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題名 涉險值與風險基礎資本破產預測能力之比較
An Empirical Study on the Solvency Prediction of Value at Risk and Risk-Based Capital作者 呂璧如
Lu, Pi-Ju貢獻者 蔡政憲
Tsai, Cheng-Hsien
呂璧如
Lu, Pi-Ju關鍵詞 風險基礎資本
涉險值
動態財務分析
清償預測
清償監理
Risk-Based Capital
Value at Risk
Dynamic Financial Analysis
Solvency Prediction
Solvency Regulation日期 2000 上傳時間 31-Mar-2016 16:37:29 (UTC+8) 摘要 確保保險公司的清償能力一直是保險監理的重心。在所有施行的保險清償監理工具中，風險基礎資本（Risk-Based Capital, RBC）是目前為止最先進的代表。然銀行監理機關已經推薦涉險值（Value at Risk, VaR）系統為資本適足要求的工具，因此涉險值有很大的潛力成為下一代的保險資本適足要求工具，雖然尚未施行。由於保險監理的重要性以及RBC和VaR在其中扮演重要的角色，兩者相對上的精確性是我們所感興趣的。
Assuring insurance company solvency has always been the focal point of insurance regulation. Among the employed solvency regulation methods, RBC represents the currently state-of-the-art capital adequacy requirement. Bank regulators already advocated the use of VaR systems in capital adequacy requirements. Value at risk thus has great potential to be the next-generation capital adequacy regulation, although not implemented yet. Because of the importance of solvency regulation as well as the key role played in that regulation by RBC and VaR, the relative accuracy of RBC and VaR is of great interest.參考文獻 1.A. M. Best Co., 2000, 1999 Best’s Insurance Reports- Property & Casualty, A. M. Best Co.2.Ambrose, Jan M. and Anne M. Carroll, 1994, Using Best’s Ratings in Life Insurer Insolvency Prediction, Journal of Risk and Insurance, 61:317-327.3.Ambrose, Jan M. and J. Allen Seward, 1988, Best’s Rating, Financial Ratios and Prior Probabilities in Insolvency Prediction, Journal of Risk and Insurance, 55:229-244.4.BarNiv, Ran and Adi Raveh, 1989, Identifying Financial Distress: A New Nonparametric Approach, Journal of Business Finance & Accounting, 16:361-381.5.BarNiv, Ran and Robert A. Hershbarger, 1990, Classifying Financial Distress in the Life Insurance Industry, Journal of Risk and Insurance, 57:110-136.6.Basle Committee on Banking Supervision, 1996, Overview of the Amendment to the Capital Accord to Incorporate Market Risks, Bank for International Settlements.7.Brockett, Patrick L., William W. Cooper, Linda L. Golden, and Utai Pitaktong, 1994, A neural Network Method for Obtaining an Early Warning of Insurer Insolvency, Journal of Risk and Insurance, 61:402-424.8.Carson, James M. and Robert E. Hoyt, 1995, Life Insurer Financial Distress: Classification Models and Empirical Evidence, Journal of Risk and Insurance, 62:764-775.9.Cox, John C., Jonathan E. Ingersoll Jr., and Stephen A. Ross, 1985, A Theory of the Term Structure of Interest Rates, Econometrica, 53:385-407.10.Cummins, J. David, Martin F. Grace and Richard D. Phillips, 1999, Regulatory Solvency Prediction in Property-Liability Insurance: Risk-Based Capital, Audit Ratios, and Cash-Flow Simulation, Journal of Risk and Insurance, 66:417-458.11.Cummins, J. David, Scott E. Harrington, and Robert Klein, 1995, Insolvency Experience, Risk-Based Capital, and Prompt Corrective Action in Property-Liability Insurance, Journal of Banking and Finance, 19:511-527.12.Cummins, J. David, Scott E. Harrington, and Greg Niehaus, 1995, Risk-Based Capital Requirements for Property-Liability Insurers: a Financial Analysis, The Financial Dynamics of the Insurance Industry (Homewood, IL: Irwin Professional Publishers).13.D’Arcy, Stephen P., Richard W. Gorvett, Joseph A. Herbers, Thomas E. Hettinger, Steven G. Lehmann and Michael J. Miller, 1997, Building a Public Access PC-Based DFA Model, 1997 Call Paper Program, CAS Dynamic Financial Analysis Task Force on Variables, Casualty Actuarial Society.14.D’Arcy, Stephen P., Richard W. Gorvett, Thomas E. Hettinger and Robert J. Walling Ⅲ, 1998, Using the Public Access DFA Model: A Case Study, 