檢討台灣壽險業風險基礎資本額制度之國外投資風險分類─股票、基金及匯率

Abstract

我國壽險業之風險基礎資本額制度中的國外投資之風險額計算，因初始制訂風險係數時業者國外投資比例尚低，因此分類方式較粗糙。然而，現今保險業之國外投資比例已達40%，實有再次檢視國外投資風險衡量的重要性。本研究以各國股市、基金、匯率之歷史資料計算風險值，檢視目前法定之國外股票、基金及匯率資產分類及風險額計算方式，發現目前規定分類不足以適當反映壽險業者之風險，因此提出新的資產分類及風險額計算方式，以供監理官參考。

The foreign investment risk capital requirements for life insurers under RBC regulations in Taiwan were not adequately classified. Since life insurers’ total foreign investment was relatively small when RBC regulations and factors were set, foreign investment assets were classified by only a few categories. However, reviewing these classifications and regulations is essential as life insurer’s total foreign investment has reached 40% of total investable assets by 2012. The thesis analyzed RBC risk factors with value at risk (VaR) from historical foreign equity returns, foreign fund investment returns and foreign exchange returns to review the regulations in these three topics. The research found that current classifications and calculations do not adequately reflect insurer’s investment risks, therefore purposed new classification methods for regulator’s review.