產險業海外投資之風險管理方法與應用

本文探討產險公司進行海外投資組合風險值及信用風險評估並求出自有資本，同時也應用風險基礎資本(RBC)方法求算，並將結果做一比較。以VaR方式來計算海外投資的風險值時，可針對模型的績效進行測試，而以RBC求算時，係依不同的信用等級給予不同的權數來計算，但此權數之合理性會影響到評估結果，故以風險值(VaR)做為內部控管的模式在實務上可彌補RBC風險控管方式的不足，而本文的實證方法可做為未來產險公司大舉進行海外投資時的風險評估及自有資本準備的參考。
關鍵字：風險值、蒙地卡羅法、RBC、投資組合
The Theory and Application of Risk Management of
Foreign Investment for Non-Life Insurance Company
Abstract
This paper investigates the evaluation of VaR and credit risk for foreign investment by non-life insurance companies. Furthermore, calculate the minimum capital requirements and compare it with Risk Based Capital (hence RBC) system. Via VaR model, the performance of which can be tested. However, the RBC system calculates the risk by way of different credit ratings and weights. Whether or not the weights are reasonable will affect the adequacy of evaluation.
In practice, management of the internal risk by using VaR may serve as an auxiliary tool of RBC system. As a result, our empirical outcome will provide a reference for the evaluation of foreign investment risk for the non-life insurance company.
Keywords: VaR; Monte Carlo Simulation; RBC; portfolio