臺灣博碩士論文加值系統

自從1992年保險業開放以來，保險業進入百家爭鳴的戰國時期，各家保險公司爭食著台灣保險市場這塊大餅。隨著保險市場環境的改變及日趨激烈的競爭環境下，各家保險公司可分享的利潤逐漸減少，若保險公司經營者無法面對問題，提供解決方案，勢必會遭到市場所淘汰。保險業又可分為產險業及壽險業，其因經營險種的特性不同，主要面對的風險也就不同，於是本文分別探討產險業及壽險業的風險承擔。所以本文的兩個研究主題分別為壽險業之資產風險與資本比率間的關係及產險業利用超額賠款再保險來分散巨災風險。
本文第一個研究主題是就1993年至2005年台灣壽險業之資產風險承擔與資本比率間的關係進行分析。過去的文獻對於保險業風險承擔與資本比率間的關係並無一絕對的定論，若利用傳統方法分析，將所有壽險公司混合在一起進行資產風險與資本比率間關係之實證研究，其實證結果易會有扭曲的情形產生，如此一來無法發現影響壽險業資產風險之真正因素，故本文利用Hansen (1999)所提的Panel Data門檻迴歸模型，並以「人壽保險保費收入及年金保險保費收入和佔總保費收入之比率」為門檻變數，將1993年至2005年之壽險公司區分成兩類型，一為偏向經營保障型產品壽險公司，是以傷害保險及健康保險業務為主的壽險公司；另一為偏向經營儲蓄型產品壽險公司，是以人壽保險及年金保險業務為主的壽險公司。
本文第二個研究主題為分析產險業遭遇巨災風險時如何利用再保險的安排來分散風險。本文利用極值理論來計算2001年至2006年T財產保險公司之各險損失分配之尾部指數，讓產險公司經營者知道在遭遇巨災風險或極值事件時，承擔損失金額的多寡，藉此提供產險公司經營者作為決定超額賠款再保險自留額之依據，以提高產險公司的承保能量及穩定損失經驗。
本文的研究結果如下：
一、 本文之門檻變數為「壽險保費收入及年金險保費收入合佔總保費收入比率」並利用Hansen (1999) 所提的門檻效果檢定，發現我國壽險業的經營型態可以區分為兩種類型，一種為「偏向經營保障型產品壽險公司」，是以傷害保險及健康保險業務為主的壽險公司；另一為「偏向經營儲蓄型產品壽險公司」，是以人壽保險及年金保險業務為主的壽險公司。
二、 偏向經營保障型產品壽險公司之資本比率愈大，公司資產風險就愈小；偏向經營儲蓄型產品壽險公司之資本比率愈大，公司資產風險就愈大。
三、 當偏向經營儲蓄型產品壽險公司的資產報酬率增加1%時，其資產風險增加1.7%，當偏向經營保障型產品壽險公司的資產報酬率增加1%時，其資產風險減少29.62%。
四、 壽險公司規模愈大，在不同類型的壽險公司下，對壽險公司之資產風險影響的情況是一致的。代表著公司規模愈大的壽險公司承擔的資產風險愈小。
五、 火災保險賠款、地震保險賠款及颱風洪水保險賠款均具有厚尾性質。而且，GEV模型所計算而得的保險公司可以承擔之最大損失金額都較GPD及小樣本Hill兩種方法來得大，若以此作為衡量超額賠款再保險自留額，對保險公司而言其承擔了較大的經營風險。本文依據保險市場安排再保險、決定自留額的金額及保險業對於巨災風險的定義來看，利用GPD模型來決定超額賠款再保險之自留額較為適當。

The number of insurance company has grown rapidly in Taiwan due to insurance deregulation since 1992. The main challenge insurance industry face is the declination of profit due to the increasing of competitors. The operator of insurance company is able to face this question and offer the solution, then a company has better solvency. So we explore two issue, one is to investigate the relationship between asset risk and capital adjustment decision in Taiwan’s life insurance industry from 1993 to 2005, and the other is to provide some empirical evidences of retention limit of excess of loss reinsurance in Taiwan’s property insurance industry.
In the first issue, a life insurance company is in less risk and has better solvency when it has more capital or higher ratio of capital; however, this also brings higher opportunity cost which means in long run, the average profit will be lower. There is no conclusion how to balance the relationship between capital adjustment and risk taking decision in life insurance industry though this topic is intensively discussed these days. Therefore, with the methodology of panel data threshold regression, we divide life insurance companies into two categories according to “life insurance and annuity insurance premiums to total premiums ratio”. One is life insurance Company of indemnification, and the other is the one of savings. In conclusion, we identify the negative correlation between capital ratio and risk of life insurance company of indemnification and the positive correlation between capital ratio and risk of life insurance company of savings.
In the second issue, because of the increase of natural disaster in Taiwan recently, the property insurance company has to face what the reinsurance companies are not willing to underwriter, so excess of loss reinsurance has become the viable solution in Taiwan’s property insurance industry. We apply extreme value theory to the tail of Taiwan property insurance claim for VaR estimation and calculate retention limit of excess of loss reinsurance. The empirical results show that the distribution of Taiwan property insurance claim is fat-tailed. We suggested using Generalized Pareto Distribution (GPD) to model the data with extreme loss and conclude retention limit of excess of loss reinsurance.

表 目 錄 II
圖 目 錄 III
圖 目 錄 III
第一章 緒論 1
第一節 研究動機 1
第二節 研究架構 7
第二章 壽險業資產風險承擔與資本比率間的關係 8
第一節 背景介紹與實證文獻探討 8
第二節 門檻迴歸實證模型介紹 13
第三節 實證變數說明 22
第四節 實證資料分析 26
第五節 實證結果分析 29
第六節 小結 36
第三章 超額賠款再保險自留額決定之研究 39
第一節 背景介紹 39
第二節 超額賠款再保險介紹 44
第三節 文獻回顧 48
第四節 極值理論之參數估計方法 51
第五節 極值理論之非參數估計方法 56
第六節 實證資料分析 62
第六節 極值理論估計結果 68
第七節 小結 75
第四章 結論 77
參考文獻 80

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