Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/95558
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dc.contributor.advisor蔡政憲zh_TW
dc.contributor.advisorTsai, Cheng Hsienen_US
dc.contributor.author郭純芳zh_TW
dc.contributor.authorKuo, Chun Fangen_US
dc.creator郭純芳zh_TW
dc.creatorKuo, Chun Fangen_US
dc.date2002en_US
dc.date.accessioned2016-05-09T08:30:59Z-
dc.date.available2016-05-09T08:30:59Z-
dc.date.issued2016-05-09T08:30:59Z-
dc.identifierA2010000349en_US
dc.identifier.urihttp://nccur.lib.nccu.edu.tw/handle/140.119/95558-
dc.description碩士zh_TW
dc.description國立政治大學zh_TW
dc.description風險管理與保險研究所zh_TW
dc.description89358018zh_TW
dc.description.abstract  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。\r\n  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。zh_TW
dc.description.abstract  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.en_US
dc.description.tableofcontents謝辭\r\n中文摘要\r\nAbstract\r\n1. Introduction-----1\r\n2. Model and Variables-----5\r\n  2.1 Model and Variables-----5\r\n  2.2 Variables-----8\r\n    2.2.1 Decision Variables-----8\r\n    2.3.3 Regulatory Pressure Variables-----3\r\n    2.3.2 Instrumental Variables-----9\r\n    2.3.4 Exogenous Macroeconomic Variables-----14\r\n3. Sample Selection, Methodology and Empirical Results-----16\r\n  3.1 Sample selection and methodology-----15\r\n  3.2 The Empirical Result-----16\r\n    3.2.1 Decision Variables-----16\r\n    3.2.1 Instrumental Variables-----17\r\n    3.2.3 Macro-Economic Variables-----18\r\n    3.2.4 Regulatory Pressure Variables-----18\r\n4.Conclusions-----20\r\nAppendix-----22\r\nReference-----30zh_TW
dc.source.urihttp://thesis.lib.nccu.edu.tw/record/#A2010000349en_US
dc.subject壽險業zh_TW
dc.subject資本結構zh_TW
dc.subject風險基礎資本額制度zh_TW
dc.subjectlife insurance industryen_US
dc.subjectcapital structureen_US
dc.subjectrisk-based capitalen_US
dc.title風險基礎資本制實施對壽險業資本與風險之影響zh_TW
dc.titleThe Impact of RBC on the Capital and Risk in the Life Insurance Industryen_US
dc.typethesisen_US
dc.relation.referenceAggarwal, R. and K. T. Jacques, 2001, The Impact of FDICIA and Prompt Corrective Action on Bank Capital and Risk: Estimate Using A Simultaneous Equation Model, Journal of Banking and Finance, 25:1139-1160.\r\nBerens, J. L. and C. L. Cuny, 1995, The Capital Structure Puzzle Revisited, Review of Financial Studies, 8: 1185-1208.\r\nBlum, J., 1999, Do Capital Requirements Reduce Risks in Banking? Journal of Banking and Finance, 23: 755-771.\r\nChang, C., 1992, Capital Structure as An Optimal Contract Between Employees and Investors, Journal of Finance, 47: 1141-1158.\r\nCummins, J. D., S. E. Harrington, and R. W. Klein, 1995, Insolvency Experience, Risk-Based Capital, and Prompt Corrective Action in Property-Liability Insurance, Journal of Banking and Finance, 19: 511-527.\r\nCummins, J. D, M. F. Grace, and R. D. Phillips, 1999, Regulatory Solvency Prediction in Property-Liability Insurance: Risk-Based Capital, Audit Ratios, and Cash-Flow Simulation, Journal of Risk and Insurance 66: 417-458.\r\nCummins, J. D. and D. W. Sommer, 1996, Capital and Risk in Property-Liability Insurance Markets, Journal of Banking and Finance, 20: 1069-1092.\r\nDiamond, D.W., 1989, Reputation Acquisition in Debt market, Journal of Political Economy, 97: 828-862.\r\nGrace, M. F., S. E. Harrington, and R. W. Klein, 1998, Risk-Based Capital and Solvency Screening in Property-Liability Insurance: Hypotheses and Empirical Tests, Journal of Risk and Insurance, 65: 213-243.\r\nGuo, D. and R.A. Winter, 1997, The Capital Structure of Insurers: Theory and Evidence, Working Paper, Toronto University.\r\nJacques, K. and P. Nigro, 1997, Risk-Based Capital, Portfolio Risk, and Bank Capital: A Simultaneous Equations Approach, Journal of Economics and Business, 49: 533-547.\r\nMayers, D. and C.W. Smith, 1981, Contractual Provisions, Organizational Structure, and Conflict Control in Insurance Markets, Journal of Business, 54: 407-434.\r\nMayers, D. and C.W. Smith, 1994, Managerial Discretion, Regulation, and Stock Insurer Ownership Structure, Journal of Risk and Insurance, 61: 638-655.\r\nPottier, S.W. and D.W. Sommer, 1999, Property-Liability Insurer Financial Strength Ratings: Differences Across Rating Agencies, Journal of Risk and Insurance, 66: 621-642.\r\nRavid, S. A. and O.H. Sarig, 1991, Financial Signalling by Committing to Cash Outflows, Journal of Financial and Quantitative Analysis, 26: 165-180.\r\nRegan, L., 1997, Vertical Integration in the Property-Liability Insurance Industry: A transaction Cost Approach, Journal of Risk & Insurance, 64: 41-62.\r\nRime, B., 2001, Capital Requirements and Bank Behavior: Empirical Evidence for Switzerland, Journal of Banking and Finance, 25: 789-805.\r\nShrieves R.E. and D. Dahl, 1992, The Relationship Between Risk and Capital in Commercial Banks, Journal of Banking and Finance, 16: 439-457.zh_TW
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