O cultivo de camarão branco Litopennaeus vannamei tem provado ser um sector promissor para a economia do nordeste do Brasil. Contudo, a criação de camarão branco no Brasil tem sido afetada negativamente pela ocorrência de doenças virais, ameaçando a sua expansão e sustentabilidade. Por esta razão, depreende-se a importância da elaboração de um sistema de vigilância capaz de detectar e definir a ausência de doenças virais de elevado impacto econômico. O modelo estocástico AquaVigil é aqui implementado para avaliar prospectivamente diferentes estratégias de vigilância para determinar a ausência de doença e identificar a estratégia exigindo menor esforço de amostragem e simultaneamente, fazer o melhor uso dos recursos disponíveis através da implementação de vigilância baseada em risco. O estudo apresentado exemplifica a aplicação regional do sistema proposto para o estado do Ceará, podendo ser aplicado a outros estados do Brasil. O modelo AquaVigil pode analisar qualquer sistema de vigilância baseada em risco semelhante àquele aqui considerado. A criação de camarão no nordeste do Brasil tem sido alvo de vários desafios, desde a ocorrência de doenças virais a mudanças no acesso aos mercados internacionais. Tendo em consideração as dificuldades encontradas pela aquicultura de camarão no nordeste do Brasil, facilmente se compreende a importância de caracterizar e melhor compreender este setor e assim assegurar o seu desenvolvimento sustentável. Para este fim, foram aplicados métodos de análise de correspondência multipla e clustering particional a dados recolhidos durante um levantamento nacional de fazendas de carcinicultura de forma a obter informação necessária para caracterizar tendências e identificar falhas e necessidades existentes. Esta informação será útil no momento de melhorar o manejo das fazendas e elaborar legislação a favor do desenvolvimento do setor / The farming of Pacific white shrimp Litopennaeus vannamei in northeast Brazil, has proven to be a promising sector. However, the farming of Pacific white shrimp in Brazil has been affected negatively by the occurrence of viral diseases, threatening this sector\'s expansion and sustainability. For this reason, the drafting of a surveillance system for early detection and definition of freedom from viral diseases, whose occurrence could result in high economic loses, is of the utmost importance. The stochastic model AquaVigil was implemented to prospectively evaluate different surveillance strategies to determine freedom from disease and identify the strategy with the lowest sampling efforts, making the best use of available resources through risk-based surveillance. The worked example presented was designed for regional application for the state of Ceará and can easily be applied to other Brazilian states. The AquaVigil model can analyze any risk-based surveillance system that considers a similar outline to the strategy here presented. In recent years, shrimp aquaculture has faced many challenges, ranging from the occurrence of viral diseases to changes in market access. Considering the past and present challenges faced by the shrimp farmers in Northeast Brazil it is easily understood that the comprehensive characterization of the shrimp farming is of the utmost importance when striving for sustainable development. To this aim, the exploratory data analysis methods of multiple correspondence analysis and partitional clustering were applied to the data collected through a national census to extract the greatest amount of information and profile shrimp farms, identifying gaps and needs. The results of the analysis will contribute to improve management practices and policy-making for sustainable shrimp farming in Northeast Brazil

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.

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.

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.

Submitted by Yugo Watari (ywatari@gmail.com) on 2017-09-19T16:23:48Z No. of bitstreams: 1 main.pdf: 2611498 bytes, checksum: 1f50a4c20e7433334a4e2b45acd23424 (MD5) / Approved for entry into archive by Thais Oliveira (thais.oliveira@fgv.br) on 2017-09-19T16:31:51Z (GMT) No. of bitstreams: 1 main.pdf: 2611498 bytes, checksum: 1f50a4c20e7433334a4e2b45acd23424 (MD5) / Made available in DSpace on 2017-09-19T17:31:18Z (GMT). No. of bitstreams: 1 main.pdf: 2611498 bytes, checksum: 1f50a4c20e7433334a4e2b45acd23424 (MD5) Previous issue date: 2017-08-21 / We approach portfolio construction with risk based allocation, using volatility as the measure of risk, and applying to the stock markets. We start by obtaining generic risk factors based on the approach of Fama&French; and them we decompose the volatility in risk contributions of those generic risk factors. Differing from previous works, instead of allocating in indexes that represent the generic risk factors, we allocate at the asset level, in hopes that this will lead to reproducing the effects of inveting on those indexes, which brings additional complexity to the problem. This was motivated by investors not always having access to invest in theses indexes. Finally, for the purpose of illustration, we apply the metodology to the brazilian stock markets, selecting as risk factors, the five Fama&French risk factors. We obtain portfolios with the desired risk contributions, but as we look in to the weights of each risk factor, there is alocations of weights in the risk factors not related to those of Fama&French, even though the risk contributions are neutralized. We argue that these allocations are preventing from obtaining exposures to the distinct characteristics of each Fama&French risk factor. / A construção de portfólios, ou seja, a definição da composição de uma carteira de ativos, é abordada, nesse trabalho, pela ótica da alocação baseada em contribuições do risco, medida via volatilidade, aplicada a uma carteira de ações. O objetivo é a construção de portfolios, via as contribuições de riscos; para isto construímos fatores de riscos genéricos baseados na abordagem de Fama&French; na sequência aplicamos uma metodologia para distribuir a volatilidade como contribuições de risco destes fatores genéricos. Diferentemente de outros trabalhos, ao invés de alocar em índices que representem estes fatores de riscos genéricos, alocamos diretamente nos ativos na expectativa de conseguirmos reproduzir o efeito de investir nestes índices, o que traz uma complexidade adicional. Esta abordagem foi motivada por nem sempre termos acesso à investir nesses índices. Finalmente, a título de ilustração, a metodologia foi aplicada ao mercado brasileiro de ações, em particular utilizando os fatores do modelo Fama&French de 5 fatores. Obtivemos portfolios com as contribuições de riscos desejadas em relação aos fatores de Fama&French, mas ao se analisar a alocação dos pesos dos fatores de riscos sobre os portfolios obtidos, verificamos que são alocados pesos a fatores que não estão relacionados aos de Fama&French, apesar das contribuições de risco destas estarem neutralizadas. E por fim argumentamos que estas alocações evitam a captura das características distintas de cada fator que gostaríamos de reproduzir.

