近年來台灣的市場利率持續下滑，可能造成保險公司無法實現對被保險人之高預定利率的保單給付承諾，利率風險已經成為壽險公司是否能繼續經營之重要關鍵。壽險公司如未能衡量利率變動風險而貿然推出保單，將對財務造成極大的負擔，不但會影響公司清償能力，亦會對社會造成衝擊，因此壽險公司應先衡量現在及未來將面臨多大的利率風險，做適當資產負債管理，以避免將來失卻清償能力。 　　本研究利用財務上平均存續期間（duration）觀念與Barney（1997）所提出之K值來衡量利率風險，以民國87-89年財務報表資料，實證研究利率風險會對那些經營指標產生影響，以喚起業界對於利率風險之重視。研究結果發現： 　　1.利率風險對於壽險公司之投資報酬率、股東權益報酬率有顯著的影響，並且呈負相關。 　　2.利率風險對於壽險公司之流動比率無顯著相關；與負債比率有顯著之正相關。 　　3.利率風險對於新契約保費成長率、保單繼續率無顯著影響，顯示國內並無明顯之逆中介情況。 　　4.壽險公司可藉由投資較長期之公債、公司債及減少保單貸款、不動產投資與固定資產項目之利率敏感度，以增加壽險公司之獲利性。 / The interest rates have been decreasing recently. Under this circumstance, it might be difficult for insurance companies to gain sufficient investment returns to fulfill the commitment of insurance policies. The interest-rate risk has become one of the critical factors for the solvency of life insurance companies. Therefore, life insurance companies should evaluate the impact of interest-rate risk and perform asset-liability management to prevent insolvency. 　　This study applies the concept of duration and K value (Barney 1997) to measure interest-rate risk and its impact on the operations of life insurance companies in Taiwan. The empirical analysis is conducted based on the financial data of life insurance companies in Taiwan during the period of 1998-2000. The empirical findings are listed as follows: 　　1.Interest-rate risk has a significantly negative impact on both investment return and ROE.. 　　2.Interest-rate risk does not have significant impact on current ratio of the life insurance companies, but it is positively related to debt ratio. 　　3.Interest-rate risk does not have significant impact on either new contract growth rate or policy renewal rate, which indicates that the process of disintermediation does not happen in life insurance industry in Taiwan. 　　4.By investing in the long-term government bonds and corporate bonds and reducing the interest-rate sensitivity of policy loans、investment on real estates and fixed assets , life insurance companies may be able to increase their profits.

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.

金融機構之降息政策與全球經濟環境之不確定性，大幅增加人壽保險人之經營風險，以鄰國日本人壽保險為例，自1996年日產生命發生財務危機開始，已有5家保險公司宣佈倒閉或破產，6家進行合併，其餘14家也面臨嚴重之財務壓力，為避免系統風險造成台灣人壽保險產業之破產危機，如何創新保險商品及研擬風險管理成為重要之議題。 　　人壽保險公司之負債資產比極高，因此公司之財務健全與投保人之權益息息相關，利率變動將顯著影響公司獲利能力，因此利率風險管理實為當務之急。投資型商品之開發為人壽保險產業因應利率風險之新興策略，早期為人壽保險與共同基金結合，或與銀行定存結合，近來發展出與指數型金融商品連結之保本型人壽保險。因為商品之複雜度，評價將成為重要之課題，投資型保險基於被保險人參與財務風險程度之大小差異，風險管理與傳統型保險有所差別。 　　本研究首先探討目前人壽保險市場之現況，詳細定義投資型人壽保險，探討發展過程，並實際進行試算與評價分析，列舉說明精算之規範，資產負債管理、風險資本額制度下之定位及外匯等問題，以個案討論台灣及中國大陸市場之投資型商品，並提出現況之建議。 / Due to the monetary policy in the banking sector and the global economic uncertainty, the solvency issue for the life insurer becomes crucial. In Japan life insurance market, five insurers have declared their bankruptcy since 1996, six insurers had been merged, and the others have suffered serious financial press. Preventing the ruin crisis of life insurers and strengthen their financial abilities through innovation products and risk management techniques in Taiwan have become an important issue for the management. 　　Owing to the high leverage ratio in life insurer's capital structure, the reserve adequacy plays a vital role in shielding the policyholder's rights. Since the uncertainty of the interest rate affects the reserve and surplus of the insurer, asset-liability risk management becomes an important subject. Adding the investment-linked life insurance policies in the insurer's liability portfolio is an innovative strategy in managing the low interest risk. Combining with the mutual fund or the bank certificates in early stage has advanced to integrate with the equity indexed products. The investment-linked products vary from the traditional ones allowing the participation in the financial risks. Owing to the complexity of its design, the valuation becomes essential. 　　This study analyzes investment-linked life insurance policies and their historical evolutions. The financial valuation processes are illustrated explicitly. The regulations in the reserve valuation, the asset-liability management, the connection with risk-based capital (RBC) and the related hedging issues are also explored. Finally, the product designs and managerial issues in operating the investment-linked life insurance policies in Taiwan and Mainland China are discussed.

