SOLVENCYⅡ新規定下保險公司清償能力對經營績效影響之研究

The Impact of Solvency Capacity on Insurance Company Performance Under SOLVENCY II Regulation

陣有展(Yu-Chan Chen)

指導教授 ： 胡宜仁

共同指導教授 ： 林景春(Gin-Chung Lin)

淡江大學/商管學院/財務金融學系碩士在職專班/碩士(2013年)

https://doi.org/10.6846/TKU.2013.01263

摘要

保險公司屬於高度財務槓桿的行業，負債比平均都在90%以上，再加上其日資料取得困難，無法直接使用KMV模型資產負債比率做為評價基礎，因此本文使用SolvencyⅡ最佳估計負債的估計與責任準備金作為償債能力選擇權計價基礎。
　　實證發現，金融危機發生對於保險公司的清償能力有顯著的影響，且往往在景氣好時增加各項費用支出，因此遇到危機之後無法立即減少營業成本造成風險提高。此外，表現越佳的保險公司能夠維持較佳的清償能力。
　　在保險公司績效相關性方面，高流動比與速動比的保險公司對應的清償能力最佳，也反映台灣保險公司高清償能力即具有高流動速動比的良好體質。此外，保險公司當期的投資績效（ROI）與清償能力較無相關，由於投資績效與資產面與現有景氣環境影響較大，與準備金以及保險公司最佳估計負債相關性較小，因此主管機關須考慮同時進行資產與負債端的監理，能確保保險公司在大波動的景氣環境下維持良好的償債與資產配置能力。

關鍵字

SOLVENCYⅡ ； 清償能力 ； 保險監理 ； 保險公司績效

並列摘要

Life insurance industry are under high financial leverage ratio, most companies’ debt ratio are over 90%, so we can’t use KMV model to evaluate the companies’ performance and solvency, because it’s really hard to obtain the daily data; therefore we evaluate solvency option by taking best estimate of liabilities (BEL) under Solvency II and life insurance reserves for our theoretical foundation in the paper.

　　From our empirical results, we find that financial crisis has significant effect for insurance companies’ solvency, they can’t immediately reduce operating costs when financial crisis happens because they increase expense when economic booms, hence increasing their risk. Moreover, insurance companies which have better performance always have better solvency.

　　Testing insurance companies performance ratios，we find that companies have high current ratio and high quick ratio perform best solvency, the result shows that insurance companies have such characteristic in Taiwan. And we also find that ROI has lower correlation with solvency. ROI and assets depend on the economic circumstances at that time, and they have lower correlation with reserves and BEL, too. So in our results, we recommend our competent authority, like financial supervisory commission, has to supervise assets and debts in the same time, and it will make sure that insurance companies can maintain high solvency and better asset allocation under uncertain economic circumstances.

並列關鍵字

SOLVENCYⅡ ； Solvency ； Insurance Supervision ； Insurance Company Performance

參考文獻

3. 林庭宇(2006)，世界主要國家風險基礎資本額之比較研究，淡江大學保險學系　

4. 林克儂(2008)，從國際觀點探討我國保險監理風險資本額制度，淡江大學保險

3. 《國家政策研究基金會》　http://www.npf.org.tw/

18. 譚雅蓁(2009)，保險業清償能力制度之探討－以歐盟SolvencyⅡ為例，國

1. Alexander Braun, Hato Schmeiser, and Caroline Siegel(2013), The Impact of