The subject of the study for this dissertation is the relationship between pricing and reserving risks for property-casualty insurance companies. Since the risk characteristics of insurers differ based on their structure, objectives and incentives, segmenting the insurers into subgroups would allow for a better understanding of group-specific risks. Based on this approach to analyzing insurer financial risks, we find that, in a given accident year, the pricing and reserving errors are positively correlated, especially in long-tailed lines of business. Large insurers, stock insurers, and multi-state insurers, in general, exhibit a strong correlation between accident-year price and reserve errors. However, only size of insurers appears to be a factor that influences the interaction between price changes and the calendar year loss reserve adjustments. Furthermore, we find that the pricing risk and reserving risk are marginally more homogenous within a market segment when size, type and number of states are employed as criteria for market segmentation, hence insurance regulators should consider the refined market segments for the RBC formula. The empirical results also indicate that, in general, Chain-Ladder reserving method likely contributes to loss reserve errors when there is a change in the loss development pattern and the magnitude of the errors is worse for large insurers. Finally, we find that our proposed measurement method for the product diversification benefit provides support for the notion that the diversification benefit on the incurred losses increases with the number of lines in the portfolio. Yet, the diminishing returns tend to decrease the diversification benefit on the incurred losses for insurers that write the business in more than six of the selected lines. To the contrary, our proposed measure does not provide clear evidence that writing business in many product lines increases the product diversification benefit with respect to adverse loss development. We do find that the diversification benefit for both incurred losses and loss development is higher for larger insurers. Hence, for risk management and regulatory purposes, a stronger case can be made for considering firm size than product diversification.

當產險公司需要同時兼顧競爭力並免於破產時，適當的資產配置就是一項相當重要的決策。然而採用均數-變異數分析(mean‐variance analysis)將受到許多限制，而動態控制理論則是難以實作，因此，我們提出一個新的解決方法。這個方法主要係應用模擬最佳化的演算法，例如基礎的基因演算法(basic genetic algorithm, GA)，多階層演化策略(multi-phase evolutionary strategies, MPES)及多階層基因演算法(multi-phase genetic algorithm, MPGA)等並結合模擬模型，來求解保險公司之資產配置的問題。首先我們建立投資市場及保險業務市場的模擬模型，之後再利用本研究所發展出新的最佳化演算法來搜尋最佳的資產配置。在實務上無法實現的多期投資策略，在我們的研究架構下得以被採用，並且在比較求解結果下，多期投資策略(reallocation strategies)較定額投資策略(re‐balancing strategies)有顯著較佳的績效。在兼顧保險公司投資收益並避免破產的目標函數下，我們所提出的研究方法已證明可以用來協助保險公司建立較佳的資產配置。 / Proper asset allocations are vital for property‐casualty insurers to be competitive and remain solvent. However, popular mean‐variance analysis is limited while dynamic control theory is difficult to implement. We thus propose to apply simulation optimizations such as basic genetic algorithm (GA), multi‐phase evolutionary strategies (MPES) and multi‐phase genetic algorithm (MPGA) to the asset allocation problems of the insurers. We first construct a simulation model of the property‐casualty insurer and then develop simulation optimization techniques to search optimal investment strategies upon the simulation results. The resulted reallocation strategies perform better than re‐balancing strategies used in practice with significant margins. Therefore, our proposal researches can be used to assist insurers to construct better asset allocations.

我國加入WTO之後，為因應先進國家自由化、國際化的潮流和趨勢，以及追求我國保險制度的健全發展，保險主管機關乃決定將過去長期採用的規章費率改為自由費率。而為了避免對保險業的衝擊過大，乃將整個費率自由化的時程分成三個階段實施，以達到逐步開放產險市場的目標。費率自由化的目的主要是希望能藉此廢除不合理干預市場機制的法規，並建立合理的競爭環境，以及保護消費者的權益等。事實上，費率自由化並不是盲目的開放市場，而是藉由有制度的監理，確保保險業有足夠的清償能力，並且維護市場秩序和紀律。 從歐、美及日本等國在費率自由化的發展趨勢及經驗來看，費率自由化的實施已成為一種不可抵擋的趨勢，而保險業者為了能在競爭的市場中生存，都會積極的推出新產品、新通路，並提出各項經營策略以為因應，因為也唯有如此才能立足於保險市場，也不會在這股洪流中被淹沒。 就我國的現況來看，民國91年開放的第一階段費率自由化，主要是以放寬「附加費用率」為主，就「危險保費」部分得讓業者做有限度的偏離，則在第二階段始予以開放，惟保險公司必須依規定檢具各項資料先行向主管機關申請。至於最後一個階段除了強制保險外，其餘之商品均得由業者自行釐定費率，簡單的說，從第三階段開始費率就全面自由化了。 本篇論文主要目的係探討費率自由化之相關議題。首先介紹費率自由化之意義與實施源由，接著將闡述各歐美先進國家之發展狀況與衝擊，最後，則根據各國實施費率自由化的經驗，以及我國汽車保險市場的實際情況，提出實施費率自由化後的趨勢分析，而面對未來車險市場的變革，也提出個人幾點因應之道，期望所有的保險業者都能藉由努力提昇獲利力，在競爭的車險市場中各占有一席之地，並且也期盼本文對於日後在費率自由化的研究上，能提供業者作為參考。 / After Taiwan’s entrance into WTO, insurance authorities decide to follow the trend of internationalization and liberalization and adopt rate deregulation, for soundness development of insurance market. To avoid heavy impact on insurance companies, authorities divide the plan of rate deregulation into three phases, in order to open the property/casualty market gradually. The objective of deregulation is to eliminate the improper control, and to establish a rational competition environment for protecting consumers’ rights. In fact, the main purpose of rate deregulation is to ensure insurers’ solvency and to maintain the discipline of the insurance market. The implementation of rate deregulation is an inevitable trend in the world, many insurers make a great deal of efforts to develop the various products and channels to increase market share. From the prospective of Taiwan’s condition, the first stage of rate deregulation focuses on releasing the restrictions of “loading expenses” and making “risk premium” relax limited. The main purpose of the second stage is to deregulate “risk premium” completely, but insurers should report the relevant information and files to authorities concerned in advanced. In the last stage, insurers can rate all products individually other than compulsory insurance. That is, it will be a fully liberalization stage. The purpose of the study aims to clarify several issues. First, the study introduces the reasons of the implementation of the rate deregulation. Second, the study elaborates the background and influence of the experience of rate deregulation in every developed country as well. Meanwhile, the study makes descriptions of the current situation of Taiwan. Finally, according to the experience of rate deregulation of every country and the condition of Taiwan, the study analyzes the trend of implementation of rate deregulation and suggests several strategies to deal with the potential influence which may be helpful to insurers in Taiwan.

