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研究生:陳祈嘉
研究生(外文):CHEN,CHI-CHIA
論文名稱:RiskManagement&Strategy:AStudyofFeasibilityofProtectedCellCompany-TheCaseofTaiwanNon-LifeInsuranceIndustry
指導教授:陳彩稚陳彩稚引用關係
指導教授(外文):Chen,Tsai-Jyh
學位類別:碩士
校院名稱:國立政治大學
系所名稱:風險管理與保險研究所
學門:商業及管理學門
學類:風險管理學類
論文種類:學術論文
畢業學年度:93
語文別:英文
論文頁數:97
中文關鍵詞:隔離資產型風險防護公司再保險專屬保險風險理財風險成本
外文關鍵詞:Protected Cell Company (PCC)ReinsuranceCaptive InsuranceRisk FinanceCost of Risks
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台灣產險公司正面臨日趨多樣的核保風險,新興風險的不確定性促使保險公司經理人高度的依賴再保險機制。既然保險公司高度的依賴再保險機制,或許有人會質疑,再保險機制是否為最適的風險管理策略?

隔離資產型風險防護公司(Protected Cell Company, PCC)之運用,乃是近年來企業風險理財的重大變革之一,本文之目的即是要探討PCC之架構以及分析PCC運用於台灣產險業之可行性。 本文將分析重點放在PCC運用在租賃性專屬保險(rent-a-captive)的可行性分析上,藉由分析其風險成本,來探討PCC作為租賃性專屬保險時,是否比商業再保更具有成本效益。

藉由實證分析結果,本文發現除了巨災風險、尖端風險(peak risks)及其他具高損失幅度可能性之業務外,PCC作為租賃性專屬保險時,PCC會比商業再保更適合於產險公司。本文亦發現PCC運作的時間愈長,愈能節省其風險成本。此外,本分析亦指出在PCC為純粹專屬保險的前題下,符合監理機關的最低設立資本要求會是PCC之最適設立資本。
Because Taiwan’s non-life insurance companies now face an increasing array of underwriting-risks, the high uncertainty may cause insurance company managers highly depend on reinsurance mechanism. One may doubt that whether reinsurance mechanism is the optimal risk management strategy although it is the most frequently utilized approach.

The purpose of this paper is to explore the structure of PCC and analysis the feasibility of PCC for Taiwan’s non-life insurance industry because the use of Protected Cell Company(PCC)structure is one of the most significant developments in the world of corporate finance and risk management during the recent years. This paper will focus on the feasibility of PCC when it is used as Rent-A-Captive, based on the analysis of cost of risks, to study whether PCC has better cost efficiency than reinsurance mechanism.

The finding of this research shows that PCC as rent-a-captive is more suitable than commercial reinsurance for non-life insurance company except catastrophe risks, peak risks, and high loss severity business. It also finds the longer we use PCC as rent-a-captive, the more we can save its cost of risks. Besides, the analysis indicates that paid-up capital of PCC which just meets the minimum capital required by the regulation will be optimal in case PCC is a pure captive.
Chapter One:Introduction……………………………………………… 3
<1> Study motives……………………………………………………….3
<2> Study objectives……….………………………………………… 6
<3> Conceptual framework………………………………………………6
Chapter Two:Literature Review…………………………………………8
<1> Why is risk costly to insurance company…………………… 8
1.1 CAPM theory ……………………………………………………8
<2>The reasons why risk is costly to insurance company …… 9
2.1 Tax effect-convex……………………………………………19
2.2 Cost of financial distress ………………………………11
2.3 Agency cost………………………………………………… 11
2.4 Cost of external financing……………………………………… 13
<3> The cost of risks to insurers ……………………………… 14
3.1 Concept of cost of risks …………………………………14
3.2 Components of the costs of underwriting/pure
risks of non-life insurance company ………………… 16
<4> Assessment of risk management strategy ……………………19
Chapter Three:A Study of Protected Cell Company …………… 20
<1> Concept of Protected Cell Company……………………………20
<2> Development of Protected Cell Company………………………22
<3> Definition of Protected Cell Company……………………… 25
<4> Characteristics of Protected Cell Company…………………29
<5> Usage of Protected Cell Company………………………………32
<6> Advantage and disadvantage of Protected Cell Company… 37
6.1 Advantage………………………………………………………37
6.2 Disadvantage.…………………………………………………40
<7> Conclusion………………………………………………………… 42
Chapter Four:Methodology………………………………………………44
<1> Assessment of risk management strategy
-comparing its cost of risks ……………………………… 44
<2> Evaluation the cost of risks for PCC and commercial
reinsurance…………………………………………………………46
2.1 Evaluation the cost of risks for commercial
reinsurance……………………………………………………46
2.2 Evaluation the costs of risks for using PCC as
rent-a-captive…………………………………………… 48
2.3 The cost of risks which PCC can decrease…………… 50
2.4 Illustration of comparing the cost of risks of
PCC with commercial reinsurance…………………………51
<3> Empirical analysis for the difference in cost of risk
between PCC as rent-a-captive and commercial
reinsurance ……………………………………………………… 55
3.1 Introduction………………………………………………… 55
3.2 Research assumptions……………………………………… 56
<4> Definitions of variables……………………………………… 62
<5> Data collection……………………………………………………64
<6> Simulation of scenarios…………………………………………66
Chapter Five:Empirical Analysis…………………………………… 70
<1> Overview of empirical results…………………………………70
<2> Factor analysis for empirical results………………………78
2.1 Factor analysis for empirical results of scenario1 78
2.2 Additional results for empirical analysis of
variance scenarios …………………………………………80
2.2.1 Ceding term and condition………………………………80
2.2.2 Retrocession……………………………………………….83
2.2.3 Operation period………………………………………… 86
2.2.4 Paid-up capital……………………………………………89
2.2.5 Conclusion………………………………………………… 90
Chapter Six:Conclusion…………………………………………………92
Reference……………………………………………………………………94
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