Please use this identifier to cite or link to this item:

Title: 以EXCEL建構產險業之動態財務分析模型
Authors: 陳雲屏
Contributors: 蔡政憲
Keywords: 動態財務分析
Date: 2002
Issue Date: 2009-09-14 09:42:17 (UTC+8)
Abstract: 在本篇論文中,我們利用Excel軟體建立動態財務模型來預測產物保險公司未來可能的結果。動態財務分析的使用者可輸入自己想要的參數透過其中所建立模型得到未來三年產物保險公司可能的資產負債表、損益表、資產負債未來的圖形。我們使用幾何布朗運動來模擬資產的變動,且負債方面使用兩種方法來估計:損失率法與合計損失法。使用者可從動態財務模型模擬出來的結果得到相關的訊息並以其來做為資產配置、風險管理、定價策略決策的參考。對於未來的研究,建議增加VBA程式撰寫來將Excel的動態財務分析模型擴充成full-valuation的模型。
In this thesis, we have constructed a DFA model in Excel, which can predict possible future outcomes, over 36 months, for use by the property-liability insurance company industry. The DFA user would input some required parameters, after which the DFA model would generate output, including an income statement, balance sheet and patterns of assets and liabilities three years into the future. The DFA model measures the assets process by Geometric Brownian Motion; we use the loss ratio method and the aggregate loss method is used to estimate underwriting losses and reserves. The DFA system allows the user to input the parameters they feel are important, and gives them information relevant to property-insurance companies. Users may also use our system to make decisions about asset-liability allocation, risk management and pricing strategies. Future research may add a VBA program to our model, expanding it to a full-valuation DFA.
Reference: 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, The Journal of Risk and Insurance, 66, 3, 417-458.
D’Arcy Stephen P., W. G. Richard, and E. H. Thomas, Using the Public Access DFA :A Case Study,1988 Call Paper Program, Dynamic Financial Analysis - Applications and Uses.” CAS Dynamic Financial Analysis Task Force on Variables, Casualty Actuarial Society.
Kaufman R., A. Gadmer, and R. Klett ,2001, Introduction To Dynamic Financial Analysis ,ASTIN Bulletin 31, 213-249.
Mulvey, J. M., C. Madsen, and F. Morin, 1999,Linking Strategic and Tactical Planning Systems For Asset and Liability Management, Annals of Operations Research,85 , 249-266.
Mulvey J. M. and H.G. Erkan , 2003, Risk Management of A P/C Insurance Company Scenario Generation, Simulation and Optimization, Proceedings of the 2003 Winter Simulation Conference, 364-371.
Description: 碩士
Source URI:
Data Type: thesis
Appears in Collections:[風險管理與保險學系 ] 學位論文

Files in This Item:

File SizeFormat

All items in 學術集成 are protected by copyright, with all rights reserved.

社群 sharing