本文主要目的在於探索風險基礎資本額監理制度RBC之實施，對於我國保險業各種投資活動的風險承擔行為（Risk-taking Behaviors）之影響。特別是以金融海嘯前後來探討保險業風險性資產可能產生的危機;為了檢視此一議題，本文首先採用評估風險值方法:變異數-共變異數模型(Variance-Covariance Method)，進而比較RBC和VaR值的適用性並提出建議。最後分析壽險公司的資本、風險值與風險基礎資本額監理制度之間的關係。實證發現:保險業自有資本愈大，其投資組合風險值愈大，且最差之保險公司其投資組合每單位之風險值最高。比起RBC，VaR在壽險業的資本適足性衡量上有較佳的效果。實證中也發現金融海嘯前後VaR與保險業之RBC ratio有顯著關係，並且VaR更能捕捉短期波動所造成損失金額與幅度。由此可知，壽險業為利率敏感度極高的產業，此一結果隱含當監理機關要求RBC 低之壽險公司增加資本時，壽險公司亦會同時增加其產品面風險以增加保費收入。 This article aims at exploring the impacts brought about by the application of risk-based capital (RBC) system on various investment activities undertaken by insurance companies towards risk-taking behaviors. Particularly, the article focuses on studying the potential risks of risky asset or active asset held by insurance industry before and after the financial crisis. In order to probe into the targeted issue, the article first adopts Variance－Covariance Method to evaluate the risk value, and then compare the applicability between RBC and VaR so as to reach suggestions afterwards. Finally, an analysis of the relationship among capital of insurance companies, risk value and the RBC are made. The empirical findings: the greater the capital of the insurance company, the higher the risk value for their investment portfolio, moreover, the worst insurance company bears the highest risk value for their investment portfolio per unit. Compare to RBC, VaR performs better in measuring the capital adequacy for life insurance industry. Furthermore, a significant relationship between VaR and RBC ratio before and after the financial crisis has been found, particularly, VaR outperforms RBC in terms of money loss and degree of variance during short-term economic fluctuations. Therefore, it is clear that life insurance industry is highly sensitive toward interest rate, which implies that when the supervising authority demands life insurance companies that have lower RBC to increase capital, the companies are bound to increase the product risk in order to raise their premium revenue.