Text in Afrikkans / Summaries in English and Afrikaans / The capital-adequacy problem is essentially concerned with the amount of capital that a bank should maintain in order to conduct its operations in a prudent manner. Because one of the primary functions of bank capital is to act as a risk cushion for the protection of a bank's depositors, a bank's capital funds are often regarded as comprising an insurance element. The capital-adequacy concept, therefore, may be seen as part of the overall banking risk, or prudential management. An attempt has been made to indicate that bank supervisors should use not only capital ratios when analysing a bank's capital position. Other factors, such as asset quality and other financial risks, should also be taken in consideration. Financial ratio analysis, however, provides bank supervisors with useful information. When combining ratio analysis with non-quantifiable factors, bank supervisors may indeed achieve their goal of determining capital adequacy. / Die kapitaaltoereikendheidsprobleem is hoofsaaklik gebaseer op die hoeveelheid kapitaal waaroor 'n bankinstelling moet beskik, ten einde die bankbesigheid op 'n verstandige wyse te bedryf. Een van die primere funksies van kapitaal is om te dien as verliesabsorberingsbuffer ter beskerming van 'n bankinstelling se deposante, en daarom word toereikende kapitaal dikwels geag om 'n soort versekeringselement te bevat. Die konsep van kapitaaltoereikendheid kan dus beskou word as deel van die totale risikobestuurskonsep. Daar is tydens die studie gepoog om aan te dui dat banktoesighouers nie net kapitaalverhoudings behoort te gebruik om 'n bankinstelling se kapitaalposisie te ontleed nie. Ander faktore, soos batekwaliteit en antler finansiele risiko's, moet ook in ag geneem word. Finansiele verhoudingsgetalontledings voorsien banktoesighouers van waardevolle inligting. Indien verhoudingsgetalle egter met nie-gekwantifiseerde inligting gekombineer sou word, kan banktoesighouers hul doel om kapitaaltoereikendheid te bepaal, bereik. / M.Com. (Business Management)

