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| Title | 保險財務監理有效性之模擬測試 |
| 其他題名 | Simulation Tests on the Effectiveness of Insurance Solvency Regulation |
| Creator | 蔡政憲 |
| Contributor | 政治大學風險管理與保險系 行政院國家科學委員會 |
| Key Words | 財務監理;模擬測試;清償能力;有效性 Financial supervision;Simulation test;Solvency;Effectiveness |
| Date | 2000 |
| Date Issued | 22-Oct-2012 15:43:21 (UTC+8) |
| Summary | 預防保險公司破產一向是保險財務監理的首要工作之一，最直接的預防方法是設定保險公司的最低資本額要求。傳統的作法是設立固定的最低資本額要求，美國目前採用的是風險基礎資本，而風行於銀行業及證券業的則是涉險值。本文的目的，是探討這三種資本要求對台灣產險公司所能提供的破產預警能力。研究的方法是根據台灣市場的特性，模擬一間有代表性的產險公司未來的財務狀況，然後據以衡量各種資本要求破產預警的能力。我們發現不論是固定的最低資本額要求，RBC，或VaR 都有破產預警的能力，不過錯誤率仍然偏高。其中，固定最低資本額要求的效力最差，有最高型一及型二錯誤率，預測正確率也最低。RBC 與VaR 的破產預警能力則互有高低，RBC 雖較能事前偵測出破產的跡象，但其發出假警報的機率也比較高，總體的預測正確率也比VaR 低。 The top priority of solvency regulation has always been the prevention of insurers’ insolvencies. The most intuitive way to make such prevention is setting up minimum capital requirements. Traditionally, minimum capital requirements are constant. The United States currently adopts the risk-based capital requirements, while value at risk prevails in the banking and securities industries. The purpose of this paper is to examine the effectiveness of the above three capital requirements in providing early warnings against insolvencies for the property-casualty insurance industry in Taiwan. We first simulate numerous financial positions for a representative insurer in the cyber world similar to the markets of Taiwan and then examine the early warning capabilities of alternative capital requirements. We find that all of the three capital requirements have early warning capabilities significantly different from random guesses, although error rates are high. Constant minimum capital requirements are the worst among the three requirements for the highest type I and type II error rates and the lowest hit ratio. The advantage of VaR over RBC is not fully supported by this paper because VaR has higher type I error rate, even though VaR has lower type II error rate and higher hit ratio than RBC has. |
| Relation | 應用研究 學術補助 研究期間:8808 ~ 8907 研究經費:222仟元 |
| Type | report |
| dc.contributor | 政治大學風險管理與保險系 | en_US |
| dc.contributor | 行政院國家科學委員會 | en_US |
| dc.creator (作者) | 蔡政憲 | zh_TW |
| dc.date (日期) | 2000 | en_US |
| dc.date.accessioned | 22-Oct-2012 15:43:21 (UTC+8) | - |
| dc.date.available | 22-Oct-2012 15:43:21 (UTC+8) | - |
| dc.date.issued (上傳時間) | 22-Oct-2012 15:43:21 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/53848 | - |
| dc.description.abstract (摘要) | 預防保險公司破產一向是保險財務監理的首要工作之一，最直接的預防方法是設定保險公司的最低資本額要求。傳統的作法是設立固定的最低資本額要求，美國目前採用的是風險基礎資本，而風行於銀行業及證券業的則是涉險值。本文的目的，是探討這三種資本要求對台灣產險公司所能提供的破產預警能力。研究的方法是根據台灣市場的特性，模擬一間有代表性的產險公司未來的財務狀況，然後據以衡量各種資本要求破產預警的能力。我們發現不論是固定的最低資本額要求，RBC，或VaR 都有破產預警的能力，不過錯誤率仍然偏高。其中，固定最低資本額要求的效力最差，有最高型一及型二錯誤率，預測正確率也最低。RBC 與VaR 的破產預警能力則互有高低，RBC 雖較能事前偵測出破產的跡象，但其發出假警報的機率也比較高，總體的預測正確率也比VaR 低。 | - |
| dc.description.abstract (摘要) | The top priority of solvency regulation has always been the prevention of insurers’ insolvencies. The most intuitive way to make such prevention is setting up minimum capital requirements. Traditionally, minimum capital requirements are constant. The United States currently adopts the risk-based capital requirements, while value at risk prevails in the banking and securities industries. The purpose of this paper is to examine the effectiveness of the above three capital requirements in providing early warnings against insolvencies for the property-casualty insurance industry in Taiwan. We first simulate numerous financial positions for a representative insurer in the cyber world similar to the markets of Taiwan and then examine the early warning capabilities of alternative capital requirements. We find that all of the three capital requirements have early warning capabilities significantly different from random guesses, although error rates are high. Constant minimum capital requirements are the worst among the three requirements for the highest type I and type II error rates and the lowest hit ratio. The advantage of VaR over RBC is not fully supported by this paper because VaR has higher type I error rate, even though VaR has lower type II error rate and higher hit ratio than RBC has. | - |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | 應用研究 | en_US |
| dc.relation (關聯) | 學術補助 | en_US |
| dc.relation (關聯) | 研究期間:8808 ~ 8907 | en_US |
| dc.relation (關聯) | 研究經費:222仟元 | en_US |
| dc.subject (關鍵詞) | 財務監理;模擬測試;清償能力;有效性 | en_US |
| dc.subject (關鍵詞) | Financial supervision;Simulation test;Solvency;Effectiveness | en_US |
| dc.title (題名) | 保險財務監理有效性之模擬測試 | zh_TW |
| dc.title.alternative (其他題名) | Simulation Tests on the Effectiveness of Insurance Solvency Regulation | en_US |
| dc.type (資料類型) | report | en |