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題名 風險基礎資本制度實施後對壽險業投資行為及業務的影響 作者 陳芝宇 貢獻者 陳威光
蔡政憲
陳芝宇關鍵詞 壽險業;投資行為;業務配置;風險基礎資本額制度;
risk-based capital ;investment behavior ;operations ;life insurance industry;日期 2003 上傳時間 11-Oct-2018 09:31:38 (UTC+8) 摘要 中文摘要 由於投資環境日益複雜，保險業者的新業務也日益增加，傳統的固定資本制已無法應付此等變革。為監理效率的提昇，美國保險監理協會（National Association of Insurance Commissioners, NAIC）於 1993 年實施風險基礎資本額制（Risk-Based Capital, RBC）。我國保險業也將於民國92年實施RBC制度，針對保險公司各項投資資產部位要求提存足夠之資本，以增進保戶之權益及強化保險公司資本適足性。 本文檢視美國實施RBC前後12年，保險人資產配置及其業務的發展的變化。觀察RBC是否達到其預期的功能。結果發現，RBC實施後，在投資資產方面保險人減少風險較高的投資資產並增加債券的投資部位；由於獲利率的需求，保險人亦減少現金的持有量。在業務方面，傳統業務日漸減少；保險人發展新的業務。不同型態之保險人有不同的投資行為及業務配置。關鍵字：壽險業、投資行為、業務配置、風險基礎資本額制度
Abstract The risk-based capital requirement developed by the National Association of Insurance commissioners (NAIC) was intended to place a floor on the amount of capital that an insurance company could hold without triggering regulatory attention. This risk-based capital model law grants automatic authority to the state insurance regulator to take specific actions on the level of impairment. The paper examines the impact of RBC on insurer investment behavior and operations. We use t-test, ordinary least squares regression, SYSLIN with seemingly unrelated regression (SUR), and Time Series Cross Section Regression (TSCSR) to analyze the relationship between insurer response and RBC. The results suggest that RBC does affect insurer behavior in investment and operations. After RBC has taken effect, the insurer increases their bond holding while decreasing other higher risk assets. An insurer that increases new lines of business decreases conventional businesses. The organizational form of the company, the number of insurers licensed, group structure, and size affect insurer investment behavior and operations. The business type (mutual or stock), breadth of operations (local or national), affiliation, company size (investment capital and insurance amount) all have an effect on investment behavior and business growth.Keywords: risk-based capital, investment behavior, operations, life insurance industry.參考文獻 ReferencesAggarwal, R. and K. T. Jacques, 2001, The Impact of FDICIA and Prompt Corrective Action on Bank Capital and Risk: Estimates Using A Simultaneous Equations Model, Journal of Banking and Finance, 25:1139-1160.Atchinson, B. K.,1996, The NAIC’s Risk Based Capital System, NAIC Research Quarterly, October 1996, pp.1-9.Barth, M., 1995, RBC Ratio Results by Size, NAIC Research Quarterly, January 1995, pp.25-34.Barth, M., 1995, Life Insurance Companies’ Risk-Based Capital Distributions by Size Group, NAIC Research Quarterly, January 1995, pp.35-38.Barth, M., 1995, Ranking Insurers by RBC Results: Still Not Such A Smart Move, NAIC Research Quarterly, January 1995, pp.46-55.Colquitt, L., D. W. Sommer, and N. H. Godwin, 1999, Determinates of Cash Holdings by Property-Liability Insurers, Journal of Risk and Insurance, 66:401-415Cummins, J. D. and D. W. Sommer, 1996, Capital and Risk in Property-Liability Insurance Markers, Journal of Banking and Finance, 20:1069-1092Davies, S. M. and D. A. McManus, 1991, The Effects of Closure Policies on Bank Risk-Taking, Journal of Banking and Finance, 15:917-938Dicke, A. A., 1998, Comparison of Methods for Fair-Value Life Insurance Liabilities, The Fair Value of Insurance Liabilities edited by Vanderhoof, I. and Altman, E. (BOSTON:KLUWER ACADEMIC PUBLISHERS) Ediz, T., I. Michael, and W. Perraudin, 1998, The Impact of Capital Requirements on U.K. Bank Behavior, FRBNY Economic Policy Review, 10:15-22Furlong, F. T., 1992, Capital Regulation and Bank Lending, Economic Review, Number 3, 23-33, Federal Reserve Bank of San Francisco.Garcia, G., 1995, Implementing FDICIA’s Mandatory Closure Rule, Journal of Banking and Finance, 19:723-725Harley, E. R. Jr., and C. D. Schellhorn, 2000, Life Insurer Cost Efficiency Before and After Implementation of the NAIC Risk-Based Capital