Study on the Risk-Based Capital of the Property-Casualty Insurance Industry in Taiwan-Theories and empirical results

• Main Authors: Li-Ching Chen, 陳麗卿
• Other Authors: Frank K. Ling
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/03242418476300214625

碩士 === 國立高雄第一科技大學 === 風險管理與保險系 === 89 === The amount of capital requirements for property and casualty insurers is the base of maintaining solvency. If the capital requirements are set too high or low, each of them may result in adverse effects to insurers. Therefore, setting a sutable amount and system of capital requirements is a significant goal for both insurers and governments. Moreover, the Risk-Based capital system has developed and adopted by The National Associateion of Insurance Commissioners(NAIC). The RBC system is not only the adequacy capital system, but also the solvency regulation tool for regulators. Additionally, the RBC system will be implemented in Taiwan’s insurance market in year 2003. The purpose of this research is to design a risk-based capital system and to estimate a risk factor which will be suitable for the insurers environment in Taiwan. This paper adopts the RBC model which is based on three types of risks: Net Written premium risk, assest risk, catastrophe risk. For measuring asset risk factor, we adopt Value at Risk(VaR). For estimating net written premium risk and catastrophe risk, the RBC system that refers American and Japanese RBC system is also been used. There are two main empirical presents as below: (1). Setting the amount of risk based capital requirements is according to the difference of company scale. In addition, We can also know the risk changes for property and casualty insurance company from RBC ration and action level.(2). To measure the change of asset risk by Value at Risk, it can show and reflect the market risks of assets indeed. Also, the risk factor can be estimated by market change. Therefore, to establish a Risk-Based Capital system in Taiwan can be implemented. According to the results of this paper, it can be work without doubt so we look forward this study could be a reference before the government make the decision and system of risk-based capital requirements in the near future.