風險因子相關性與產險公司資本要求

核保風險、投資風險及費用風險為產險公司經營的主要風險，現行對產險公司所採行之風險基礎資本（Risk Based Capital, RBC）規範，無法完全反映產險公司經營的風險，也忽略了各風險因子間的相關結構。因此，本文藉由不同copula函數捕捉產險公司各種風險因子間的尾部相關結構，以風險值（Value at Risk）來估計產險公司在不同信心水準下應提存的資本水準。結果顯示我國上市產險公司所面臨的各種風險因子間存在尾部非線性相關結構，同時我們也發現若以歐盟保險人清償能力計畫（Solvency II）所提倡之內部模型來訂定我國產險公司的資本要求時，所有上市產險公司目前的自有資本均明顯高於以內部模型估計之資本要求，表示台灣現行對於產險業的資本規範可能過於保守。

關鍵字

核保風險；投資風險；費用風險；相關結構；風險值；資本要求

並列摘要

The capital standard under the current risk-based capital (RBC) approach can not reflect the real risks faced by property-casualty insurance companies (P&C insurance companies). The RBC approach also cannot take into account the effect of correlation structure among the risks faced by P&C insurance companies. This study applies different types of copulas to measure the effects of tail correlation among underwriting risk, investment risk and expense risk on capital requirements of P&C insurance companies. The result shows that there exists high tail correlation among risks of P&C insurance companies. We also find that the capital requirement calculated under the internal model-based approach is lower than the capital required calculated under the current RBC approach. It indicates the current capital standard is too conservative in the Taiwan P & C industry.