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題名 台灣產險業特別準備金與盈餘關係之探討 作者 沈美岑 貢獻者 王儷玲
沈美岑關鍵詞 或有準備金
特別準備金
破產理論
蒙地卡羅模擬
淨值
Contingency Reserve
Special Claim`s Reserve
Ruin Theory
Monte Carlo Simulation
Surplus account日期 2002 上傳時間 9-May-2016 16:31:05 (UTC+8) 摘要 有鑑於產險業特別準備金制度爭議已久，應於何時提存或收回似乎已成了保險業界與保險司之間的角力賽。本研究採用傳統精算中破產理論(Ruin Theory)的概念，並觀察火災保險、貨物運輸保險、漁船保險與任意汽車保險等四個不同損失分配的險別進行蒙地卡羅模擬(Monte Carlo Simulation)，得出各個險種最適的特別準備金提存率。本文使人更容易了解因各險種具備的特性不同，在相同的破產機率水準下，會因為危險程度不同以及自留保費收入相對於自留賠款間的關係，間接影響到最適特別準備金的提存額度。 本研究的實證模擬分析結果發現：整體而言，目前產險業應提存的特別準備金總額大致上已充足，但是，若以各險別應提列的特別準備金額度而言，任意汽車保險有滯留過多的情形，而漁船保險則明顯地不充足，因此，目前應重新估算各險別應提存的特別準備金，暫時以各險可「相互浥注」的概念，使各險種調整至適當的比率，一併轉入「淨值」項下的「特別公積」科目，而「負債」項所剩餘的「特別準備金」餘額應逐年攤銷；建議今後特別準備金必須以「差額補足法」的會計處理方式，並按各個險種「專款專用」為原則。
Much debate has devoted about the issue of the contingency reserve in property insurance companies in Taiwan over the past decades and how to calculate the appropriate amount of the reserve has become a perplexing problem between insurance companies and regulators. This paper conducts the Ruin Theory and comes up with the optimal model for calculating the contingency reserve. By using Monte Carlo Simulation method, we collect four different lines data in Fire, Marine cargo. Fishing vessel and Motor insurance to calculate the optimal contingency reserve ratio in each line. In addition, we examine the effect of different contingency reserve systems on insurance company`s financial statements. Our results imply that owing to the different loss distribution in each line, the different level of risk and the ratio of retention premium to retention claim will indirectly affect the optimal contingency reserve under the identical ruin probability level. Our findings indicate that the overall contingency reserve of property insurance company is sufficient at present, but the amount is not sufficient for each line. For example, the reserve in motor insurance is over-reserved while that in fishing vessel insurance is not adequate. We, therefore; suggest that the contingency reserve should be re-estimated by each line. At present, we suggest to use the "inter-line-compensation" principle to make up the insufficient reserve for different line. However, the contingency reserve should be credited as "special fund" of Surplus when the reserve in each line is at the adequate level and the over-reserved amount of "special claim`s reserve" should be amortized year by year. Moreover, We suggest to applying the "marginal contribution" method for calculating contingency reserve and establish an individual account for the contingency reserve for each line.參考文獻 中文部份：1. 林進田等(民89)，高等產險精算理論與實務，頁156-157。2. 吳坤猛(民81)，壽險公司業主權益運用之研究，政大保研所碩士論文。3. 施南光(民73)，產險業賠款特別準備之研究(以海上貨物運輸險為個案研究)，逢甲保研所碩士論文。