The analysis of fund performance since RBC system implemented in Taiwan life insurance industry

[[abstract]]摘要 監督保險業正常營運及確保其清償能力，一直是我國保險監理機關所重視的。保險監理機關為因應保險業國際化發展，因此建立風險資本額制度(Risk-Based Capital，RBC)，來適切評估保險業的資本適足性，並於2003年7月9日實施。監理機關在新制度下，給予保險公司的資產和負債不同風險係數，以評估其所需的最低資本。因此，RBC制度對於保險公司的資產配置決策會有所影響，而資產配置決策又會影響到其資金運用績效。 本文研究範圍以2000年至2006年台灣二十五家壽險公司的財務資料為主，並運用追蹤資料 (Panel Data)的估計方法進行實證分析。而研究目的在於分析實施RBC制度的前後期間，對壽險公司資金運用淨收益率的影響因素，以及觀察此制度是否影響壽險公司資金運用淨收益率。本文實證結果發現：(1) 在制度實施前，市場佔有率及公司債投資比率對資金運用淨收益率呈顯著正相關，股票投資比率則呈顯著負相關。(2) 在制度實施後，保費收入變動率、擔保放款投資比率、國外投資比率對資金運用淨收益率呈顯著正向關係。(3) 以2000年至2006年為研究期間，並加入RBC制度實施的虛擬變數進行實證分析。負債比率、保費收入變動率、短期投資比率、公司債投資比率對資金運用淨收益率呈顯著正相關。股票投資比率呈顯著負相關，而RBC制度對資金運用淨收益率則有顯著負向關係。[[abstract]]ABSTRACT To predict the probability of insolvency of Taiwanese insurance industry has been our regulatory institution to take seriously In order to enhance our predictive system and improve internationalization development of insurance industry our regulator establishes Risk-Based Capital (RBC) model was implemented in July 9 2003 By RBC model the regulator assigns different weights to evaluate the risks of insurer’s asset and liability and know how much capital the insurer need Therefore RBC model will have the influence regarding the insurer’s asset allocation Based on the financial statements of 25 life insurance companies from 2000 to 2006 the study uses the method of Panel Data to analyze the influencing factor of yield of capital utilization Our findings are as follows: (1) before RBC implementation market share the corporation bond and stock certificate have influence on yield of capital utilization (2) after RBC implementation premium growth ratio the mortgage loans and foreign investments have the remarkable relations to yield of capital utilization (3) take from 2000 to 2006 as research period and joined the RBC implementation as the dummy variable Debt ratio premium growth ratio the short-term investment and corporation bond assume to yield of capital utilization are remarkable related The stock certificate assumes the remarkable inverse correlation But the RBC has the remarkable inverse correlation to yield of capital utilizatio