自從1992年保險業開放以來，保險業進入百家爭鳴的戰國時期，各家保險公司爭食著台灣保險市場這塊大餅。隨著保險市場環境的改變及日趨激烈的競爭環境下，各家保險公司可分享的利潤逐漸減少，若保險公司經營者無法面對問題，提供解決方案，勢必會遭到市場所淘汰。保險業又可分為產險業及壽險業，其因經營險種的特性不同，主要面對的風險也就不同，於是本文分別探討產險業及壽險業的風險承擔。所以本文的兩個研究主題分別為壽險業之資產風險與資本比率間的關係及產險業利用超額賠款再保險來分散巨災風險。
本文第一個研究主題是就1993年至2005年台灣壽險業之資產風險承擔與資本比率間的關係進行分析。過去的文獻對於保險業風險承擔與資本比率間的關係並無一絕對的定論，若利用傳統方法分析，將所有壽險公司混合在一起進行資產風險與資本比率間關係之實證研究，其實證結果易會有扭曲的情形產生，如此一來無法發現影響壽險業資產風險之真正因素，故本文利用Hansen (1999)所提的Panel Data門檻迴歸模型，並以「人壽保險保費收入及年金保險保費收入和佔總保費收入之比率」為門檻變數，將1993年至2005年之壽險公司區分成兩類型，一為偏向經營保障型產品壽險公司，是以傷害保險及健康保險業務為主的壽險公司；另一為偏向經營儲蓄型產品壽險公司，是以人壽保險及年金保險業務為主的壽險公司。
本文第二個研究主題為分析產險業遭遇巨災風險時如何利用再保險的安排來分散風險。本文利用極值理論來計算2001年至2006年T財產保險公司之各險損失分配之尾部指數，讓產險公司經營者知道在遭遇巨災風險或極值事件時，承擔損失金額的多寡，藉此提供產險公司經營者作為決定超額賠款再保險自留額之依據，以提高產險公司的承保能量及穩定損失經驗。
本文的研究結果如下：
一、 本文之門檻變數為「壽險保費收入及年金險保費收入合佔總保費收入比率」並利用Hansen (1999) 所提的門檻效果檢定，發現我國壽險業的經營型態可以區分為兩種類型，一種為「偏向經營保障型產品壽險公司」，是以傷害保險及健康保險業務為主的壽險公司；另一為「偏向經營儲蓄型產品壽險公司」，是以人壽保險及年金保險業務為主的壽險公司。
二、 偏向經營保障型產品壽險公司之資本比率愈大，公司資產風險就愈小；偏向經營儲蓄型產品壽險公司之資本比率愈大，公司資產風險就愈大。
三、 當偏向經營儲蓄型產品壽險公司的資產報酬率增加1%時，其資產風險增加1.7%，當偏向經營保障型產品壽險公司的資產報酬率增加1%時，其資產風險減少29.62%。
四、 壽險公司規模愈大，在不同類型的壽險公司下，對壽險公司之資產風險影響的情況是一致的。代表著公司規模愈大的壽險公司承擔的資產風險愈小。
五、 火災保險賠款、地震保險賠款及颱風洪水保險賠款均具有厚尾性質。而且，GEV模型所計算而得的保險公司可以承擔之最大損失金額都較GPD及小樣本Hill兩種方法來得大，若以此作為衡量超額賠款再保險自留額，對保險公司而言其承擔了較大的經營風險。本文依據保險市場安排再保險、決定自留額的金額及保險業對於巨災風險的定義來看，利用GPD模型來決定超額賠款再保險之自留額較為適當。

The number of insurance company has grown rapidly in Taiwan due to insurance deregulation since 1992. The main challenge insurance industry face is the declination of profit due to the increasing of competitors. The operator of insurance company is able to face this question and offer the solution, then a company has better solvency. So we explore two issue, one is to investigate the relationship between asset risk and capital adjustment decision in Taiwan’s life insurance industry from 1993 to 2005, and the other is to provide some empirical evidences of retention limit of excess of loss reinsurance in Taiwan’s property insurance industry.