1998 Call Paper Program, Dynamic Financial Analysis- Applications and Uses, CAS Dynamic Financial Analysis Task Force on Variables, Casualty Actuarial Society.15.Daykin, C.D. and G.B. Hey, 1991, A Management Model of a General Insurance Company Using Simulation Techniques, Managing the Insolvency Risk of Insurance Companies, Kluwer Academic Publishers, Boston.16.Daykin, C.D., G.D. Bernstein, S.M. Coutts, E.R.F. Devitt, G.B. Hey, D.I.W. Reynolds and P.D. Smith (U.K. Solvency Working Party), 1989, The Solvency of a General Insurance Company in Terms of Emerging Costs, Financial Models of Insurance Solvency, Kluwer Academic Publishers, Boston.17.Dimson, Elroy and Paul Marsh, 1997, Stress Tests of Capital Requirements, Journal of Banking & Finance, 21:1515-1546.18.Dowd, Kevin, 1998, Beyond Value at Risk: The New Science of Risk Management, John Wiley & Sons, New York.19.Grace, Martin F., Scott E. Harrington, and Robert Klein, 1998, Risk-Based Capital and Solvency Screening in Property-Liability Insurance: Hypotheses and Empirical Tests, Journal of Risk and Insurance, 65:213-243.20.Harrington, Scott E. and Jack M. Nelson, 1986, A Regression-Based Methodology for Solvency Surveillance in the Property-Liability Insurance Industry, Journal of Risk and Insurance, 53:583-602.21.Hodes, Douglas M., Sholom Feldblum and Antoine Neghaiwi, 1999, The Financial Modeling of Property-Casualty Insurance Companies, North American Actuarial Journal, 3.22.Huang, Chin-Sheng, Robert E. Dorsey, and Mary Ann Boose, 1994, Life Insurer Financial Distress Prediction: A Neural Network Model, Journal of Insurance Regulation, 13:131-167.23.Jorion, Philippe, 1997, Value at Risk: The New Benchmark for Controlling Market Risk, McGraw-Hill Companies, Inc.24.Lamm-Tennant, Joan, 1998, Enterprise Risk and Capital Management, Risk Insights for Life and Health Insurance Executives, General & Cologne Reinsurance, Inc.25.Liao, Shih-Yun, 1999, Value at Risk as an Insurance Solvency Regulation Tool: Comparisons with Risk-Based Capital, Unpublished Thesis, National Chengchi University.26.Longley-Cook, A.G., 1997, Insurance Risk Management Tool: Value at Risk and Risk Adjusted Economic Value, Actuarial Research Clearing House (ARCH), Society of Actuaries.27.Munch, Patricia and Dennis E. Smallwood, 1980, Solvency Regulation in the Property-Liability Insurance Industry: Empirical Evidence, Bell Journal of Economics, 11:261-279.28.O’Connor, Ronan, James Golden and Robert Reck, 1998, A Value at Risk Calculation of Required Reserves for Credit Risk in Corporate Lending Portfolios, North American Actuarial Journal, 3:72-83.29.Panning, William H., 1999, The Strategic Uses of Value at Risk: Long Term Capital Management for Property Casualty Insurers, North American Actuarial Journal, 3:84-105.30.Pottier, Steven W. and David W. Sommer, 1999, Capital Ratios and Property-Liability Insurer Insolvencies, Working Paper, University of Georgia.31.Securities and Exchange Commission (SEC), 1997, Disclosure of Accounting Policies for Derivative Financial Instruments Derivative Commodity Instruments and Disclosure of Quantitative Information about Market Risk Inherent in Derivative Financial Instruments, Other Financial Instrument, and Derivative Commodity Instruments, Release No. 33-7386.32.The Federal Reserve Board, 1995, Federal Reserve System 60, Fed.Reg.38142.33.The Technical Committee of the IOSCO, 1998, Methodologies for Determining Minimum Capital Standards for Internationally Active Securities Firms Which Permit the Use of Models Under Prescribed Conditions, A Report by the Technical Committee of the International Organization of Securities Commissions, International Organization of Securities Commissions.34.The