檢視保險公司在無立即糾正措施下投機主義之研究

Testing for the Opportunism of Insurance Companies under Non-Prompt Corrective Action Environment

張志宏(Chih-Hung Chang)

《風險管理學報》 16卷1期 (2014/06) Pp. 41-58

摘要

台灣自2004年實施保險業風險基礎資本額制度，但缺乏弱體保險公司進行立即糾正措施，形成所謂的「金融監理寬容」現象。本研究內容係檢驗國內弱體壽險公司是否利用安定基金制度及在金融監理寬容期間，增加資產風險來提高隱含選擇權價值傾向。本研究發展弱體公司在風險性質產投資具有非常顯著正相關，符合道德風險、風險補貼與反射效應假學說，其次發現高風險商品會增加資產風險，以及主管機關接管、金嵥海嘯衝擊與外商公司為大股東者，會使公司風險性質產投資比率降低，證實無法規監管成本、商品風險、金融集團大股東之監控能力與外在經濟因素確實會顯著影響公司的投資決策。

關鍵字

風險基礎基本額 ； 立即糾正措施 ； 弱體保險公司 ； 風險貼補 ； 資產風險

並列摘要

The Financial Supervisory Commission R.O.C. adopted insurer risk-based capital (RBC) formula that became effective in January 2004. However, the regulatory forbearance is derived since regulators haven’t taken any prompt corrective action to deal with weak insurers even if their capitals fell below specified levels. In this paper we emphasize the opportunistic behaviors of weak insurers under regulatory forbearance. We investigate that weak insurers would have greater risk-taking incentives due to guarantee fund with fixed rate. Our evidences show that a very strong support for weak (and high leveraged) insurers exists with high tendency in asset risk. It is consistent with moral hazard, risk-subsidy and reflection effect theories. We also find that regulatory pressure, product risk, the monitoring power of financial group and external economic factors affect the investment decision of weak insurers very well.

並列關鍵字

RBC ； prompt corrective action ； weak insurers ； risk-subsidy ； asset risk

參考文獻

張士傑(2014)。臺灣保險市場發展、監理與評論。台灣金融研訓院。

藍尉倫(2008)。所有權結構與銀行的風險承擔(碩士論文)。逢甲大學風險管理與保險學系。

Saunders, Anthony,Strock, Elizabeth,Travlos, Nickolaos G.(1990).Ownership Structure, Deregulation, and Bank Risk Taking.The Journal of Finance.45(2),643-654.

VanHoose, David(2007).Theories of Bank Behavior under Capital Regulation.Journal of Banking and Finance.31,3680-3697.

Baranoff, Etti G.,Sager, Thomas W.(2002).The Relations among Asset Risk,Product Risk, and Capital in the Life Insurance Industry.Journal of Banking and Finance.26,1181-1197.