主要保險先進國家或地區對防範壽險業失卻清償能力的規範，都朝向採行資本適足性的風險基礎資本（RBC）的建制，我國亦正朝向此方向發展，而台灣財政部保險革新小組，參考的是美國「風險基礎資本制度，簡稱為RBC」，1999年保險司曾公開表示，在法令修正通過兩年後將實施RBC制度。基本上，壽險業資本適足性的建制採行RBC較單一資本制度（最低資本制度）為優，但是在RBC的設計上，除了單純的假設C1與C2風險是完全隨機發生之外，對各類的風險項目的風險係數並無適當的考量，再者對於各風險項目下的各分類項目間的相關性（或共變異性）亦無適切的考量，使本制度有其先天設計上的不完美。在台灣隨著國際化的腳步加劇，一方面國內保險公司的競爭的情形越加白熱化，且對於保險公司的規範逐漸鬆綁，因此，對壽險公司而言，面對投資商品的越趨多樣化，如何妥善的管理投資組合的市場風險是非常重要的。因此，如何訂定適合符合本國環境的RBC制度亦為當務之急，故促發本文的研究動機。
在各種管理市場風險的方法中，風險涉險值（Value at Risk）之風險衡量方法可以用來衡量整體投資組合的風險，近年來已有許多國外的銀行與監理機關採用風險涉險值來管理企業所面臨的風險。本研究依據四種不同的情境假設，運用VaR來衡量RBC制度下C1及C2的風險可能性，分別為情境一：C1及C2之相關係數為零下之風險值、情境二：實際投資組合之風險值、情境三C1及C2各風險項目以風險係數衡量下之風險值及情境四季報酬率下之風險值，再帶入RBC公式求得RBC Ratio，並利用統計之差異性檢定方法，檢定其結果後予以分析。
本研究的檢定結果顯示，情境一與二有顯著的差異，直觀的假設C1及C2為零的結果並非合理，而且從情境一樣本之RBC Ratio平均值大於情境二來看，其相關係數可能較零為大，因此我們若直觀的把其相關係數視為零的結果，有可能導致風險的低估。再者，情境二與三有顯著的差異，無法支持個別風險項目以其本身的風險係數衡量的風險結果是無異於以實際投資組合的計算方法，而且從情境二樣本之RBC Ratio平均值大於情境三來看，顯示個別計算的結果可能造成風險的高估。最後，情境二與四亦有顯著的差異，而且從情境二樣本之RBC Ratio平均值大於情境四來看，短期（季報酬率）的風險波動可能比長期（年報酬率）來的高。因此，本研究建議，未來監理機關在制定RBC制度時，應以VaR實際投資組合的方法來衡量其風險，並對於在監控邊緣的公司短期內需加以追蹤，此結果可以提供壽險業者及監理機關參考。 / In major countries and areas with highly advanced life insurance industry, the establishment of risk based capital（RBC）founded upon capital adequacy is adopted as the norm to avoid losing solvency. Basically, to adopt RBC is more superior than to adopt Minimum Capitalization System in the establishment of life insurance industry’s capital adequacy. However, except simply assuming that the risk of C1 and C2 arises completely randomly, proper consideration is given neither to the risk factor of risk items in each category, nor to the risk items’ correlation（or covariance）with the result of inherent flaw in the design of RBC. Hence, how to institute the RBC system pertinently correspondent with the circumstances in Taiwan becomes utterly imperative, and it also motivates this study to be proceeded.
The risk measurement of “Value at risk” is able to be adopted to evaluate the risk of the whole portfolios. In the light of four different scenarios hypothesized in this study, VaR is in use to estimate the possibility of risk. Respectively, the four scenarios are：scenario 1：the VaR when the correlation of C1 and C2 is zero; scenario 2：the VaR of the actual portfolio; scenario 3：the VaR of each risk item of C1 and C2 measured by risk factor scenario 4：the VaR of quarterly return rate. The RBC ratio, calculated by introducing the VaR of the four scenarios into the RBC formula, is tested by the statistical differentiation test and then the result of the test is then analyzed.
The result of this study manifests three observations. Firstly, there is significant difference existing between scenario 1 and 2. It is not rational to intuitively suppose that the correlation of C1 and C2 is zero. Accordingly, risk underestimation is probably induced by the result of the intuition of rating the correlation of C1 and C2 as zero. Secondly, there is significant diversity existing between scenario 2 and 3 as well. The significant discrepancy between scenario 2 and 3 can not testify that the result derived from individual risk items and their risk factors is identical with the one derived from actual portfolio. Furthermore, it is shown that risk overestimation potentially results from the consequences of respective calculation. At last, there is also outstanding difference occurring between scenario 2 and 4. In addition, the value of short-term risk likely fluctuates more intensely than long-term. To conclude, in the future it is suggested that the corresponding authorities should adopt the method via which the risk is measured in the light of actual portfolio in the attempt to establish RBC system. Meanwhile, in the short term, it is necessary to continuously supervise the operation of firms, whose unsteadily fluctuated short-term business indicators reveal potential risks. The life insurance firms and the corresponding authorities can refer the conclusions of this study mentioned above.
| Identifer | oai:union.ndltd.org:CHENGCHI/A2002001464 |
| Creators | 張弘欣, Martin Chang, Hung-Hsin |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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