資本適足率與財務績效指標關聯性之探討－以台灣壽險業為例

Abstract

資本適足比率 = （Capital Adequacy Ratio = 自有資本總額 / 風險資本總額） x 100%，以下簡稱CAR；在保險公司或稱Risk Based Capital（簡稱RBC）資訊之提供，乃為現今保險監理機關據以強制要求人身保險業者增加其投入資本之重要參考，亦為保險監理重要之量化監理指標。保險市場行為的管制，可以行政規則與法規命令執行，也可透過外部機制，諸如公開資訊或資本市場干預；一旦監理機關習慣性地進行管制，雖具立即糾正的效果，但顯然會有礙市場的創新。監理資源有限，主管機關如何在行政管制與企業自治間取得平衡？吾人以為，或可由重新檢視「財務從嚴，業務從寬」的保險監理思維再出發。本研究欲探討：(1)在RBC制度之監理規範下，有哪些財務績效指標係與保險業者「股東價值極大化的企業經營目標」及「保障保戶債權受清償之權益」相關，並對於RBC之等級具有顯著之「鑑別力」，(2)監理機關是否可以該等財務績效指標預測個別保險業者之RBC等級，以作為採取必要監理手段之參考指標。 可以度量股東價值的財務績效指標至少包括：資產報酬率、投資報酬率及權益報酬率；可以度量壽險業者對於保戶之債務清償能力則至少包括：資產報酬率、投資報酬率及負債佔資產比率，因此，本研究嘗試：(1)以負債佔資產比率、資產報酬率、投資報酬率及權益報酬率為區別變數（discriminant variables），(2)以RBC為分類變數（grouping variable），建構「資本適足率與財務績效指標關聯模型」。本研究擇定之區別變數除負債佔資產比率具有「風險」要素外，其餘區別變數則著重「報酬」之意涵，未來繼續研究之方向可考慮將風險因子直接納入模型，以進一步分析RBC(分類變數)、報酬及風險有關之財務績效指標（區別變數）之關聯性。本研究運用前述建構之分析模型，以經篩選後國內17家壽險公司自2012年起，至2016年止，計5年，共84組之財務績效指標（包括：負債佔資產比率、資產報酬率、投資報酬率及權益報酬率）為區別變數；資本適足率（RBC）為分類變數，並以此84組觀察值透過模型演算獲得具顯著水準之「資本適足率之區別函數」。由演算推導所得之區別函數顯示，除「負債佔資產比率」外，其餘三項區別變數已經在執行「逐步區別分析」的過程，因違反區別分析之複共線性問題而經排除於分析之外。另外，經由統計檢定評估發現「負債佔資產比率」對於資本適足率具有顯著水準之區別力。 本研究所構建之「資本適足率與財務績效指標關聯模型」經由統計檢定評估結果顯示，監理機關似可以按個別壽險業者之「負債佔資產比率」之增減趨勢，建立資本適足率之預警模型，以監測個別保險業者之資本適足率變化，並作為採取必要監理手段之參考指標。惟從保險監理之政策目標來看，資本適足率固然有利於「保障保戶債權受清償之權益」；但若過分強調資本適足率，而忽略在「保障保戶債權受清償之權益」之政策目標可達合理達成的前提下，亦應兼顧「股東價值極大化的企業經營目標」的衡平，則長久以往勢必影響投資人投資保險業之意願，並進而戕害保險產業之健康發展。因此，有關保險業資本適足率之監理措施、「保障保戶債權受清償之權益」及兼顧「股東價值極大化的企業經營目標」三者之間如何求其均衡，或許可以藉由類似「資本適足率與財務績效指標關聯模型」之監測，而提供保險監理政策之制定或調整的參考。

Capital adequacy ratio (“CAR”), or risk-based capital (“RBC”) for life insurance entity is a key indicator referred by the regulators for enforcing life insurance operators to increase its equity capital when applicable. Therefore, RBC has now become one of the key indicators for regulatory purposes. The regulations of insurance market can be performed either via law and administrative rules or via external mechanism, e.g. transparency of information to the market or direct intervene in the capital market. Once the regulators are used to excise its control over the market, in the short run, it could bring the market back to the norm. Nevertheless, in the long term, it could impair the innovations in the market. In addition, due to the resource limitations, the regulators always have to seek ways of balancing between administrative regulations and corporate self-governance. It is believed that it is time to revisit such regulatory thinking, i.e. “strict financial disciplines whilst loose operation controls”. In this study, we aim to see 1) under the current RBC regulations, what financial performance indicators are significantly related to the two operation objectives, i.e. maximizing the equity value for the shareholders and protecting the recoverability for the policy holders, normally adopted by the life insurance operators, and 2) whether the regulators can refer to such identified financial performance indicators as a basis for considering taking necessary regulatory actions. There are at least the following indicators for measuring the equity values for the shareholders, i.e. return on assets (“ROA”), return on investments (“ROI”) and return on equity (“ROE”), whilst the following indicators can be used to measure the recoverability for the policy holders, i.e. ROA, ROI and debt-to-asset ratio. Based on the aforementioned, in this study, we set up a model for connecting RBC and the identified indicators by using RBC as a grouping variable and using ROA, ROI, ROE and debt-to-asset ratio as discriminant variables for applying the Discriminant Analysis. In this study, except that debt-to-asset ratio is more risk related, the other three discriminant variables, i.e. ROA, ROI and ROE, are more “return” related. Therefore, for further studies in the future, it might be a direction to consider including other risk indicators as discriminant variables in the analysis. Based on the aforementioned model, we then selected 17 life insurance companies for a period from fiscal year 2012 through 2016, with a total of 84 valid observations, for inference and derived the discriminant function value, with statistical significance, for RBC and debt-to-asset ratio, knowing ROA, ROI and ROE were excluded from the step-wise analysis due to their multi-collinearity, which is against the assumptions under the Discriminant Analysis. According to this study, it shows that the debt-to-asset ratio as shown in the model, which is set up to connect RBC and the identified financial performance indicators, could be referred by the regulators as an indicator for considering enforcing further regulatory actions, when applicable. Nevertheless, it is also reminded that over-emphasizing RBC for the purposes of protecting the interests of policy holders might impair the insurance market as the shareholders of the insurance operators might be discouraged for still not being able to get reasonable return on their equity investments, provided the interests of policy holders have been well protected.