台灣產險業資本要求有效性之模擬研究

傳統的保險公司資本要求額是個定值，美國目前採用的是風險基礎資本(RBC)，而銀行業及證券業則開始採納涉險值(VaR)。本文的目的是探討這三種資本要求對台灣產險公司所能提供的破產預警能力。我們根據台灣市場的特性，模擬一間有代表性的產險公司其未來的財務狀況並計算相對應的資本要求，然後比較各種資本要求破產預警的能力。模擬結果顯示固定最低資本額要求的效力最差，有最高的型一及型二錯誤率。RBC與VaR的破產預警能力則互有高低，VaR雖然有較高的整體預測正確率，發出假警報的機會也比較少，但較不能事前偵測出會破產的產險公司。
關鍵字：保險監理、資本要求、風險基礎資本、涉險值

A Simulation Study on the Effectiveness of Alternative Capital Requirements in the Property-Casualty Insurance Industry of Taiwan

　　　　　　　　　　　　　　　　　　　　　　　(Chenghsien Tsai)*(Shih-Yun Liao)

Conventional minimum capital requirements for insurance are constant. The United States shifted to risk-based capital requirement(RBC) in the 1990s, while value at risk (VaR) became prevalent in the banking and securities industries recently. The purpose of this paper is to examine the effectiveness of the above three capital requirements in providing early warnings against insolvencies for the property-casualty insurance industry in Taiwan. We simulate financial positions for a representative insurer based on the historical financial markets in Taiwan, calculate alternative capital requirements, and then compare their early warning capabilities. Our results show that the fixed minimum capital requirement is the worst among the three because it has the highest type I and type II error rates and the lowest hit ratio. RBC and VaR on the other hand have similar prediction accuracy: VaR has higher hit ratio and lower type II error rate but has higher type I error rate.

Keywords: solvency regulation, capital requirements, risk-based capital, value at risk