some issues about the excessive concentration of some asset classes. So, the target of this study is using the concept of the risk concentration to judge the portfolio too concentrated or not. Not just judge it by its amount invested. The research process of this thesis is to calculate the marginal risk contribution value of the insurance companies’ portfolio every half a year or every year. Moreover, using the Herfindahl-Hirschman Index (HHI) & Gini Index to observe the trend of long term portfolio concentration. From the marginal risk contribution ratio. We can found the result of this study is the risk concentrated on the domestic listed common stock & ETF, domestic or foreign Real Estate, foreign developed market or emerging market listed common stock & ETF and fixed income bond (A rating). Besides, using the Herfindahl – Hirschman index and Gini index. The concentrated ratio of insurance companies’ portfolio were raising recent years.