Using Monte Carlo Method to Simulate RAROC for the Selection of a Captive Domicile: An Empirical Study to Freight Transportation Industry

[[abstract]]當前保險市場已愈來愈重視新的風險籌資方法，其中之一就是運用專屬保險公司，而設立專屬保險公司的主要目的就是承保母公司及所屬關係企業的風險。作者嘗試建立一個決策模型，考慮資本需求；保費稅制；每年規費及其他監理要求等因素下，來作為選擇專屬保險公司設立地點的依據。主要是藉由蒙地卡羅法在不同情境下以某國內產險公司的實際資料，模擬出可能的風險調整後資本報酬率(RAROC)。研究顯示，以一個母公司剛開始經營專屬保險公司來說，簽單保費基礎要比危險保費基礎來得穩健且需要。另外為求穩定的承保結果仍須考量一般保險強調的大數法則。最後，由作者的研究結果發現，巴貝多；曼恩島；維京島，根息島及百慕達都是理想的專屬保險公司設立地點。[[abstract]]The current insurance market is gradually focusing attention on new ways of risk financing techniques. One of them is the innovative use of captive insurance companies. A captive insurance company is a subsidiary established to insure the risks of its parent and affiliates. The authors try to build a decision model for the selection of a captive domicile by considering a number of factors like capitalization requirements, premium taxes, annual fees and other specific regulations in each domicile. A Risk Adjusted Return on Capital (RAROC) estimation approach under several scenarios is implemented using Monte Carlo simulation method. The methodology is illustrated with a real data set provided by a domestic property insurance company. Study results indicate that the insurance premium basis with loading is more solid and necessary than the risk premium basis for operating a captive insurance company at the beginning. Also, the Law of Large Number should be taken into account to stabilize underwriting results. Finally, the ideal domiciles for captives in our study are Barbados, Isle of Man, BVI, Guernsey and Bermuda