台灣壽險業作業風險之研究

Operational Risk In Taiwan Life Insurers

陳宣燁(Shiuan-Ye Chen)

指導教授 ： 陳美夙

朝陽科技大學/管理學院/保險金融管理系/碩士(2014年)

摘要

企業經營時面臨諸多風險，如信用風險、國家風險、利率風險、作業風險、市場風險等等之風險，而其中作業風險為近年越來越受重視之一項風險。作業風險實乃為企業不容小觑的風險，其於內外部皆可能發生，且發生的頻率與幅度可大可小，一旦發生損失，則可能會對企業產生巨大的衝擊，對壽險業亦同。
本研究欲了解台灣壽險業目前對作業風險七大類型重要性之排序、與壽險公司在計算RBC時所使用的風險量化模型與資本計提之方式，以及壽險公司在營運流程下可能會面臨的風險為何。本研究透過深度訪談並進行問卷調查後，得到下列結論：
目前壽險業界大多認為最重要的風險類型為外部詐欺，再進一步以市占率區分公司規模大小後，大型規模市占率之壽險公司亦認為外部詐欺為最重要，中型及小型規模市占率之壽險公司則認為客戶、產品和營業行為為最重要。另外，在風險重要性之兩兩相比下，我國壽險公司其風險控管人員對風險類別間重要性的感受是差不多的，即為各類型之作業風險類別都是相等重要的。而在計算RBC的部分，目前壽險公司多使用由下而上法來做風險量化，在資本計提的方面則是標準法較多。

關鍵字

資本計提 ； 風險量化模型 ； 作業風險 ； RBC

並列摘要

The risks to be faced when running an enterprise include credit risk, country risk, interest rate risk, operational risk, market risk, and many more, among them operational risk is gaining more and more attention in recent years. Operational risk is indeed a risk that should not be underestimated because it can happen both internally and externally, its frequency and amplitude can vary in a wide range, and the damage it brings can result in a huge impact to the enterprise. And it is the same case to the life industry.
This research intends to investigate how Taiwanese life industry decides their order of priority for the seven types of operational risk, what risk quantification models and capital requirement methods life insurers use when calculating risk-based capital or RBC, as well as the risks life insurers may encounter in their business process. Through in-depth interviews and questionnaires analysis, the conclusions are as follows:
Currently, the number one threatening risk most of the life insurers think they are facing is external fraud. If divided by market share to differentiate the size of the companies, large-scale life insurers still regard external fraud as the most important risk, while medium and small-scale life insurers consider risks concerning customers, products, and business practice are of primary importance. In addition, under pairwise comparison of the importance of risks, nearly all the risk management personnel in Taiwanese life industry respond with the same answer with regard to the order of priority for the seven types of operational risk; they think every type of operational risk is equally important. And when it comes to RBC calculation, the prevailing methods most life insurers adopt nowadays are the bottom-up method for risk quantification, and the standard method for capital requirements.

並列關鍵字

Risk Quantification ； RBC ； Operational Risk ； Capital Requirements

參考文獻

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中文文獻

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