Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/31262
DC Field | Value | Language |
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dc.contributor.advisor | 張士傑 | zh_TW |
dc.contributor.author | 呂學侃 | zh_TW |
dc.contributor.author | Lu Hsueh Kan | en_US |
dc.creator | 呂學侃 | zh_TW |
dc.creator | Lu Hsueh Kan | en_US |
dc.date | 2004 | en_US |
dc.date.accessioned | 2009-09-14T01:39:38Z | - |
dc.date.available | 2009-09-14T01:39:38Z | - |
dc.date.issued | 2009-09-14T01:39:38Z | - |
dc.identifier | G0091932817 | en_US |
dc.identifier.uri | https://nccur.lib.nccu.edu.tw/handle/140.119/31262 | - |
dc.description | 碩士 | zh_TW |
dc.description | 國立政治大學 | zh_TW |
dc.description | 風險管理與保險研究所 | zh_TW |
dc.description | 91932817 | zh_TW |
dc.description | 93 | zh_TW |
dc.description.abstract | 壽險業過去在計算風險值時,通常未將負債面的影響納入考量,這對擁有龐大保單的壽險業,將造成相當程度的誤差。本研究以會計第三十四號公報的精神,研究壽險業同時納入資產面及負債面風險值的計算方法;並且依據Basel II的資本適足標準,檢驗人壽保險公司的清償能力。另外,為達到全方位風險管理的目標,本研究探討風險值與資產配置相結合的作法以及進一步將風險管理與投資策略結合,藉以提高人壽保險公司進行風險管理的誘因,確保風險管理得以真正落實。\r\n本文的結論如下:\r\n1.根據實證結果發現,以國際標準檢驗台灣壽險公司的資本適足性時,若計入負債面風險之後,有資本適足率偏低的情形。即使如個案A之大型壽險公司,在未計入信用風險與作業風險之前,合格資本也僅能小幅超過三倍風險值的最低門檻。然而個案B之壽險公司,在未計入信用風險與作業風險之前,已無法滿足合格資本超過三倍風險值的最低門檻。若計入信用風險與作業風險之後,資本適足比率不足的情形勢必更加嚴重。\r\n2.實證結果顯示,經指數加權平均修正,使風險值較符合近期金融市場的變化情形後,與以均等加權移動平均法計算之風險值有將近30%的差異。因此,在計算風險值時若忽略波動度的時間因素,將造成風險值相當程度的差異。\r\n3.人壽保險公司可以透過資產配置來達到分散風險以及自然避險的效果。實證結果不論個案A或是個案B之人壽保險公司,同樣皆產生可觀的風險分散及自然避險的效果。 | zh_TW |
dc.description.tableofcontents | 第一章、緒論\r\n第一節、研究動機與目的\r\n第二節、研究流程\r\n第三節、研究限制\r\n第二章、文獻探討\r\n第一節、保險公司風險承擔與清償之關係\r\n第二節、應用風險值於金融機構之研究\r\n第三章、台灣壽險業風險暴露\r\n第一節、台灣壽險的現況與展望\r\n第二節、日本壽險業之歷史經驗\r\n第三節、台灣壽險業與日本壽險業之比較\r\n第四章、壽險公司之風險值模型\r\n第一節、投資組合之風險值計算\r\n第二節、適合壽險業的風險值模型\r\n第五章、壽險公司之風險值\r\n第一節、各項變數的選取\r\n第二節、壽險公司資產面風險值之計算\r\n第三節、壽險公司含負債面風險值之計算\r\n第六章、壽險公司全方位之風險管理\r\n第一節、風險值與資產配置\r\n第二節、投資策略與風險管理\r\n第七章、結論 | zh_TW |
dc.language.iso | en_US | - |
dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0091932817 | en_US |
dc.subject | 風險值 | zh_TW |
dc.subject | 資產配置 | zh_TW |
dc.subject | 投資策略 | zh_TW |
dc.title | 人壽保險機構納入風險值與資產配置之整合型態風險管理 | zh_TW |
dc.type | thesis | en |
dc.relation.reference | 一、中文部分 | zh_TW |
dc.relation.reference | 1.李進生、謝文良、林允永、蔣炤坪、陳達新、盧陽正 (2001),「風險管理—風險值(VaR) 理論與應用」。 | zh_TW |
dc.relation.reference | 2.董孟雲 (2004),「金融研訊院講義」。 | zh_TW |
dc.relation.reference | 3.湯谷昇羊 (1999),「壽險業為機的真相」。 | zh_TW |
dc.relation.reference | 4.胡聯國、康榮寶、林修崴、賀蘭芝 (2000),「推動我國綜合券商採用涉險值模式控管市場風險之研究計畫」。 | zh_TW |
dc.relation.reference | 5.楊順雯 (1998),「人壽保險公司壽險契約商品組合之風險值管理研究」,銘傳大學金融研究所碩士論文。 | zh_TW |
dc.relation.reference | 6.許瑞敏 (1994),「壽險業現金流量管理之研究」,逢甲大學保險研究所碩士論文。 | zh_TW |
dc.relation.reference | 7.歐雪竹 (2001),「台灣壽險業利率風險之研究」,逢甲大學保險研究所碩士論文。 | zh_TW |
dc.relation.reference | 8.李明黛 (2002),「利率風險對公司經營之影響:台灣壽險市場之實證研究」,政治大學風險管理與保險研究所碩士論文。 | zh_TW |
dc.relation.reference | 9.吳志遠 (1995),「保險公司財務風險管理—現金流量模擬模型及類神經網路之應用」,台灣大學財務金融研究所碩士論文。 | zh_TW |
dc.relation.reference | 10.政治大學信義不動產研究發展中心 (2003),「台灣地區房地產產業年鑑」,第83頁。 | zh_TW |
dc.relation.reference | 二、英文部分 | zh_TW |