壽險業的產品特性與其他產業有相當大的差異，它提供給消費者長期的保障承諾。因此，良好的企業形象是消費者進行購買決策的重要關鍵因素。 本研究主要目的在於探討影響壽險公司企業形象的原因，本文將壽險公司財務及業務經營兩大構面的績效指標分類，並以現代保險金融雜誌的企業形象統計調查結果～『最值得推薦的人壽保險公司』排名，進行迴歸統計分析，實證企業形象與經營活動兩構面之關聯性，以了解各項指標對企業形象之影響力，並提出經營企業形象的建議。 實證結果發現，壽險業企業形象的好壞與公司的財務面與業務面的經營績效均有相當程度關聯性，而業務績效指標則對企業形象的影響較大。且公司型態若屬於金控子公司或外商公司，亦對企業形象有顯著影響力。消費者對企業形象評估的觀點，不僅從財務績效評價，更在意經營品質。因此，壽險公司的經營應更加注重本業營運活動及服務品質，才能提升壽險公司本身的企業形象。 / This study attempts to analyze the relationship between corporate image and business operation of life insurance companies in Taiwan. Based on the performance indicators in underwriting and financial aspects, this study conducts regression analysis to find the influential factors for corporate image of life insurers. The corporate image measurement is based on the survey of “The strongly recommended life insurance companies” made by the Risk Management, Insurance & Finance Magazine in years 2005-2010. This study finds that both of underwriting and financial operations have considerable impacts on the corporate image of life insurance companies. The results indicate that consumers evaluate the corporate image based on not only the financial performance but also the quality of underwriting management, such as services provided by the insurers. Besides, the company types (e.g., subsidiary of financial holding companies or foreign insurers) also significantly influence the corporate image. The findings of this study suggest that the life insurance companies in Taiwan should pay more attention to the underwriting activities and service quality in order to enhance their corporate image.

首先針對目前國內產物保險公司有關作業險管理尚未有完整之監理規範或管理實務，但是，因作業風險所導致之損失金額卻與日俱增，實為不可忽視之風險，故藉由探討產物保險公司建構作業風險管理機制，同時分析其中理論與實務之運作，盼能有助於國內產物保險公司在未來不論是主管機關的監理制度，或是與全世界風險管理趨勢的結合上，提供具有參考性之建議及方向作為研究的目的設定。 本研究透過文獻回顧及探討，對於國內外金融機構作業風險管理執行情況，可知作業風險管理與內部控制之關係應是互補的概念，不能單以內部控制取代作業風險控管，而唯有作業風險與內部控制相互充實，才能更能提昇作業風險管理之功能及能力。另對於產物保險相關之作業風險損失事件之收集彙整，瞭解作業風險損失可能產生重大的財務損失，或是影響公司之正常業務營運，由於作業風險與產險公司日常營運活動息息相關，且作業風險管理並非一全新之風險管理觀念，面對產險市場瞬息萬變，主管機關監理強度趨於嚴格，包括頒布保險業之風險管理實務守則，內容規範即可看出作業風險以結構化之管理，已成為潮流。如何透過管理流程，及輔以各項管理工具，與現行之內控、法令遵循等機制加以整合，將過去的被動轉換為主動的管理，不論是發生頻率低、損失幅度高的事件，或是發生頻率高、損失幅度低的事件，皆應平等重視。 個案研究則以作業風險管理之理論為基礎，逐一探討研究之標竿保險公司作業風險管理執行情形，可以得到下列四個結論：(一)落實風險管理之企業文化是關鍵成功因素、（二）作業風險管理專責單位或人員的建立應是有必要性、（三）建立完整之作業風險管理架構、（四）作業風險管理與內部控制制度是互補的、（五）無缺失不代表無風險。本研究最後提出以下建議：（一）師法目前Basel II銀行之作業風險管理經驗、（二）積極專業人才培訓是作業風險管理之成功要件、 (三)保險業者應儘速建立內、外部損失資料庫、(四)應設置隸屬董事會之風險管理委員會、(五)法令遵循自行評估之調整。以作為未來台灣產險業如何建制作業風險管理機制及有效控管作業風險之參考。 / Despite of the increasing exposure and loss due to operational risk to Taiwanese Non-Life insurance companies, an intergrated coorporate self-regulation or practical guidelines for operational risk management within financial institutions have not yet been developed. Therefore, through seriously study, discuss, and analyze the mechnisms on how to implement a thorough corporate operational risk management guidelines and a balanced operational point between theory and practice, I hope that this paper could give our local non-life financial institutes, regulators, and compliances some aspects on the regulatory governence development. Numerous articles and literature reviews on foreign and domestic businsses and financial institutions regarding operational risk management operations stated that interal control and operational risk management have substitutional effect. Therefore, only if both interal control and operational risk management simutaneously develop, will operational risk management’s functionality and ability be most effective. Massive information on opertaional risk loss event have been collected and compiled to study its impact to Non-life insurance companies, including the loss it may bring to the financial institution or the effect on daily business operation. Driven by legal changes and forever-changing business market, the local goverment have becoming tougher on regulatory governance, including promulgate the code of practice for operational risk management guildance, which we would see that structured operation risk management is the newfound trend. The intergration of current compliance, internal control and other mechanisms through management process in order for operational risk management corresponds to a much wider trend of “responsive” or “active”, not “passive” management is what we ought to act on. Also, we should treat low-frequency, high-magnitude events and high-frequency, how-magnitude events equally. This paper came up with five conclusions 1. implementing the enterprise culture of operational risk management is the key to success. 2. developing operational risk management response team is an ought to do 3. implementing thorough operational risk management structure 4. substitutional effect among operational risk management and internal control system 5. no merit does not mean no risk. At last, this conceptual paper gives some recommendations for future operational risk management development 1. take operational risk management experiences by Basel II as a model 2. cultivate ORM professionals actively is the key to success 3. develop internal and external risk loss database 4. The risk management committee should be subordinate to the board of director 5. adjustment of compliance’s interal accessment.