4. 凌氤寶(民86)，台灣產物保險業最適資本及盈餘之研究，保險專刊(47)，頁50-63。5. 孫貴珍(民72)，產物保險賠款特別準備金之研究，逢甲保研所碩士論文。6. 產險公會編輯室(民90)，「財產保險特別準備金之探討」座談會，保險大道(25)，頁33-41。7.產物保險統計要覽，民國77~89年，保險事業發展中心。8. 產物保險公司會計實務及處理程序手冊─NAIC，頁166,169，保險事業發展中心。9. 陳雲中(民82)，保險學，頁272~273，五南。10.鄒政下(民80)，保險會計概要，頁161~182，保險事業發展中心。11.鄭丁旺(民90)，中級會計學(第七版)，著者發行。12.鄭濟世召集(民88)，保險法令彙編，保險事業發展中心編印。13.劉元龍(民86)，產險業特別準備金研探，保險專刊(50)，頁193-202。14.二００一年產險市場概況，保發中心－專題與座談，網址：http://www.iiroc.org.tw/search/rb/special/specialnolife/property.htm英文部份：1. Bowers; Gerber; Hickman; Jones; Nesbitt. (1977) “Collective Risk Models Over An Extended Period”, Actuarial Mathematics, pp. 399~430.2. Bratton, John C. (1995) “Risk-Based Capital Rules Put Insurers on the Alert”, National Underwriter 99, pp. 7, 24.3. Borstoff, Steven, 1999, Tax-Deferred Cat Funds Seen, National Underwriter 103, pp. 1, 38.4. Chang, Chiu-Cheng, 2000, Managing Taiwan`s Catastrophic Risk, The Acturial Institute of the republic of china 25, pp. 29~60.5. Cummins, J. David; Freifelder, Leonard R. (1978) “A Comparative Analysis of Alternative Maximum Probable Yearly Aggregate Loss Estimators”, Journal of Risk and Insurance 45, pp. 27-52.6. Cummins, J. David; Richard A. Derrig (1988) Classical Insurance Solvency Theory.7. Durham (1994) Property-Casualty Insurance Accounting, pp. 6-9, 6-15, 18-14.8. Hedges, Bob A., 1987, The Balance Sheet Effects of Insuring Properth at Book Value, Risk Management 34, pp. 54-55,9. Seal, Hilary L., and Hans U. Gerber, 1984, Mixed Poisson Processes and the Probability of Ruin, Insurance: Mathmatics and Economics 3, pp. 189-190.10. Smith, Barry D., 2000, Reserve Pricing in the Property and Casualty Insurance Industry, CPCU Journal 53, pp. 73-74.11. Swiss Re., 2002, Catastrophes in 2001, Sigma. 描述 碩士
國立政治大學
風險管理與保險研究所
89358005資料來源 http://thesis.lib.nccu.edu.tw/record/#A2010000385 資料類型 thesis dc.contributor.advisor 王儷玲 zh_TW dc.contributor.author (Authors) 沈美岑 zh_TW dc.creator (作者) 沈美岑 zh_TW dc.date (日期) 2002 en_US dc.date.accessioned 9-May-2016 16:31:05 (UTC+8) - dc.date.available 9-May-2016 16:31:05 (UTC+8) - dc.date.issued (上傳時間) 9-May-2016 16:31:05 (UTC+8) - dc.identifier (Other Identifiers) A2010000385 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/95561 - 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) 89358005 zh_TW dc.description.abstract (摘要) 有鑑於產險業特別準備金制度爭議已久，應於何時提存或收回似乎已成了保險業界與保險司之間的角力賽。本研究採用傳統精算中破產理論(Ruin Theory)的概念，並觀察火災保險、貨物運輸保險、漁船保險與任意汽車保險等四個不同損失分配的險別進行蒙地卡羅模擬(Monte Carlo Simulation)，得出各個險種最適的特別準備金提存率。本文使人更容易了解因各險種具備的特性不同，在相同的破產機率水準下，會因為危險程度不同以及自留保費收入相對於自留賠款間的關係，間接影響到最適特別準備金的提存額度。 本研究的實證模擬分析結果發現：整體而言，目前產險業應提存的特別準備金總額大致上已充足，但是，若以各險別應提列的特別準備金額度而言，任意汽車保險有滯留過多的情形，而漁船保險則明顯地不充足，因此，目前應重新估算各險別應提存的特別準備金，暫時以各險可「相互浥注」的概念，使各險種調整至適當的比率，一併轉入「淨值」項下的「特別公積」科目，而「負債」項所剩餘的「特別準備金」餘額應逐年攤銷；建議今後特別準備金必須以「差額補足法」的會計處理方式，並按各個險種「專款專用」為原則。 