再保險交易為國內產物保險業者經營業務及風險管理上不可或缺之工具，近年衍生融通資金及改善財務結構之財務面功能，並傳出國際知名保險業者不當運用之情事，而引起各國保險監理機關之重視，開始建立再保險完整之監理制度及詳細規範。就我國產險業而言，現行再保險交易分出業務之會計處理，可透過再保費支出、再保佣金收入、再保攤回賠款及提存未滿期保費準備減少數等會計科目，產生盈餘釋放數，進而操控公司財務報表。本研究擬探討我國產險公司是否會利用承作再保險交易從事盈餘管理。 本研究分別採用縱橫資料迴歸及分量迴歸兩種模型，以1994-2008年之國內12家產險公司為樣本，探討再保險交易量及再保險交易盈餘釋放數與盈餘管理動機之關聯。實證結果顯示我國產險公司，就資本市場動機而言，當期盈餘數愈低者，會避免虧損而從事愈多再保險交易或有愈高之盈餘釋放數，若當期盈餘低於前期愈多者，則有愈高之盈餘釋放數；就稅負動機而言，若為高稅負成本者，將從事較少再保險交易或有較低之盈餘釋放數；惟就監理動機而言，發現產險公司保單持有人盈餘與實收資本之45%的差距愈小者，反而從事愈少之再保險交易。 / Reinsurance is an indispensable tool for property-casualty insurers’ business operating and risk management. In recent years, reinsurance derived some financial functions such capital finance and financial structure improvement. Some of the world famous insurers had been found improper use of financial reinsurance, which caused regulators of various countries try to establish more supervisory systems and detailed standards to monitor such behavior. The present accounting procedures of reinsurance ceded-out business might release surplus through reinsurance premiums ceded, reinsurance commission earned, claims recovered from reinsures, and the decrease of unearned premium reserves, which release might give insurers to manipulate the financial reporting. Therefore, this research attempts to examine association between reinsurance arrangements and earnings management on Taiwan’s property-casualty insurers. This research applies panel data model and quantile regression model to test the reinsurance transactions and the surplus release associated with earnings management motivation. The data draw from12 property-casualty Taiwan’s insurers from 1994 to 2008. For capital market motivations, the evidence indicates that property-casualty insurers manage more reinsurance transactions or the higher surplus release to avoid losses, and manage the higher surplus release to avoid earnings decreases. For tax burden motivations, the result shows that the higher tax burden insurers have, the fewer insurers manage reinsurance transactions and the lower surplus release. However, for regulatory motivations, the empirical results indicate that the less difference between policyholders’ surplus and 45% of total capital has, the fewer reinsurance transactions are being managed.

This diploma thesis deals with insurance protection of permanent health consequences caused by illness or in case of injury. The aim of this work was to make an analysis of the offer of accidental injury insurance in the insurance market from the potential insurance applicants? point of view and also to identify the right combination of this kind of insurance with disability pension. In this work, four best insurance products offered in the Czech market are in detail described ? Pesrpektiva 7BN insurance by Kooperativa, Flexi insurance by Česká spořitelna, Benefit and Genio insurance by Generali Pojišťovna. A simulation applied to each of the products was made and analyzed. If a client follows the simulated model, he or she should be well insured. Using the methods of multi-criteria classification (method of rank, method of points, method WSA and method TOPSIS), the best product for potential applicants has been identified. The best option seems to be the insurance product Perspektiva 7BN offered by insurance company Kooperativa.