在國際監理要求趨嚴與新興風險型態持續演變背景下，保險公司日益依賴再保險機制進行風險移轉，以降低負債波動與資本壓力。然而，一旦再保險人發生違約，原保險人將面臨再保險應收款無法回收之風險，進而削弱財務穩健性，因此如何量化評估再保險人違約風險已成為重要課題。本文以共同再保險為例，分析其對保險公司財務報表之影響，進一步探討原保險人運用信用違約交換（Credit Default Swap,CDS）將再保險人違約風險轉移至金融市場，以降低潛在財務衝擊之可行性。
本文採用Merton結構性信用風險模型，依再保險人資產負債結構估計違約機率與 CDS利差，結合市場一致性方法將其轉化為信用風險成本，以衡量其於再保險定價中的影響程度。以十家國內外再保險公司為樣本之實證結果顯示，違約風險與CDS利差呈顯著正向關聯，其中股權波動度為關鍵影響因子；相對而言，負債結構與利率變動之影響較為有限。此外，即便屬高信用評等公司，市場資訊亦能揭示其潛在風險差異。本文所建構之量化評估框架，可供保險公司提升再保險決策之穩健性，並作為監理機關強化再保險監理制度之政策參考。

In the context of increasingly stringent international regulatory requirements and the continuous emergence of new risk types, insurance companies rely more heavily on reinsurance mechanisms to transfer risk and mitigate liability volatility and capital pressure. However, when a reinsurer defaults, the ceding insurer faces the risk of uncollectible reinsurance, which may undermine its financial soundness. Therefore, developing a quantitative framework to assess reinsurer default risk has become a critical issue. Using coinsurance as an illustrative case, this study examines its impact on the financial statements of primary insurers and further explores the feasibility of transferring reinsurer default risk to financial markets through credit default swaps (CDS) to reduce potential financial shocks.
This study applies the Merton structural credit risk model to estimate default probabilities and CDS spreads based on reinsurers’ asset–liability structures. The CDS spreads are then converted into credit risk costs using a market-consistent approach, allowing evaluation of their impact on reinsurance pricing. Empirical analysis using ten domestic and international reinsurance companies shows a significant positive relationship between default risk and CDS spreads, with equity volatility identified as a key determinant, whereas the effects of liability structure and interest rate changes are relatively limited. Moreover, market information reveals heterogeneity in risk even among highly rated reinsurers. The proposed quantitative framework provides primary insurers with a market-based tool to enhance the robustness of reinsurance decisions and offers regulatory authorities a useful reference for strengthening reinsurance supervision.

一、中文文獻
何殷如（2012），全面解讀信用違約交換（CDS），證券暨期貨月刊，第30卷，第11期，11月16日，頁37-52。
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保險業資產評估及逾期放款催收款呆帳處理辦法，https://law.lia-roc.org.tw/Law/Content?lsid=FL006829，擷取日期：2025年5月22日。
保險業辦理再保險分出分入及其他危險分散機制管理辦法，https://law.lia-roc.org.tw/Law/Content?lsid=FL045206，擷取日期：2025年6月28日。
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二、英文文獻
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