zh_TW dc.description.abstract (摘要) Much debate has devoted about the issue of the contingency reserve in property insurance companies in Taiwan over the past decades and how to calculate the appropriate amount of the reserve has become a perplexing problem between insurance companies and regulators. This paper conducts the Ruin Theory and comes up with the optimal model for calculating the contingency reserve. By using Monte Carlo Simulation method, we collect four different lines data in Fire, Marine cargo. Fishing vessel and Motor insurance to calculate the optimal contingency reserve ratio in each line. In addition, we examine the effect of different contingency reserve systems on insurance company`s financial statements. Our results imply that owing to the different loss distribution in each line, the different level of risk and the ratio of retention premium to retention claim will indirectly affect the optimal contingency reserve under the identical ruin probability level. Our findings indicate that the overall contingency reserve of property insurance company is sufficient at present, but the amount is not sufficient for each line. For example, the reserve in motor insurance is over-reserved while that in fishing vessel insurance is not adequate. We, therefore; suggest that the contingency reserve should be re-estimated by each line. At present, we suggest to use the "inter-line-compensation" principle to make up the insufficient reserve for different line. However, the contingency reserve should be credited as "special fund" of Surplus when the reserve in each line is at the adequate level and the over-reserved amount of "special claim`s reserve" should be amortized year by year. Moreover, We suggest to applying the "marginal contribution" method for calculating contingency reserve and establish an individual account for the contingency reserve for each line. en_US dc.description.tableofcontents 謝辭摘要Abstract目錄表目錄圖目錄第一章 緒論-----1 第一節 研究動機與目的-----1 第二節 研究方法與限制-----3 第三節 研究內容-----4第二章 台灣產險業特別準備金之現況與文獻回-----5 第一節 財產保險特別準備金之意義與目的-----5 第二節 現制特別準備金之計算與法令沿革-----7 第三節 特別準備金之現況分析-----10 第四節 相關文獻回顧-----14第三章 特別準備金會計處理與財務報表之影響-----21 第一節 現制特別準備金會計處理之探討-----21 第二節 特別準備金會計科目之歸屬-----22 第三節 特別準備金會計處理對財務報表之影響-----24 第四節 沖回特別準備金之會計處理-----29第四章 研究方法與限制-----32 第一節 破產理論之運用-----32 第二節 實證研究-----36 第三節 研究結果-----39 第四節 研究限制-----44第五章 結論與建議-----45 第一節 結論-----45 第二節 政策建議-----46參考文獻-----49表目錄表2.2.1 現制特別準備金計算簡表-----8表2.3.1 產險業特別準備金相關比值比較表-----10表2.3.2 國內產險公司特別準備金與清償能力概況表-----13表2.4.1 影響醅款特別準備金提存之因素-----15表2.4.2 特別準備金提撥率在統計上的含意-----16表3.3.1 收回特別準備金對損益表之影響-----24表3.3.2 提存特別準備金對損益表之影響-----25表3.3.3 現制與建議制在損益表之表達-----26表3.3.4 現制特別準備金會計處理在資產負債表之表達-----27表3.3.5 