This paper addresses the impact of the federal estate tax on a family-run business as well as the optimal estate planning techniques that can be implemented to ease the estate tax burden.

隨著金融市場的整合、金融控股公司的成立，保險公司、銀行與證券機構等的經營不再只是各自為政，其經營變化皆會影響到整體的經營成敗。子公司的經營應不再只是注重經營績效，還應納入各項經營風險的考量，在報酬與風險之間取得一個平衡點。 本研究主要是透過風險調整資本報酬(RAROC)，來測量在金控旗下產物保險公司經營績效之優劣。本文利用民國73年至93年的產物保險年鑑的財報資料，以RAROC及傳統財務比率，比較富邦公司與本國老公司經營績效之差異。 本文之實證研究結果發現如下： 1. 在傳統財務比率之下，富邦產物保險公司的經營能力與本國老公司大致相同，但獲利能力明顯優於本國老公司。 2. 在風險調整資本報酬比率下，營運部分之績效比較結果為： (1) 在全部業務之下，富邦產物保險公司與本國老公司大致相同。 (2) 在扣除分保業務之後，富邦產物明顯優於本國老公司 3. 在風險調整資本報酬比率下，富邦產物之投資方面的經營績效明顯優於本國老公司。 / After the renovation of financial market and the establishment of financial holding company in Taiwan, insurance companies, banks and security institutes will not operate independently, and their efficiency on operation will affect themselves. Subsidiary companies not only focus on efficiency on operation, but also measure variation of risk on operation to achieve a balance between risk and return. This study applies the concept of Risk-Adjusted Return on Capital (RAROC) to measure efficiency on operation of non-life insurance company in financial holding company. The empirical analysis is conducted based on the financial data of non-life insurance companies in Taiwan during the period of 1984-2003. The empirical results are summarized as follow. 1. Base on traditional financial ratios, the underwriting efficiency of Fubon is the same as the other companies, but in the part of investment, Fubon is more efficient than other companies. 2. Based on Risk-Adjusted Return on Capital for measuring underwriting efficiency: (1) Fubon and old local companies are the same efficient for total business. (2) Fubon is significantly more efficient than other companies for the retained business. 3. Based on Risk-Adjusted Return on Capital for measuring investment efficiency, Fubon is better than other companies.