dc.relation.reference | 1.“Core Principles for Effective Banking Supervision.” Basel Committee on Banking Supervision, 1997. | zh_TW |
dc.relation.reference | 2.Cummins, J. D. and D. W. Sommer, 1996, “Capital and Risk in Property-liability Insurance Market.” Journal of Banking and Finance, 20: 1069-92. | zh_TW |
dc.relation.reference | 3.Cummins, J. D., M. F. Grace and R. D. Phillips, 1999, “Regulatory Solvency Prediction in Property-Liability Insurance: Risk-Based Capital, Audit Ratios, and Cash-Flow Simulation.” Journal of Risk and Insurance, 66: 417-458. | zh_TW |
dc.relation.reference | 4.Cummins, J. D., S. E. Harrington, and R. Klein, 1995, “Insolvency Experience, Risk-Based Capital, and Prompt Corrective Action in Property-Liability Insurance.” Journal of Banking and Finance, 19: 511-527. | zh_TW |
dc.relation.reference | 5.Daykin, C.D., Hey, G.B., 1991, “A Management Model of a General Insurance Company Using Simulation Techniques, Management the Insolvency Risk of Insurance Company.” Kluwer Academic Publishers, Boston. | zh_TW |
dc.relation.reference | 6.Duffie, D. and J. Pan, 1997, “An Overview of Value At Risk.” Journal of Derivatives, 7-49. | zh_TW |
dc.relation.reference | 7.Grace, M. F., S. E. Harrington, and R. Klein, 1998, “Risk-Based Capital and Solvency Screening in Property-Liability Insurance: Hypotheses and Empirical Tests.” Journal of Risk and Insurance, 65: 213-243. | zh_TW |
dc.relation.reference | 8.Hendricks, Darryll., 1996, “Evaluation of Value-at-Risk Models Using Historical Data.” Economics Policy Review, 39-69. | zh_TW |
dc.relation.reference | 9.Jorion, P., 2001, “Value at Risk–The New Benchmark for Managing Financial Risk.” The McGraw-Hill Companies, Inc. | zh_TW |
dc.relation.reference | 10.Jorion, P., 1997, “Value at Risk–The New Benchmark for Controlling Market Risk.” McGraw-Hill Book Company. | zh_TW |
dc.relation.reference | 11.Jorion, P., 1996, “Risk2 –Measuring the Risk in Value at Risk.” Financial Analysts Journal, November─December. | zh_TW |
dc.relation.reference | 12.Lee, S. J., Mayers, D. and Smith, C. W., 1997, “Guaranty Funds and Risk-taking Evidence from the insurance industry.” Journal of Financial Economics, 44: 3-24. | zh_TW |
dc.relation.reference | 13.Morgan, J. P., 1996, “RiskMetrics Technical Document, Fourth Edition.” New York. | zh_TW |
dc.relation.reference | 14.Myers, S. C. and Read, J. A., 2001, “Capital Allocation for Insurance Companies.” Journal of Risk and Insurance, 68: 545-580. | zh_TW |
dc.relation.reference | 15.“Overview of the New Basel Capital Accord Consultative Document.” Basel Committee on Banking Supervision, 2001. | zh_TW |
dc.relation.reference | 16.“The New Basel Capital Accord Consultative Document.” Basel Committee on Banking Supervision, 2001. | zh_TW |
item.languageiso639-1 | en_US | - |
item.grantfulltext | open | - |
item.openairetype | thesis | - |
item.fulltext | With Fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
item.cerifentitytype | Publications | - |
Appears in Collections: | 學位論文 |
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