In the first issue, a life insurance company is in less risk and has better solvency when it has more capital or higher ratio of capital; however, this also brings higher opportunity cost which means in long run, the average profit will be lower. There is no conclusion how to balance the relationship between capital adjustment and risk taking decision in life insurance industry though this topic is intensively discussed these days. Therefore, with the methodology of panel data threshold regression, we divide life insurance companies into two categories according to “life insurance and annuity insurance premiums to total premiums ratio”. One is life insurance Company of indemnification, and the other is the one of savings. In conclusion, we identify the negative correlation between capital ratio and risk of life insurance company of indemnification and the positive correlation between capital ratio and risk of life insurance company of savings.
In the second issue, because of the increase of natural disaster in Taiwan recently, the property insurance company has to face what the reinsurance companies are not willing to underwriter, so excess of loss reinsurance has become the viable solution in Taiwan’s property insurance industry. We apply extreme value theory to the tail of Taiwan property insurance claim for VaR estimation and calculate retention limit of excess of loss reinsurance. The empirical results show that the distribution of Taiwan property insurance claim is fat-tailed. We suggested using Generalized Pareto Distribution (GPD) to model the data with extreme loss and conclude retention limit of excess of loss reinsurance.

表 目 錄 II
圖 目 錄 III
圖 目 錄 III
第一章 緒論 1
第一節 研究動機 1
第二節 研究架構 7
第二章 壽險業資產風險承擔與資本比率間的關係 8
第一節 背景介紹與實證文獻探討 8
第二節 門檻迴歸實證模型介紹 13
第三節 實證變數說明 22
第四節 實證資料分析 26
第五節 實證結果分析 29
第六節 小結 36
第三章 超額賠款再保險自留額決定之研究 39
第一節 背景介紹 39
第二節 超額賠款再保險介紹 44
第三節 文獻回顧 48
第四節 極值理論之參數估計方法 51
第五節 極值理論之非參數估計方法 56
第六節 實證資料分析 62
第六節 極值理論估計結果 68
第七節 小結 75
第四章 結論 77
參考文獻 80

陳盈君、蔡政憲，2002，壽險公司的資本結構與風險，保險專刊，第18卷，第1期，頁75-92。
蔡政憲、吳佳哲，2000，「保險法中之投資限制對保險業投資績效影響之實證形究」，風險管理學報，第2卷，第2期，頁1-36。
Aggarwal, R. and K.T. Jacques, 2001, “The Impact of FDICIA and Prompt Corrective Action on Bank Capital and Risk: Estimates Using A Simultaneous Equations Mode”, Journal of Banking and Finance 15: 847-874.
Ambrose, J.M. and A.M. Carroll, 1994, “Using Best's Ratings in Life Insurer Insolvency Prediction”, Journal of Risk and Insurance 61: 317-328.
Bali, T. G., 2003, “An Extreme Value Approach to Estimating Volatility and Value at Risk”, Journal of Business 76(1): 83-107.
Balkema, A. A., and L. de Haan, 1974, “Residual Life Time at Great Age”, Annals of Probability 2: 792-804.
Baranoff Etti G. and Thomas W. Sager, 2002, “The Relations among Asset Risk, Product Risk and Capital in The Insurance Industry”, Journal of Banking and Finance 26: 1181-1197.
Baranoff Etti G. and Thomas W. Sager, 2003, “The Relations among Organizatonal and Distributions Forms and Capital and Asset Risk Structures in The Insurance Industry”, Journal of Risk and Insurance 7(3): 375-400.
Beirlant, J. and Teugels, J. 1992, “Modelling Large Claims in Non-Life Insurance”, Insurance: Mathematics and Economics 11: 17-29.
Berens, James L. and Charles, J. Cuny, 1995, “The Capital Structure Puzzle Revisited”, The Review of Financial Studies 8: 1185-1208.
Berger, A.N., R.J. Herring, and G..P. Szego, 1995, “The Role of Capital in Financial Institutions”, Journal of Banking and Finance 19: 393-430.
