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題名 風險基礎資本制實施對壽險業資本與風險之影響
The Impact of RBC on the Capital and Risk in the Life Insurance Industry作者 郭純芳
Kuo, Chun Fang貢獻者 蔡政憲
Tsai, Cheng Hsien
郭純芳
Kuo, Chun Fang關鍵詞 壽險業
資本結構
風險基礎資本額制度
life insurance industry
capital structure
risk-based capital日期 2002 上傳時間 9-May-2016 16:30:59 (UTC+8) 摘要 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.參考文獻 Aggarwal, 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. Berens, J. L. and C. L. Cuny, 1995, The Capital Structure Puzzle Revisited, Review of Financial Studies, 8: 1185-1208. Blum, J., 1999, Do Capital Requirements Reduce Risks in Banking? Journal of Banking and Finance, 23: 755-771. Chang, C., 1992, Capital Structure as An Optimal Contract Between Employees and Investors, Journal of Finance, 47: 1141-1158. Cummins, 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. Cummins, 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. Cummins, J. D. and D. W. Sommer, 1996, Capital and Risk in Property-Liability Insurance Markets, Journal of Banking and Finance, 20: 1069-1092. Diamond, D.W., 1989, Reputation Acquisition in Debt market, Journal of Political Economy, 97: 828-862. Grace, 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. Guo, D. and R.A. Winter, 1997, The Capital Structure of Insurers: Theory and Evidence, Working Paper, Toronto University. Jacques, 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. Mayers, D. and C.W. Smith, 1981, Contractual Provisions, Organizational Structure, and Conflict Control in Insurance Markets, Journal of Business, 54: 407-434. Mayers, D. and C.W. Smith, 1994, Managerial Discretion, Regulation, and Stock Insurer Ownership Structure, Journal of Risk and Insurance, 61: 638-655. Pottier, 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. Ravid, S. A. and O.H. Sarig, 1991, Financial Signalling by Committing to Cash Outflows, Journal of Financial and Quantitative Analysis, 26: 165-180. Regan, L., 1997, Vertical Integration in the Property-Liability Insurance Industry: A transaction Cost Approach, Journal of Risk & Insurance, 64: 41-62. Rime, B., 2001, Capital Requirements and Bank Behavior: Empirical Evidence for Switzerland, Journal of Banking and Finance, 25: 789-805. Shrieves R.E. and D. Dahl, 1992, The Relationship Between Risk and Capital in Commercial Banks, Journal of Banking and Finance, 16: 439-457. 描述 碩士
國立政治大學
風險管理與保險研究所
89358018資料來源 http://thesis.lib.nccu.edu.tw/record/#A2010000349 資料類型 thesis dc.contributor.advisor 蔡政憲 zh_TW dc.contributor.advisor Tsai, Cheng Hsien en_US dc.contributor.author (Authors) 郭純芳 zh_TW dc.contributor.author (Authors) Kuo, Chun Fang en_US dc.creator (作者) 郭純芳 zh_TW dc.creator (作者) Kuo, Chun Fang en_US dc.date (日期) 2002 en_US dc.date.accessioned 9-May-2016 16:30:59 (UTC+8) - dc.date.available 9-May-2016 16:30:59 (UTC+8) - dc.date.issued (上傳時間) 9-May-2016 16:30:59 (UTC+8) - dc.identifier (Other Identifiers) A2010000349 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95558 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 風險管理與保險研究所 zh_TW dc.description (描述) 89358018 zh_TW dc.description.abstract (摘要) 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。 zh_TW dc.description.abstract (摘要) 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 中文摘要 Abstract 1. Introduction-----1 2. Model and Variables-----5 2.1 Model and Variables-----5 2.2 Variables-----8 2.2.1 Decision Variables-----8 2.3.3 Regulatory Pressure Variables-----3 2.3.2 Instrumental Variables-----9 2.3.4 Exogenous Macroeconomic Variables-----14 3. Sample Selection, Methodology and Empirical Results-----16 3.1 Sample selection and methodology-----15 3.2 The Empirical Result-----16 3.2.1 Decision Variables-----16 3.2.1 Instrumental Variables-----17 3.2.3 Macro-Economic Variables-----18 3.2.4 Regulatory Pressure Variables-----18 4.Conclusions-----20 Appendix-----22 Reference-----30 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2010000349 en_US dc.subject (關鍵詞) 壽險業 zh_TW dc.subject (關鍵詞) 資本結構 zh_TW dc.subject (關鍵詞) 風險基礎資本額制度 zh_TW dc.subject (關鍵詞) life insurance industry en_US dc.subject (關鍵詞) capital structure en_US dc.subject (關鍵詞) risk-based capital en_US dc.title (題名) 風險基礎資本制實施對壽險業資本與風險之影響 zh_TW dc.title (題名) The Impact of RBC on the Capital and Risk in the Life Insurance Industry en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Aggarwal, 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. Berens, J. L. and C. L. Cuny, 1995, The Capital Structure Puzzle Revisited, Review of Financial Studies, 8: 1185-1208. Blum, J., 1999, Do Capital Requirements Reduce Risks in Banking? Journal of Banking and Finance, 23: 755-771. Chang, C., 1992, Capital Structure as An Optimal Contract Between Employees and Investors, Journal of Finance, 47: 1141-1158. Cummins, 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. Cummins, 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. Cummins, J. D. and D. W. Sommer, 1996, Capital and Risk in Property-Liability Insurance Markets, Journal of Banking and Finance, 20: 1069-1092. Diamond, D.W., 1989, Reputation Acquisition in Debt market, Journal of Political Economy, 97: 828-862. Grace, 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. Guo, D. and R.A. Winter, 1997, The Capital Structure of Insurers: Theory and Evidence, Working Paper, Toronto University. Jacques, 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. Mayers, D. and C.W. Smith, 1981, Contractual Provisions, Organizational Structure, and Conflict Control in Insurance Markets, Journal of Business, 54: 407-434. Mayers, D. and C.W. Smith, 1994, Managerial Discretion, Regulation, and Stock Insurer Ownership Structure, Journal of Risk and Insurance, 61: 638-655. Pottier, 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. Ravid, S. A. and O.H. Sarig, 1991, Financial Signalling by Committing to Cash Outflows, Journal of Financial and Quantitative Analysis, 26: 165-180. Regan, L., 1997, Vertical Integration in the Property-Liability Insurance Industry: A transaction Cost Approach, Journal of Risk & Insurance, 64: 41-62. Rime, B., 2001, Capital Requirements and Bank Behavior: Empirical Evidence for Switzerland, Journal of Banking and Finance, 25: 789-805. Shrieves 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