建議制特別準備金會計處理在資產負債表之表達-----28表4.2.1 產險業各險種之自留賠款分配情形-----37表4.3.1 漁船保險特別準備金提存率-----40表4.3.2 火災保險特別準備金提存率-----40表4.3.3 貨物運輸保險特別準備金提存率-----41表4.3.4 任意汽車保險特別準備金提存率-----41表4.3.5 提存（收回）特別準備金模擬情境一《停止提存》-----42表4.3.6 提存（收回）特別準備金模擬情境二《收回》-----43附錄表 現制特別準備金計算詳表-----51圖目錄圖1.1.1 產險業自留賠款與特別準備金變動趨勢圖-----2圖2.3.1 產險業特別準備金成長率趨勢圖-----11圖3.4.1 建議制收回特別準備金之會計處理-----30圖4.2.1 最大可能年度累計損失額模擬結果-----38 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2010000385 en_US dc.subject (關鍵詞) 或有準備金 zh_TW dc.subject (關鍵詞) 特別準備金 zh_TW dc.subject (關鍵詞) 破產理論 zh_TW dc.subject (關鍵詞) 蒙地卡羅模擬 zh_TW dc.subject (關鍵詞) 淨值 zh_TW dc.subject (關鍵詞) Contingency Reserve en_US dc.subject (關鍵詞) Special Claim`s Reserve en_US dc.subject (關鍵詞) Ruin Theory en_US dc.subject (關鍵詞) Monte Carlo Simulation en_US dc.subject (關鍵詞) Surplus account en_US dc.title (題名) 台灣產險業特別準備金與盈餘關係之探討 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文部份：1. 林進田等(民89)，高等產險精算理論與實務，頁156-157。2. 吳坤猛(民81)，壽險公司業主權益運用之研究，政大保研所碩士論文。3. 施南光(民73)，產險業賠款特別準備之研究(以海上貨物運輸險為個案研究)，逢甲保研所碩士論文。4. 凌氤寶(民86)，台灣產物保險業最適資本及盈餘之研究，保險專刊(47)，頁50-63。5. 孫貴珍(民72)，產物保險賠款特別準備金之研究，逢甲保研所碩士論文。6. 產險公會編輯室(民90)，「財產保險特別準備金之探討」座談會，保險大道(25)，頁33-41。7.產物保險統計要覽，民國77~89年，保險事業發展中心。8. 產物保險公司會計實務及處理程序手冊─NAIC，頁166,169，保險事業發展中心。9. 陳雲中(民82)，保險學，頁272~273，五南。10.鄒政下(民80)，保險會計概要，頁161~182，保險事業發展中心。11.鄭丁旺(民90)，中級會計學(第七版)，著者發行。12.鄭濟世召集(民88)，保險法令彙編，保險事業發展中心編印。13.劉元龍(民86)，產險業特別準備金研探，保險專刊(50)，頁193-202。14.二００一年產險市場概況，保發中心－專題與座談，網址：http://www.iiroc.org.tw/search/rb/special/specialnolife/property.htm英文部份：1. Bowers; Gerber; Hickman; Jones; Nesbitt. (1977) “Collective Risk Models Over An Extended Period”, Actuarial Mathematics, pp. 399~430.2. Bratton, John C. (1995) “Risk-Based Capital Rules Put Insurers on the Alert”, National Underwriter 99, pp. 7, 24.3. Borstoff, Steven, 1999, Tax-Deferred Cat Funds Seen, National Underwriter 103, pp. 1, 38.4. Chang, Chiu-Cheng, 2000, Managing Taiwan`s Catastrophic Risk, The Acturial Institute of the republic of china 25, pp. 29~60.5. Cummins, J. David; Freifelder, Leonard R. (1978) “A Comparative Analysis of Alternative Maximum Probable Yearly Aggregate Loss Estimators”, Journal of Risk and Insurance 45, pp. 27-52.6. Cummins, J. David; Richard A. Derrig (1988) Classical Insurance Solvency Theory.7. Durham (1994) Property-Casualty Insurance Accounting, pp. 6-9, 6-15, 18-14.8. Hedges, Bob A., 1987, The Balance Sheet Effects of Insuring Properth at Book Value, Risk Management 34, pp. 54-55,9. Seal, Hilary L., and Hans U. Gerber, 1984, Mixed Poisson Processes and the Probability of Ruin, Insurance: Mathmatics and Economics 3, pp. 189-190.10. Smith, Barry D., 2000, Reserve Pricing in the Property and Casualty Insurance Industry, CPCU Journal 53, pp. 73-74.11. Swiss Re., 2002, Catastrophes in 2001, Sigma. zh_TW