Brooks, c., a. D. Clare, J. W. Dalle Molle and G. Persand, 2005, “A Comparison of Extreme Value Theory Approaches for Determining Value at Risk”, Journal of Empirical Finance 12: 339-352.
Buser S., A. chen and E. Kane, 1981, “Federal Deposit Insurance, Regulartory Policy, and Optimal Bank Capital”, Journal of Finance 36:51-60.
Cummins, J.D., 1998, “Risk-Based Premiums for Insurance Guaranty Funds”, Journal of Finance 43: 823-839.
Cummins, J.D. and D.W. Sommer, 1996, “Capital and Risk in Property-Liability Insurance Markets”, Journal of Banking and Finance 20: 1069-1092.
Cummins, J.D., S.E. Harrington and R. Klein, 1995, “Insolvency Experience, Risk-Based Capital, and Prompt Corrective Action in Property-Liability Insurance”, Journal of Banking and Finance 19: 511-527.
Dacarogna, M., U. Muller, O. Pictet, and C. G. De Vries, 1995, “The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets”, Discussion Paper 70-95, Tinbergen Institute.
Danielsson, J., and C. G. de Vries, 1997, “Tail Index and Quantile Estimation with Very High Frequency Data”, Journal of Empirical Finance, 4: 241-257.
David F. Babbel and Kim B. Staking.1991, “A Capital Budgeting Analysis of Life Insurance Costs in the United States: l950-l979.” Working Paper..
Dothan U. and J. Willians, 1980, “Banks Bankruptcy and Public Regulation”, Journal of Banking and Finance, 4: 65-88.
de Haan, L., and L. Peng, 1994, “Comparison of Tail Index Estimators”, Preprint, Erasmus University Rotterdam.
de Haan, L., and S. I. Resnick, 1980, “A Simple Asymptotic Estimate for the Index of a Stable Distribution”, Journal of the Royal Statistical Society, series B, 42: 83-87.
Doherty, N.A. and J. Garven, 1986, “Price Regulation in Property-Liability Insurance: A Contingent Claims Approach”, Journal of Finance 41: 1031-1050.
Embrechts, P. , C. Kuppelberg, 1994, “Some Aspects of Insurance Mathematics”, Theory of Probability and its Applications 38: 262-295.
Embrechts, P. ,Kuppelberg, C. and T. Mikosch, 2003, “Modelling Extremal Events for Insurance and Finance”, Springer-Verlag, London.
Embrechts, P. ,Kuppelberg, C. and T. Mikosch, 1997, “Modelling Extreme Events”, Springer Verlag.
Gencay, R., F. Selcuk, and A. Ulugulyagci, 2003, “High Volatility, Thick Tails and Extreme Value Theory in Value-at-Risk Estimation”, Insurance: Mathematics and Exonomics 33: 337-356.
Goldie, C. M. and R. L. Smith, 1987, “Slow Variation with Remainder: A Survey of the Theory and its Applications”, Quarterly Journal of Mathematices 38(2): 45-71.
Grace, M. F. and S. G. Timmc, 1992, “An Examination of Cost Economics in The US Life Insurance Industry”, Journal of Risk and Insurance 59:72-103.
Guo, D. and R.A.Winter, 1997, “The Capital Structure of Insurers: Theory and Evidence”, Working Paper, University of Toronto.
Hall, P., 1990, “Using Bootstrap to Estimate Mean Square Error and Select Smoothing Parameters in Non-parametric Problems”, Journal of Multivariate Analysis 32: 177-2003.
Hansen, B.E., 1999, “Threshold Effects in Non-Dynamic Panels: Estimation, Testing, and Inference”, Journal of Econometrics 93: 345-368.
Harrington, S.E. and P.M. Danzon, 1994, “Price Cutting in Property-Liability Insurance”, Journal of Business 67: 511-538.
Hill, B., 1975, “A Simple General Approach to Inference About the Tail of a Distribution”, Annuals of Mathematical Statistics 3: 1163-1174.
Hosking, J. R. M., and J. R. Wallis, 1987, “Parameter and Quantile Estimation for the Generalized Pareto Distribution”, Technometrics 29: 339-349.
