研究生(外文):Pai, Ching-Yu 論文名稱:監理干預對於人壽保險公司違約風險之評估分析 論文名稱(外文):Analysis of Regulatory Intervention on the Default Risk of Life Insurance Companies 指導教授:張士傑 指導教授(外文):Chang, Shih-Chieh 學位類別:碩士 校院名稱:國立政治大學 系所名稱:風險管理與保險學系 論文出版年:2021 語文別:中文 論文頁數:35 論文摘要
我國壽險業在持有大量長期負債的情況下，為獲得足夠的收益率而將大部分資金投資於海外部位，使保險人需承擔極大的匯率風險。近期，由於新冠肺炎的影響，國內外投資利率降低、新台幣升值造成匯損以及IFRS17的引入，皆為壽險業帶來不少影響。為了維持金融體系的穩定，主管機關應謹慎控管保險人的違約風險。故本研究以財團法人保險安定基金（以下簡稱，保險安定基金或安定基金）風險保費作為衡量保險公司違約風險之標準，將利率與匯率的不確定性及相關性納入評價模型，觀察監管干預行為對於提前接管、財務稽核期與監理寬容期間保險人違約風險的影響。本研究將詳細釐清：(1)限期增資計畫對於安定基金風險保費之影響；(2)限縮投資風險對於安定基金風險保費之影響；(3)比較兩項監管干預措施對於不同階段風險保費之影響。
研究結果表明：(1)在限期增資計畫中，當保險人增資金額達一定比例時，將能有效降低保險人在財務稽核時期與監理寬容期間的違約風險；(2)限縮投資風險會提高保險人在財務稽核期違約的機率，但仍能降低監理寬容期的風險，整體而言風險保費將緩慢降低；(3)兩種監管干預的行為皆能使保險安定基金風險保費下降，而就風險保費各個組成部分來說，對於降低財務稽核期部分的風險保費，限期增資計畫較限縮投資風險更為有效，而對降低監理寬容期部分的風險保費，限縮投資風險比限期增資計畫較有效。故本研究認為對於控管壽險公司違約風險而言，監理機關應視其財務結構、資產風險以及在不同監管干預措施下所帶來的影響，為保險人制定適當的監管干預策略。
論文外文摘要
This study investigates the default risk of insurance companies under the regulatory interventions through the capital injection scheme and the risk constrained asset allocation. In our framework, the risk premium of Taiwan Insurance Guaranty Fund is used to measure the default risk of insurance companies, and the uncertainty and correlation of interest rates and exchange rates are incorporated into the premium rating. Then we analyze the impact of regulatory intervention on the insurers' default risk during the early bankruptcy, the financial audit period and the grace period. The main research is: (1) the impact of the capital injection scheme on the risk premium; (2) the impact of the risk constrained asset allocation on the risk premium; (3) the impact of two regulatory interventions on the risk premium of different stages.
We find that: (1) in the capital injection scheme, when the amount of injected capital reaches a certain percentage, it will effectively reduce the default risk of the insurer during the financial audit period and grace period; (2) if the risk constrained asset allocation is applied, the insurer's default risk will increase during the financial audit period, but decrease during the grace period; (3) Both regulatory interventions can reduce the total risk premiums of Taiwan Insurance Guaranty Fund. For the risk premium of the financial audit period, the capital injection scheme is more effective than the risk constrained asset allocation. But for the risk premium of the grace period, the risk constrained asset allocation is more effective. Therefore, this study believes that for the control of the default risk of life insurance companies, the supervisory authority should develop appropriate regulatory intervention strategies for insurers based on its financial structure, asset risks, and the impact of different regulatory interventions.