Les maladies émergentes à transmission vectorielle sont une préoccupation croissante et particulièrement lorsqu’elles affectent les chevaux, une population spécifiquement à risque vis-à-vis de la propagation de maladies. En effet, les chevaux voyagent fréquemment et, malgré l’impact sanitaire et économique des maladies équines, les règlementations sanitaires et les principes de biosécurité et de traçabilité censés assurer la sécurité des mouvements d'équidés ne sont pas toujours en place. Notre travail propose d'améliorer la surveillance des maladies à transmission vectorielle chez les chevaux en utilisant différentes méthodes pour estimer la probabilité d'émergence d'une maladie. Tout d'abord, nous avons développé un modèle quantitatif et spatio-temporel combinant différentes probabilités pour estimer les risques d'introduction de la peste équine et de l’encéphalose équine. Ces combinaisons permettent d’obtenir une image plus détaillée du risque posé par ces agents pathogènes. Nous avons ensuite évalué des systèmes de surveillance syndromique par deux approches méthodologiques: l'approche classique avec un seuil d'alarme basé sur un multiple de l'erreur standard de prédiction, et l'approche bayésienne basée sur le rapport de vraisemblance. Nous avons travaillé ici principalement sur la détection précoce du virus West Nile en utilisant les symptômes nerveux des chevaux. Les deux approches ont fourni des résultats prometteurs, mais l’approche bayésienne était particulièrement intéressante pour obtenir un résultat quantitatif et pour combiner différentes informations épidémiologiques. Pour finir, l'approche bayésienne a été utilisée pour combiner quantitativement différentes sources d'estimation du risque : surveillance syndromique multivariée, et combinaison de la surveillance syndromique avec les résultats d’analyses de risques. Ces combinaisons ont données des résultats prometteurs. Ce travail, basé sur des estimations de risque, contribue à améliorer la surveillance des maladies à transmission vectorielle chez les chevaux et facilite la prise de décision. Les principales perspectives de ce travail sont d'améliorer la collecte et le partage de données, de mettre en oeuvre une évaluation complète des performances des systèmes de surveillance multivariés, et de favoriser l'adoption de ce genre d’approche par les décideurs en utilisant une interface conviviale et en mettant en place un transfert de connaissance. / Emerging vector-borne diseases are a growing concern, especially for horse populations, which are at particular risk for disease spread. In general, horses travel widely and frequently and, despite the health and economic impacts of equine diseases, effective health regulations and biosecurity systems to ensure safe equine movements are not always in place. The present work proposes to improve the surveillance of vector-borne diseases in horses through the use of different approaches that assess the probability of occurrence of a newly introduced epidemic. First, we developed a spatiotemporal quantitative model which combined various probabilities in order to estimate the risk of introduction of African horse sickness and equine encephalosis. Such combinations of risk provided more a detailed picture of the true risk posed by these pathogens. Second, we assessed syndromic surveillance systems using two approaches: a classical approach with the alarm threshold based on the standard error of prediction, and a Bayesian approach based on a likelihood ratio. We focused particularly on the early detection of West Nile virus using reports of nervous symptoms in horses. Both approaches provided interesting results but Bayes’ rule was especially useful as it provided a quantitative output and was able to combine different epidemiological information. Finally, a Bayesian approach was also used to quantitatively combine various sources of risk estimation in a multivariate syndromic surveillance system, as well as a combination of quantitative risk assessment with syndromic surveillance (applied to West Nile virus and equine encephalosis, respectively). Combining evidence provided promising results. This work, based on risk estimations, strengthens the surveillance of VBDs in horses and can support public health decision making. It also, however, highlights the need to improve data collection and data sharing, to implement full performance assessments of complex surveillance systems, and to use effective communication and training to promote the adoption of these approaches.

保險法第146條之4規範國外投資總額最高不得超過各該保險業資金45%，而2014年修正增列保險業依保險法規定投資於國內證券市場上市或上櫃買賣之外幣計價股權或債券憑證之投資金額，可不計入其國外投資限額。且因我國市場長期處於低利環境，壽險業即大量以台幣作為融資貨幣買入國外高利率環境下之標的貨幣進行利差交易，本研究擬以經濟資產模型進行資產與負債之模擬，衡量壽險公司的經濟資本與清償風險。 依據現行壽險公司資金運用決定投資之標的，並以Cox-Ingersoll-Ross (1985)模型模擬國內外短期利率，在無拋補利率平價說下建立匯率模型，以Heston (1993)隨機過程描述資產的變化，並考量壽險公司投資策略決定投資比率，再加入資產之相關性進行模擬；以與壽險公司投資連結之利率變動型年金為商品，加入各項風險因子進行負債價值模擬，諸如死亡率、解約率等因子；資產與負債皆在風險中立測度下以蒙地卡羅法進行模擬10,000次，探討公允價值下壽險公司之清償能力。 而現行清償能力指標為資本適足比率，但此標準下尚無法完整考慮各風險之相關性，本研究除考量資本適足比率中風險資本總額，亦加入經濟資本進行分析，可得以下結果： I.現行RBC風險資本總額介於VaR 99.5%與95%所計算之經濟資本間。 II.當匯率波動度與國外投資比例增加時，經濟資本亦將顯著增加。 III.隨國外債券投資比例增加，風險資本總額增加之幅度亦會加速成長。 IV.利率變動型年金商品宣告利率之擬定將顯著影響公司面臨之違約風險。 / The amendment of Article 146-4 of Insurance Act extended the overseas investment ceiling in 2014 that the International Bond was not included to be counted in overseas investment. Since we have been suffering from the low interest rate for a long time, life insurance industry often uses carry trade to enlarge their earnings. In this paper, the investment targets are chosen on the basis of the current life insurance industry. We simulate the short-term interest rate based on Cox-Ingersoll-Ross (1985) model, establish the exchange rate model by Uncovered Interest Rate Parity, and use Heston (1993) model to simulate stochastic process of assets. Then we consider the life insurance industry’s investment strategy to determine the investment ratio and also import the asset correlation into our models. The interest sensitive annuity policies we used to evaluate the liabilities are linked with life insurance companies’ investment. Some risk factors are also been considered, such as mortality, surrender rate and other factors. Through Monte Carlo simulations by 10,000 times, we analysis the life insurance companies’ solvency under risk neutral measurement by using Risk-Based Capital and Economic Capital. The results show that： I.Risk-Based Capital is between Economic Capital calculated by VaR 99.5% and 95%. II.When the volatility of exchange rate and overseas investment ratio increase, the Economic Capital will also increase significantly. III.With the increase in the proportion of foreign bond investment, the increase in the Risk-Based Capital will accelerate the growth. IV.The declaring interest rate of interest sensitive annuity policy will significantly affect the default risk faced by the life insurance company.

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.