本文使用滿足隨機優越特性之兩風險指標，HONG AND ZHAI(2010)提出之風險指標(HZ風險指標)與SCHNYTZER AND WESTREICH(2012)提出之風險指標(SW風險指標)，來衡量台灣保險業股票市場的風險，並研究此兩風險指標與保險公司投資標的、金融市場變遷及台灣RBC監理制度實行之相關性。
研究結果顯示，HZ風險指標與VaR有著高度正相關，但針對兩風險指標進行排序，發現HZ風險指標與VaR對樣本風險之排序並不一致，顯示兩指標對風險之衡量並不全然相同，SW風險指標變動性則相對較低。面對台灣保險業金融市場變遷、保險監理制度變革，三指標對於金融市場變遷皆呈現顯著正相關；HZ風險指標與VaR對於保險監理制度變革呈現顯著負相關，SW風險指標對於保險監理制度變革則呈現極為不顯著相關。金融市場變遷與短期投資之交互作用，對於HZ風險指標與VaR呈現顯著負相關；金融市場變遷與衍生性商品投資之交互作用，對於VaR呈現顯著正相關。

In this article, there are two risk indices, which are proposed by Hong and Zhai in 2010 (HZ index) and Schnytzer and Westreich in 2012 (SW index).
We use these two risk indices, which are monotonic w.r.t. first and second order stochastic dominance, and VaR to measure the risk of the insurance industry in Taiwan stock market, and their correlation with the investment targets, the change of financial market and insurance supervision system (RBC) in Taiwn.
The results show that, HZ index and VaR have a highly positive correlation. By sorting these two indices, the study finds that they are not consistent entirely in risk measurement, but HZ index is positive related to VaR. The variation of SW index is relatively low. We find that the three risk indices are positive related to the change of financial market; HZ index and VaR are significant negative related to the change of insurance supervision system (which means the RBC system in this study) in Taiwn; and SW index have a rarely correlation with this change.
The interaction between the change of financial market and short-term investments is significant negative related to HZ index and VaR; the interaction between the change of financial market and investments in derivative instruments is significant negative related to VaR.

中文文獻
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英文文獻
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