Standards, Journal of Insurance Regulation, 18:362-384Haubrich, J. G. and P. Wachtel, 1993, Capital Requirements and Shifts in Commercial Bank Portfolios, Economic Review, Federal Reserve Bank of Cleveland 29 (3) : 2-15.Jacques, K. and P. Nigro, 1997, Risk-Based Capital, Portfolio Risk, and Bank Capital: A Simultaneous Equations Approach, Journal of Economic and Business, 49:533-547.Jasper, C., The Challenges of Verifying Life Risk-Based Capital Results, NAIC Research Quarterly, October 1996, pp.37-44.Kaufman, G. G., 1995, FDICIA and Bank Capital, Journal of Banking and Finance, 19:721-722 Lee, Soon-Jae, D. Mayers, and C. W. Smith, Jr., 1997, Guaranty Funds and Risk-Taking Evidence from the Insurance Industry, Journal of Financial Economics, 44:3-24NAIC, April 1996, 1995 RBC Results-Life/Health, NAIC Research Quarterly, pp.56-60NAIC, April 1997, Life Risk-Based Capital Results for 1996, NAIC Research Quarterly, pp.36-40NAIC, Winter 2000, Life RBC Industry Results for 1999, NAIC Research Quarterly, pp.12-17Pottier, W. S., 1998, Life Insurer Financial Distress, Best’s Ratings and Financial Ratios, Journal of Risk and Insurance, 65:275-288Schott, F. H., 1993, The Life Insurance Industry in Mid-1993, Business Economics, October, pp.15-20Wall, L. D. and P. P. Peterson, 1996, Banks’ Responses to Binding Regulatory Capital Requirements, Economic Review, March/April, pp.1-15 描述 碩士
國立政治大學
風險管理與保險學系
91資料來源 http://thesis.lib.nccu.edu.tw/record/#G91NCCV4992012 資料類型 thesis dc.contributor.advisor 陳威光 dc.contributor.advisor 蔡政憲 dc.contributor.author (Authors) 陳芝宇 dc.creator (作者) 陳芝宇 dc.date (日期) 2003 dc.date.accessioned 11-Oct-2018 09:31:38 (UTC+8) - dc.date.available 11-Oct-2018 09:31:38 (UTC+8) - dc.date.issued (上傳時間) 11-Oct-2018 09:31:38 (UTC+8) - dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/120481 - dc.description (描述) 碩士 dc.description (描述) 國立政治大學 dc.description (描述) 風險管理與保險學系 dc.description (描述) 91 dc.description.abstract (摘要) 中文摘要 由於投資環境日益複雜，保險業者的新業務也日益增加，傳統的固定資本制已無法應付此等變革。為監理效率的提昇，美國保險監理協會（National Association of Insurance Commissioners, NAIC）於 1993 年實施風險基礎資本額制（Risk-Based Capital, RBC）。我國保險業也將於民國92年實施RBC制度，針對保險公司各項投資資產部位要求提存足夠之資本，以增進保戶之權益及強化保險公司資本適足性。 本文檢視美國實施RBC前後12年，保險人資產配置及其業務的發展的變化。觀察RBC是否達到其預期的功能。結果發現，RBC實施後，在投資資產方面保險人減少風險較高的投資資產並增加債券的投資部位；由於獲利率的需求，保險人亦減少現金的持有量。在業務方面，傳統業務日漸減少；保險人發展新的業務。不同型態之保險人有不同的投資行為及業務配置。關鍵字：壽險業、投資行為、業務配置、風險基礎資本額制度 dc.description.abstract (摘要) Abstract The risk-based capital requirement developed by the National Association of Insurance commissioners (NAIC) was intended to place a floor on the amount of capital that an insurance company could hold without triggering regulatory attention. This risk-based capital model law grants automatic authority to the state insurance regulator to take specific actions on the level of impairment. The paper examines the impact of RBC on insurer investment behavior and operations. We use t-test, ordinary least squares regression, SYSLIN with seemingly unrelated regression (SUR), and Time Series Cross Section Regression (TSCSR) to analyze the relationship between insurer response and RBC. The results suggest that RBC does affect insurer behavior in investment and operations. After RBC has taken effect, the insurer increases their bond holding while decreasing other higher risk assets. An insurer that increases new lines of business decreases conventional businesses. The organizational form of the company, the number of insurers licensed, group structure, and size affect insurer investment behavior and operations. The business type (mutual or stock), breadth of operations (local or national), affiliation, company size (investment capital and insurance amount) all have an effect on investment behavior and business growth.Keywords: risk-based capital, investment behavior, operations, life insurance industry. dc.description.tableofcontents ContentsⅠ. Introduction 1Ⅱ. Research Design and Variables 72.1 