published_or_final_version / Statistics and Actuarial Science / Master / Master of Philosophy

published_or_final_version / Mathematics / Master / Master of Philosophy

本論文主要是針對在產物財務（限額）再保險之內容、監理和定價做探討。由於財務再保險不同於傳統再保險只承保核保風險，更延伸至信用風險、匯率風險與政治風險等非純粹風險，我們首先以財務再保險所保障之時段對產物財務再保險做分類，並說明其內容與功能；其次，因為財務再保險之監理關係著合約之交易成本，我們討論財務再保險的法律課題。最後，以往再保險之定價主要參考”主要再保險公司”之定價，但財務再保險合約性質非常”顧客化”，幾乎無其他再保險公司做為定價參考，所以本文藉模擬分析以提供公平且合理之財務再保險定價模式。 在本文中所假設合約，雖然只是眾多合約型態之兩種而已，但涵括之概念有考量財務（限額）再保險保之限額特性和利潤分享計劃，以及核保風險、理賠時間風險和投資風險，以提供未來財務再保險合約之定價參考。 This article concentrates on the contents of the exhibition, regulation and pricing of the financial or finite risk reinsurance in property-casualty insurances. Much different to traditional reinsurance, financial reinsurance provides more risk protections on payment timing risk, investment risk, credit risk, exchange rate risk, and even political risk. Moreover, financial reinsurance obviously offers primary insurers to expand their underwriting capacity, indirectly diversifies the risks of the primary insurers to the capital market and even immediately protects the policyholders from insolvency risk resulted from the primary insurer's bankruptcy. In this thesis, we first classify the financial or finite risk reinsurance in the property-casualty insurance by the covered periods and meanwhile display their contrastive functions and advantages. Second, we discuss the regulation issue of financial reinsurance, because the financial reinsurance is highly regulated. Third, we employ simulation to improve the methodology of pricing financial reinsurance. The two supposed contracts on this study, however, do not conclude all the characteristics of the financial or finite risk reinsurances. To the point, we take the limited cover, profit sharing, underwriting risk, payment timing risk and investment risk into account. Meanwhile, we demonstrate the application of simulation in pricing financial reinsurance.

汽車保險基於本身商品及其業務特質，須藉由再保險來分散承保危險的需求不高。目前須安排再保險的理由與汽車保險經營所遭遇的困難，及其再保險所欲達到的目的存有顯著的差異。本文主要探討汽車保險運用財務再保險此項理財工具以化解其所遭遇到的難題。 財務再保險，緣因於八十年代美國保險市場自然災害頻傳，損失幅度巨大，保險公司、再保險人蒙受巨額虧損，致使傳統之再保險市場緊縮，再保險人承保利益大為縮減，或發生虧損，保險公司難獲再保險之保護，於是財務再保險應運而生。運用財務再保險，保險公司對於承保之業務雖然不能獲得分散危險之保護，但財務報表之缺失卻可獲得改善。 以業務特性、公司經營政策及再保市場三方面分析，發現汽車保險比其他產物保險適合以財務再保險作為理財工具，加上汽車保險的業務量大，對於公司資金運用的經濟效益反具有較高的作用。在對於財務再保合約條款分析及條件例示後，發現財務再保險在運用於汽車保險時，會將直接及間接影響保險公司的營運。 分別就保險公司及監理機關雙方的觀點分析，汽車險採用財務再保險的優、缺點。繼而探討如何防範使用財務再保險所帶來的缺失。最後發現汽車保險在運用財務再保險時，須事先評估公司汽車險的經營狀況，並應正確瞭解財務再保險此項工具的功能及其運用之影響，能未雨綢繆，預為做好防範措施，才能達成其追求公司利潤最大化及永續經營的目標。

財務再保險係屬於新興的風險移轉方式之一，除了可以移轉傳統再保險之核保風險外，更可以將保險公司有很多無法以傳統再保險獲得分散的風險，如時間風險、投資風險等財務風險移轉出去。財務再保險可以增加保險公司的盈餘及提升經理人的績效，同時能減少潛在的危險暴露，避免準備金提存不足的問題，並且可以增加保險公司的承保能量，資助新契約的成長，兼具風險管理與財務規劃的新興工具。 相對的，財務再保險的實施，也延伸出相關的問題，如財務再保險係為融資借貸關係，而非實質危險轉移；因為準備金提存不足，無法支付未來重大的損失；為了掩飾盈虧，而誤導投資大眾。HIH與AIG集團涉及以財務再保險契約粉飾財務報表的行為，顯示財務再保險契約所造成的監理漏洞，另一方面，保險公司若不注重其企業本身營運的風險管理，而是以財務再保險契約尋求穩定公司收益的財務揭露，對於保險公司的長期經營並不是一件好事，同時對於投資人、監理機關的管理亦影響甚鉅。 除了監理機關對於財務再保險應加以規範外，保險公司內部之內部控制與內部稽核在企業中亦扮演重要角色。本研究就HIH與AIG集團兩個案之財務再保險問題，收集截至2005年HIH相關人員被澳洲保險監理機關起訴之起訴理由，與AIG被美國監理機關起訴人員的相關資料，分析這些被起訴原因之內部控制缺失，強調財務再保險內部控制與內部稽核的重要性，最後，針對保險公司實施財務再保險提出建議，同時對保險監理機關監管財務再保險也提出建議，希望對國內保險業者實施財務再保險有所助益，同時，也作為保險監理機關監管財務再保險的參考。 / Financial reinsurance is one of the alternative risk transfer arrangements. Unlike the traditional reinsurance arrangement where only the underwriting risk is transferred, other risks such as time risk and investment risk may also be transferred through such arrangement. Financial reinsurance increases an insurance company’s earning and the managers’ performance, and hence decreases the exposures of reserve inadequacy. Additionally, it is also a new tool for risk management and financial planning for its positive impact on new business growth through the enhancement on the company’s underwriting capability. On the other side, the use of financial reinsurance also leads to some problems. Specifically, when it is structured as a financial lease without any physical transfer of risks and used to window-dress poor financial performance in order to mislead the investors. Two international insurance companies, namely HIH (Health International Holdings) and AIG (American International Group), have tried to use the financial reinsurance arrangements to window-dress their financial statements in order to deceive the regulators. From a long term perspective, financial reinsurance arrangements used for stabilizing the financial results instead of enhancing risk management would certainly be detrimental to investors and insurance regulators. Besides the regulators who need to set up the regulations on financial reinsurance, the internal controls and internal auditing functions within insurance company also play an important role in terms of supervision. This thesis focused on two real life cases related to HIH and AIG by studying their problems with financial reinsurance and colleting the people being prosecuted by Australia regulator (APRA) and SEC as of the end of 2005, the internal control weaknesses caused by them and finally emphasizing the important of internal controls and internal audit function. Lastly, after studies these two cases, recommendations are made to insurance companies and local regulator on how to manage the use of financial reinsurance. Hopefully these suggestions would be helpful to them.

