資本適足率 (Risk-Based Capital, RBC) 和淨值比為衡量保險公司財務健全與否之重要指標。本研究主要目的有二，其一為探討人壽保險公司資本適足率等級與金融控股公司之股價風險、流動性風險、營運風險與其他風險等四種風險領域間是否有關聯性，另一個目的為預測RBC評等與股價投資報酬率風險值 (Value at Risk, VaR) 大小關係。本研究以台灣上市金融保險業中擁有重要子人壽保險公司的九家金融控股公司為研究對象。將人壽保險公司之資本適足率進行等級劃分後，分別與九家金融控股母公司之風險領域進行箱型圖繪製，查看在不同的資本適足率等級下，金融控股母公司之風險因子分佈情況。並進行相關性檢定，以得知人壽保險公司的資本適足率等級是否與金融控股公司之四種風險領域間有顯著相關。
研究結果顯示人壽保險公司的資本適足率等級與金融控股公司的股價風險、營運風險和其他風險有顯著相關性。其中人壽保險公司之資本適足率等級與股價風險中的股價淨值比有顯著正相關；與營運風險中的資產報酬率和股東權益報酬率有顯著正相關；與其他風險中的公司規模有顯著正相關。人壽保險公司的資本適足率等級與金融控股公司的流動性風險為不顯著相關，顯示國內RBC測度較忽視流動性風險因子的影響力。股價投資報酬率風險值大小與人壽保險公司預測之資本適足率等級並無絕對之關聯，但一旦金融風險引暴，則風險值大者是會遭受較大的RBC降等。

Risk-based capital and price-to-book ratio are important indicators to measure financial soundness of the insurance companies. The purposes of the present research aims to: One is to explore whether there is a correlation between the level of risk-based capital of life insurance companies and the four risk areas of financial holding companies: stock price risk, liquidity risk, operational risk and other risks. The other purpose is to predict the relationship between RBC rating and size of stock return on investment value at risk, VaR. This study focuses on nine financial holding companies in the Taiwan’s listed financial and insurance industry that have important subsidiary life insurance companies. After classifying the risk-based capital of life insurance companies, a box plot with the risk areas of nine financial holding parent companies is drawn to check the risk factor distribution of financial holding parent companies under different risk-based capital levels. A correlation test is also carried out to know whether there is a significant correlation between the risk-based capital level of life insurance companies and the four risk areas of financial holding companies.
The results of the study show that there is a significant correlation between the risk-based capital level of life insurance companies and the stock price risk, operational risk and other risks of financial holding companies. Among them, the risk-based capital level of life insurance companies has a significant positive correlation with the price-to-book ratio in stock price risk. It has a significant positive correlation with the return on assets and return on equity in operational risk. It has a significant positive correlation with company size in other risks. The risk-based capital level of life insurance companies is not significantly correlated to the liquidity risk of financial holding companies, showing that the influence of the liquidity risk factor is less emphasized by the domestic Risk-based Capital (RBC). There is no absolute correlation between the size of stock return on investment value at risk and the risk-based capital level predicted by the life insurance company. But, once financial risk erupts, the larger value at risk should suffer the larger downgraded RBC.

中文摘要 i
Abstract ii
目錄 iv
表目次 vi
圖目次 vii
第壹章 緒論 1
第一節 研究背景 1
第二節 研究動機 2
第三節 研究目的 2
第四節 研究流程 3
第貳章 文獻探討 5
第一節 保險公司風險評估 5
第二節 資本適足率相關文獻 6
第三節 風險值相關之研究 8
第參章 研究方法 10
第一節 研究對象 10
第二節 保險業資本適足率 (Risk-Based Capital, RBC) 11
第三節 研究模型 13
一. 序數邏輯模型 (Ordinal logistic regression) 13
二. 人壽保險公司之金融控股母公司風險領域 14
第四節 風險值 (Value at Risk, VaR) 17
一. 風險值定義 17
二. 風險值之衡量 17
第肆章 實證分析 19
第一節 敘述性統計分析 19
一. 股價風險 20
二. 流動性風險 24
三. 營運風險 25
四. 其他風險 29
第二節 相關性分析 31
第三節 實證結果分析 34
一. 模型評估與機率預測 34
二. 風險值與資本適足率評等分析 36
第伍章 研究結論與建議 38
第一節 研究結論 38
第二節 研究建議 39
參考文獻 41
中文部分 41
英文部分 42

表目次
表3.1台灣金融控股公司之子保險公司​10
表3.2保險業資本適足率等級劃分表​11
表3.3保險業資本等級未達標之相關措施彙整表​12
表3.4金融控股母公司風險領域彙總表​17
表4.1各變數之敘述統計表​19
表4.2資本適足率等級劃分表​19
表4.3人壽保險公司資本適足率與金融控股母公司風險因子相關係數檢定表​33
表4.4人壽保險公司資本適足率與金融控股母公司風險領域迴歸分析結果​34
表4.5金融控股母公司之人壽保險公司資本適足率等級預測結果表​35
表4.6金融控股公司風險值與人壽保險公司資本適足率等級之平均結果彙總表​36
表4.7金融控股公司風險值與人壽保險公司資本適足率等級的預測結果彙總表​36

圖目次
圖1.1 研究流程圖​ 4
圖4.1 股價投資報酬率之箱型圖​ 21
圖4.2 風險係數之箱型圖​ 22
圖4.3 股價淨值比之箱型圖​ 23
圖4.4 利息支出率之箱型圖​ 24
圖4.5 資產報酬率之箱型圖​ 26
圖4.6 股東權益報酬率之箱型圖​ 27
圖4.7 營收成長率之箱型圖​ 28
圖4.8 資產負債率之箱型圖​ 29
圖4.9 公司規模之箱型圖​ 30
圖4.10 各變數之相關係數圖​ 32

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