A study of optimal risk loads allocation of property-liability insurance company in Taiwan

[[abstract]]在產物保險費率結構中風險附加費用為核保利潤的來源，佔有極為重要的地位，但在傳統精算處理中該附加費用（利潤）率卻一直以一固定慣用之比例決定，並無合理適當之理論根據，本文將精算與財務理論作一結合，以保險公司之目標總報酬模式為出發，並探討核保利潤之風險性質結構，求解各險種之最適風險附加費用率之配置與其對應之資產配置，以達成最適化其總報酬率之目標；同時本文並利用1990年至2000年之台灣產物保險產業以及A公司之各險種之損失資料，探討A公司在不同資產配置下各險種之最適風險附加費用率之配置情形，結果顯示一般主要的險種（火災保險、汽車保險及其他財產保險）均能因最適配置得到比原有一般之附加利潤率（6﹪）更低之附加利潤率，顯示若能妥善配置投資資產，不僅能最適化其總報酬率，消費者亦能以較低之保費成本取得保險，本文之研究成果可提供保險業界於2002年四月一日起附加保費部分費率自由化進程開展後作一參考。[[abstract]]In the price structure of property insurance, risk loads are the important source of underwriting profit. Although taking an important role, in traditional actuarial process, risk loads (profit) have been determined by using fixed rate and don’t have reasonable and proper theoretical basis. This article tries to combine actuarial and financial theory, using target total return model of insurance company as the first step, and then discuss the risk structure of underwriting return to find the optimal allocation of risk loads and the corresponding asset allocation for each insurance products so that we can optimize the total return; this article also uses Taiwan property insurance industry and A company’s data of product mixed loss dated from 1990 to 2000 to discuss A company’s allocation of optimal risk loads rate for each product mixed under different asset allocation. The result shows that all of the common main insurance products (fire insurance, mobile insurance, and other property insurances) can get lower marginal return rate than common marginal return rate (6%) by optimizing the allocation. Therefore, if allocating the invested asset appropriately, we can optimize the total return, and the consumer can also pay lower premium to get the insurance. The result of this research can provide the insurance industry with further reference for insurance premium loading liberalization process on April 1, 2002