在保險業的經營體系中，傳統再保險所扮演的角色，一直是著重於分散保險公司的核保風險為最主要目的。然而隨者經濟市場與金融環境的變遷日益迅速，財務風險之分散與公司財務結構之改善，亦成為保險經營者所必須面臨之重要課題。而財務再保險於其中所可以產生之效益，則是除了可以滿足保險公司對於分散核保風險的原始需求外，另外亦可以做為其規劃財務結構的工具之一。 本篇論文探討之重點，除了介紹財務再保險的基本理論架構，和當今發展之趨勢外，如何運用財務再保險作為保險公司之風險管理與財務規劃，亦是本篇所要闡釋之主題，其中並以監理之角度，探討財務再保險所可能產生之弊端以及建議採取之因應措施，最後則以當今台灣保險市場的經營環境，分析壽險業對財務再保險合約的需求性。 略

財務再保險在再保險市場中是一個新的名詞，國內保險業都不甚瞭解；但在國外，財務再保險的市場卻有增加的趨勢。本文以研究「人壽保險公司」為對象，首先對「財務再保險」加以定義，並介紹其種類、功能等。接著探討財務再保險與其它金融商品的比較；同時，我們將以本國人壽保險公司為樣本，分析其財務報表，找出較需要資本的公司來做模擬，探討其實施財務再保險後財務報表變化的情形。最後，總結全文，提出結論，並對本文所得結果做出一些建議，以作為我國實施財務再保險之參考。 第一章 緒論 1 第一節 研究動機與目的 1 第二節 研究限制與研究架構 2 第二章 財務再保險之介紹 5 第一節 發展背景 5 第二節 財務再保險的意義 9 第三節 財務再保險的種類 11 第四節 財務再保險的功能 25 第五節 相關問題探討 31 第三章 財務再保險與其它金融工具之比較 38 第一節 與傳統再保險之比較 38 第二節 與其它融資策略之比較 41 第三節 與衍生性金融商品之比較 50 第四章 財務再保險模擬在我國壽險公司之結果 55 第一節 壽險資本適足性之理論基礎 55 第二節 財務再保險之假設 60 第三節 模擬財務再保險之結果 62 第四節 小結 65 第五章 結論與建議 69 第一節 結論 69 第二節 建議 71 第三節 後續研究的建議 72 附 錄(一) YRT財務再保險與傳統再保險之比較 75 附 錄(二) 共同保險與修正制共同保險財務再保後之結果 78 附 錄(三) 發行公司債之作業流程 88 附 錄(四) 公開發行與申請上市 91 附 錄(五) 依保險法規定應增加資本額度試算表 93 附 錄(六) 台灣壽險業風險基礎資本比試算表 95 附 錄(七) 財務再保險可釋放之盈餘 96 附 錄(八) 依我國監理制度財務再保險後之變化表 98 附 錄(九) 依美國RBC監理制度財務再保險後之變化表 99 附 錄(十) 財務再保險合約範例 102 參考文獻 115 / Financial reinsurance is an innovative alternative to so-called traditional forms of reinsurance, and its recent popularity has led to a significant rise in premiums devoted to this category. It is a practical risk management tool, especially useful when the motivations of the reinsured insurance company are centered not only on cost effectively managing underwriting risk but also on explicitly recognizing and addressing other financially oriented risks such as credit, investment and timing risks. We would like to perform a study on the innovative alternative and to try to apply it to life insurance company in Taiwan. Reinsurance is a versatile tool for financial planning. Financial reinsurance is an innovative one in the categories of reinsurance. Unlike the traditional form of reinsurance, financial reinsurance is structured to provide the desired financial objective while the risk transfer element is very carefully controlled. The transaction is not to make a loan from a reinsurer, but it provides a useful tool to improve the ceding company's current statutory earnings and surplus position. Recently, some of new domestic life insurers are facing surplus strains. Most of them have to raise capitals over billions of NT dollars to meet the required regulations setup by MOF. Instead of raising capital, financial reinsurance is demonstrated later in this paper to accomplish the "surplus relief" objective. In this hypothetical example, we conclude that the other things being equal, the more policy reserves a company bears, the greater performance a financial reinsurance achieves. The insurance industry has limited capital and must use it efficiently in order to provide adequately for the insurance needs of the public. Financial reinsurance is maturing in the developed countries. We believe that the accounting treatment prescribed by the authorities is reasonably developed and consistently applied, the attractiveness of financial reinsurance products is in sight.