全球經濟情況變動，壽險公司的資產快速增加，國內投資工具無法滿足壽險公司的投資需求，政府大幅增加了壽險公司的投資範圍，如開放壽險公司海外投資上限，希望能提升壽險公司的資金運用效率。然而金融海嘯過後，壽險公司的投資績效受到打擊，金融資產出現大幅跌價，面臨投資跌價損失、資產減損、投資報酬率下降等情況，投資獲利逐漸下滑，影響了壽險公司的整體營運，經營情況日趨嚴峻。於是近年來，國內壽險公司投資收益佔營收比重逐漸增加，資產配置策略及實務上如何進行資金運用操作，實關係著壽險公司經營穩健度及獲利能力。本論文以一個案人壽公司為例，透過MV模型分析2005年至2011年間，在現行法令限制下，壽險公司投資組合的報酬率與風險之影響為何，且既定風險情況下，分析其投資績效，並探討此壽險公司資產配置是否具效率，又可如何調整配置提升投資報酬率，藉以供作壽險業未來資金運用策略之參考。 / As life insurance company assets rapidly increase and vary with global economical situations, domestic investment means no longer satisfy investing needs of life insurance companies. The Government relaxes investment restrictions, financially and legally, aiming to improve the very investment benefit of life insurance companies. But after the financial tsunami, their investment performance decreased, financial assets declined, unrealized losses on investment and asset impairment occurred, and return on Investment went down. The life insurance company’s overall operating conditions became more and more severe. Thus, the facts that the increasing proportion of domestic life insurance companies’ income on investment, asset allocation policy and practice on how to fund operations, do influence the stability and profitability of life insurance companies. Employing the Markowitz portfolio model, this thesis will analyze the investment benefit of life insurance companies with a specific case of a life insurance company during the period between 2005 and 2011. It reassesses issues below: the relation between capital allocation efficiency and risk of life insurance companies under established risk situations, the efficiency of life insurance companies’ asset allocation, and the rearrangement of asset allocation in order to upgrade capital allocation efficiency. These analyses would provide some reference for life insurance companies’ investing strategies in uses of future funds.

The work is focused on the analysis of the insurance market in the Czech Republic. On the grounds of the results of the analysis, there were chosen three largest insurances on the Czech market. Consequently it was described their development over the past five years. The main aim is to compare the selected products of the non-life insurance with those insurers. It was compared offers of lability insurance and accident insurance. On the grounds of results there is no reason to change the existing lability from the insurer Kooperativa. The best option of accident insurance was chosen the offer from the same insurer Kooperativa. In the market is currently no better option insurance premium for my car under my requirements. The best way to negotiate the insurance business as through meetings with insurance company representative.

La directive Solvabilité II, soumise par la Commission Européenne en 2009, est rentrée en application en janvier 2016. Elle se base sur trois piliers. Le premier pilier traite des obligations quantitatives liées au calcul du capital de solvabilité requis. Le second pilier traite de la gouvernance des risques. Le troisième pilier concerne les documents et informations requis, la discipline de marché. Pour l’assurance vie, les obligations quantitatives (pilier I et une partie du pilier II) introduisent un haut niveau de complexité. En effet, pour créer un dispositif adapté aux spécificités des entreprises, la directive a introduit un cadre de valorisation du bilan des assureurs très délicat à comprendre et utiliser, la valorisation économique. Du fait de cette complexité, la plupart des assureurs vie européens ont, durant leurs premières années passées à implémenter la directive, choisi de se focaliser sur le pilier I en sachant que le calcul de l’exigence en capital serait une part essentielle du dispositif. Dans cette thèse, j’ai choisi de concentrer mon travail sur le second pilier de la directive et plus précisément sur le processus Own Risk and Solvency Assessment (ORSA). Cet outil réglementaire est en fait la seconde source de complexité majeure de Solvabilité II. C’est un processus de gestion des risques totalement intégré à l’entreprise dont l’objectif est de mener les assureurs à une meilleure compréhension de leurs risques. Au cours de mon travail, j’ai cherché à conceptualiser et à proposer des mises en œuvre opérationnelles pour répondre aux problématiques induites par l’ORSA (calcul du Besoin Global de Solvabilité et Conformité Permanente). Enfin, au travers d’un travail commun avec N. El Karoui, S. Loisel et J.-L. Prigent, nous avons analysé et exemplifié certains des dangers majeurs induits par la valorisation économique / The Solvency II directive issued in 2009 by the European Commission has been put into action in January 2016. It is based on three pillars. The first pillar addresses the quantitative requirements to assess the Solvency capital needs. The second pillar, more qualitative, addresses the risks governance. The third pillar addresses the required disclosures. For life insurance, the quantitative requirements (pillar I and a part of pillar II) have introduced a high level of complexity. Indeed, to create an entity-adapted scheme, the directive has developed a very specific process to evaluate the insurance balance sheets, namely the economic valuation. Considering this complexity, most European life insurances have chosen to focus on pillar I, at the beginning of the implementation of the directive, the regulatory capital assessment being an essential part of the solvency scheme. In this thesis I focus my work on the second pillar of the directive and more precisely on the Own Risk and Solvency Assessment (ORSA) process. This regulatory tool is the second major source of complexity when implementing the directive. It is a completely undertaking-embedded risk management process which aims to deepen the insurance knowledge of its risks. In my work I have tried to conceptualize and propose operational implementations to answer the ORSA issues (Overall Solvency Needs assessment and continuous compliance). Finally, through a joint work with N. El Karoui, S. Loisel and J.-L. Prigent, we have underlined, analyzed and exemplified some of the major hazard sources induced by the economic valuation