Huisman, R., K. G. Koedijk, c. J. M. Kool, and F. Palm, 2001, “ Tail-index Estimates in Small Sample”, Journal of Business and Economic Statistics 19: 208-216.
Jacques, K. and P. Nigro, 1997, “Risk-Based Capital, Portfolio Risk, and Bank Capital: A Simultaneous Equations Approach”, Journal of Economics and Business 49: 533-547.
Jenkinson, A. F., 1995, ”The Frequency Distribution of the Annual Maximum (or Minimum) Values of Meteorological Elements”, quarterly Journal of the Royal Meteorology society 87: 145-158.
Kalb, G.R.J. and Kofman, P. and Vorst, T.C.F., 1996, “Mixtures of tails in Clustered Automobile Collision Claims.”, Insurance: Mathematics and Economics 18: 89-107.
Keely M. C., 1990, “Deposit Insurance, Risk, and Market Power in Banking”, American Economic Review, 1183-1200.
Kim, D. and A. M. Santomero, 1998, “Risk in Banking and Capital Regulation”, Journal of Finance 43: 1219-1233.
Klein, R. W., R. D. Phillips and W. Shiu, 2002, “The Capital Structure of Firms Subject to Price Regulation: Evidence from the Insurance Industry”, Journal of Financial Services Research 21: 79-100.
Lee, S.J.,Mayers, D. and J. C. Smith, 1997, “Guaranty Funds and Risk-Taking Evidence from the Insurance Industry”, Journal of Financial Economics 44: 3-24.
Longin, M. F., 2000, “From Value at Risk to Stress Testing: the Extreme Value Approach”, Journal of Banking and Finance 24: 1097-1130.
Mandelbrot B., 1963,“The Variation of Certain Speculative Prices.”, Journal of Business 36: 394-419.
McNeil, A.J. 1997, “Estimating the Tail of Loss Severity Distributions Using Extreme Value Theory”, Astin Bulletin 27: 117-137.
McNeil, A. J. and R. Frey, 2000, “Estimation of Tail-related Risk Measures for Heteroscedastic Financial Time Series: an Extreme Value approach”, Journal of Empirical Finance 7: 271-300.
Merton, R.C., 1977, “An Analytic Derivation of the Cost of Deposit Insurance and Loan Guarantees”, Journal of Banking and Finance 1: 3-11.
Neftci, S. N., 2000, “Value at Risk Calculations, Extreme Events, and Tail Estimation”, Journal of Derivatives, Spring: 1-15.
Orgler Y. E. and R. A. Taggart, 1983, “Implications of Corporate Capital Structure Theory for Banking Institutions”, Journal of Money, Credit, and Banking 15, 212-221.
Pottier Steven W. and David W. Sommer, 1997, “Agency Theory and Life Insurer Ownership Structure”, The Journal of Risk and Insurance 64(3):529-543.
Reiss R. d. and Thomas, M. 1999, “A New Class of Bayesian Estimations in Paretion Excess-Of –Loss Reinsurance”, Astin Bulletin 29: 339-349.
Resnick, S.I. 1997, “Discussion of the Danish Data on Large Fire Insurance Losses”, Astin Bulletin 27: 139-151.
Rime, B., 2001, “Capital Requirements and Bank Behavior: Empirical Evidence for Switzerland”, Journal of Banking and Finance 25: 789-805.
Saunders A., E. Strock and N. G. Travlos, 1990, “Owner Structure, Deregulation and Bank Risk Taking”, Journal of Finance 45: 643-654.
Shrieves, R.E. and D. Dahl, 1992, “The Relationship Between Risk and Capital in Commercial Banks”, Journal of Banking and Finance 16: 439-457.
Willianmson, O. H., 1985, “The Economic Institution of Capitalism”, Free Press, New York.
Willianmson, O. H., 1988, “Corporate Finance and Corporate Governance”, The Journal of Finance 18(3), 567-591.
Zajdenweber, D. 1996, “Extreme Values in Business Interruption Insurance”, The Journal of Risk and Insurance 63: 95-110.