保險公司之營運影響到保戶的權益及社會金融之安定,因此我國於2003年7月正式從美國引進風險基礎資本額制度(Risk-Based Capital, RBC)。此制度實施主要目的在於強化保險公司之財務能力並有效監管保險公司之風險狀況。除反映保險公司之經營風險外,RBC制度對於保險公司面臨風險所需之資本提供了更適切的規範,並使監理機關可以藉此及早發現體質較弱之保險公司,並採取適當之監理行動。 本文以1997年至2008年台灣曾存續之壽險公司財務資料為樣本,首先探討台灣壽險公司在RBC制度實施前後,資產配置是否確實發生改變,以驗證RBC制度對於壽險業者的資金配置策略有無影響力。接著探討RBC制度實施之後,不同類型之壽險公司,資產風險之變化有何異同,最後再以迴歸模型檢測影響壽險公司投資風險之變數,瞭解各變數之影響性與顯著性。 研究結果顯示,RBC制度實施前後台灣壽險公司各項資產之平均配置比例有顯著的不同;迴歸模型結果亦顯示,RBC制度之實施與投資風險具有反向關係,意旨RBC制度之實施確實降低了壽險公司之投資風險。而以RBC制之風險公式為假設計算之資產風險配合上迴歸模型發現,外商壽險公司之資產風險與投資風險相對於本土公司為低;可運用資金規模大者投資風險亦較低。此外,市佔率高、獲利率佳之壽險公司資產風險雖高於產業平均,但其整體獲利表現亦較好。針對體質較弱之壽險公司,RBC制度實施後,資產風險並未有下降之趨勢,且其與投資風險呈正向關係,顯示體質較弱之壽險公司投資風險較高,且在RBC制度實施後資產風險並未有明顯改善。
The operations of insurance companies have profound impact on insured, society and financial stability. To strengthen the financial capability and to predict the probability of insolvency, Risk-based capital (RBC) has been implemented as an important regulatory tool for the insurance industry in Taiwan since 2003. Not only reflects the risk of insurer’s business, it also provides a more suitable regulator of capital standard. Moreover, it lets the regulator be able to apply this tool to discover the insurance companies with weak financial management and take the suitable actions. The database of this paper is the financial annual report of life insurance industry in Taiwan from 1997 to 2008. The main purpose of this paper is to verify if the implementation of RBC had changed the asset allocation of the insurance industry. In addition, we examine if companies in diverse types and financial conditions are influenced in varying degrees. Furthermore, we also detected variables which might affect the investment risk of insurance companies through regression model. The results suggest that the life insurers’ asset allocation has significantly changed after RBC and it lowers the investment risk of life insurers as well. Other detection appeared that: For life insurers, sizes of investment portfolio and company types have an important impact on their asset risk and investment risk. The empirical finding shows that there is lower asset risk and investment risk in the foreign insurers than domestic insurers; also lower investment risk in the insurers which has large portfolio size. For good business condition’s companies, they have higher asset risk, but also higher return. Weak insurers have investment risk as strong insurers; however, do not have high returns as well. It interprets that RBC’s implementation doesn’t improve week insurers into a better condition.