Research design 72.2 Dependent variable 72.3 Explanatory variables 92.4 Macroeconomic variables 112.5 Year dummy 12Ⅲ. Methodology and Sample Selection 133.1 Methodology 133.2 Sample selection 14Ⅳ. Empirical Results 164.1 T test 164.2 Ordinary least squared regression 164.3 SYSLIN results 194.4 TSCSREG Results 19Ⅴ. Conclusion 21References 32Appendix 35 dc.format.extent 115 bytes - dc.format.mimetype text/html - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G91NCCV4992012 dc.subject (關鍵詞) 壽險業;投資行為;業務配置;風險基礎資本額制度; dc.subject (關鍵詞) risk-based capital ;investment behavior ;operations ;life insurance industry; dc.title (題名) 風險基礎資本制度實施後對壽險業投資行為及業務的影響 dc.type (資料類型) thesis dc.relation.reference (參考文獻) ReferencesAggarwal, R. and K. T. Jacques, 2001, The Impact of FDICIA and Prompt Corrective Action on Bank Capital and Risk: Estimates Using A Simultaneous Equations Model, Journal of Banking and Finance, 25:1139-1160.Atchinson, B. K.,1996, The NAIC’s Risk Based Capital System, NAIC Research Quarterly, October 1996, pp.1-9.Barth, M., 1995, RBC Ratio Results by Size, NAIC Research Quarterly, January 1995, pp.25-34.Barth, M., 1995, Life Insurance Companies’ Risk-Based Capital Distributions by Size Group, NAIC Research Quarterly, January 1995, pp.35-38.Barth, M., 1995, Ranking Insurers by RBC Results: Still Not Such A Smart Move, NAIC Research Quarterly, January 1995, pp.46-55.Colquitt, L., D. W. Sommer, and N. H. Godwin, 1999, Determinates of Cash Holdings by Property-Liability Insurers, Journal of Risk and Insurance, 66:401-415Cummins, J. D. and D. W. Sommer, 1996, Capital and Risk in Property-Liability Insurance Markers, Journal of Banking and Finance, 20:1069-1092Davies, S. M. and D. A. McManus, 1991, The Effects of Closure Policies on Bank Risk-Taking, Journal of Banking and Finance, 15:917-938Dicke, A. A., 1998, Comparison of Methods for Fair-Value Life Insurance Liabilities, The Fair Value of Insurance Liabilities edited by Vanderhoof, I. and Altman, E. (BOSTON:KLUWER ACADEMIC PUBLISHERS) Ediz, T., I. Michael, and W. Perraudin, 1998, The Impact of Capital Requirements on U.K. Bank Behavior, FRBNY Economic Policy Review, 10:15-22Furlong, F. T., 1992, Capital Regulation and Bank Lending, Economic Review, Number 3, 23-33, Federal Reserve Bank of San Francisco.Garcia, G., 1995, Implementing FDICIA’s Mandatory Closure Rule, Journal of Banking and Finance, 19:723-725Harley, E. R. Jr., and C. D. Schellhorn, 2000, Life Insurer Cost Efficiency Before and After Implementation of the NAIC Risk-Based Capital Standards, Journal of Insurance Regulation, 18:362-384Haubrich, J. G. and P. Wachtel, 1993, Capital Requirements and Shifts in Commercial Bank Portfolios, Economic Review, Federal Reserve Bank of Cleveland 29 (3) : 2-15.Jacques, K. and P. Nigro, 1997, Risk-Based Capital, Portfolio Risk, and Bank Capital: A Simultaneous Equations Approach, Journal of Economic and Business, 49:533-547.Jasper, C., The Challenges of Verifying Life Risk-Based Capital Results, NAIC Research Quarterly, October 1996, pp.37-44.Kaufman, G. G., 1995, FDICIA and Bank Capital, Journal of Banking and Finance, 19:721-722 Lee, Soon-Jae, D. Mayers, and C. W. Smith, Jr., 1997, Guaranty Funds and Risk-Taking Evidence from the Insurance Industry, Journal of Financial Economics, 44:3-24NAIC, April 1996, 1995 RBC Results-Life/Health, NAIC Research Quarterly, pp.56-60NAIC, April 1997, Life Risk-Based Capital Results for 1996, NAIC Research Quarterly, pp.36-40NAIC, Winter 2000, Life RBC Industry Results for 1999, NAIC Research Quarterly, pp.12-17Pottier, W. S., 1998, Life Insurer Financial Distress, Best’s Ratings and Financial Ratios, Journal of Risk and Insurance, 65:275-288Schott, F. H., 1993, The Life Insurance Industry in Mid-1993, Business Economics, October, pp.15-20Wall, L. D. and P. P. Peterson, 1996, Banks’ Responses to Binding Regulatory Capital Requirements, Economic Review, March/April, pp.1-15