Technical Committee of the IOSCO, 1999, Recognising a Firm’s Internal Market Risk Model for the Purposes of Calculating Required Regulatory Capital: Guidance to Supervisors, A Report by the Technical Committee of the International Organization of Securities Commissions, International Organization of Securities Commissions.35.Venter, Gary, John Gradwell, Mohammed Ashab and Alex Bushel, 1998, Implications of Reinsurance and Reserves on Risk of Investment Asset Allocation, 1998 DFA Call Paper Program, Casualty Actuarial Society.36.Walling Ⅲ, Robert J., Thomas E. Hettinger, Charles C. Emma and Shawna Ackerman, 1999, Customizing the Public Access Model Using Publicly Available Data, Casualty Actuarial Society Forum, Summer 1999 Edition, Including the Dynamic Financial Analysis Discussion Papers, Casualty Actuarial Society, 239-266.37.West, Robert C., 1985, A Factor-Analytic Approach to Bank Condition, Journal of Banking and Finance, 9:253-266. 描述 碩士
國立政治大學
風險管理與保險研究所
87358006資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002002031 資料類型 thesis dc.contributor.advisor 蔡政憲 zh_TW dc.contributor.advisor Tsai, Cheng-Hsien en_US dc.contributor.author (Authors) 呂璧如 zh_TW dc.contributor.author (Authors) Lu, Pi-Ju en_US dc.creator (作者) 呂璧如 zh_TW dc.creator (作者) Lu, Pi-Ju en_US dc.date (日期) 2000 en_US dc.date.accessioned 31-Mar-2016 16:37:29 (UTC+8) - dc.date.available 31-Mar-2016 16:37:29 (UTC+8) - dc.date.issued (上傳時間) 31-Mar-2016 16:37:29 (UTC+8) - dc.identifier (Other Identifiers) A2002002031 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/83350 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 風險管理與保險研究所 zh_TW dc.description (描述) 87358006 zh_TW dc.description.abstract (摘要) 確保保險公司的清償能力一直是保險監理的重心。在所有施行的保險清償監理工具中，風險基礎資本（Risk-Based Capital, RBC）是目前為止最先進的代表。然銀行監理機關已經推薦涉險值（Value at Risk, VaR）系統為資本適足要求的工具，因此涉險值有很大的潛力成為下一代的保險資本適足要求工具，雖然尚未施行。由於保險監理的重要性以及RBC和VaR在其中扮演重要的角色，兩者相對上的精確性是我們所感興趣的。 zh_TW dc.description.abstract (摘要) Assuring insurance company solvency has always been the focal point of insurance regulation. Among the employed solvency regulation methods, RBC represents the currently state-of-the-art capital adequacy requirement. Bank regulators already advocated the use of VaR systems in capital adequacy requirements. Value at risk thus has great potential to be the next-generation capital adequacy regulation, although not implemented yet. Because of the importance of solvency regulation as well as the key role played in that regulation by RBC and VaR, the relative accuracy of RBC and VaR is of great interest. en_US dc.description.tableofcontents 封面頁證明書致謝詞論文摘要INTRODUCTIONLITERATURE REVIEWMETHODOLOGYRESULTSCONCLUSIONS AND DISCUSSIONSREFERENCES zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002002031 en_US dc.subject (關鍵詞) 風險基礎資本 zh_TW dc.subject (關鍵詞) 涉險值 zh_TW dc.subject (關鍵詞) 動態財務分析 zh_TW dc.subject (關鍵詞) 清償預測 zh_TW dc.subject (關鍵詞) 清償監理 zh_TW dc.subject (關鍵詞) Risk-Based Capital en_US dc.subject (關鍵詞) Value at Risk en_US dc.subject (關鍵詞) Dynamic Financial Analysis en_US dc.subject (關鍵詞) Solvency Prediction en_US dc.subject (關鍵詞) Solvency Regulation en_US dc.title (題名) 涉險值與風險基礎資本破產預測能力之比較 zh_TW dc.title (題名) An Empirical Study on the Solvency Prediction of Value at Risk and Risk-Based Capital en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 1.A. M. Best Co., 2000, 1999 Best’s Insurance Reports- Property & Casualty, A. M. Best Co.2.Ambrose, Jan M. and Anne M. Carroll, 1994, Using Best’s Ratings in Life Insurer Insolvency Prediction, Journal of Risk and Insurance, 61:317-327.3.Ambrose, Jan M. and J. Allen Seward, 1988, Best’s Rating, Financial Ratios and Prior Probabilities in Insolvency Prediction, Journal of Risk and Insurance, 55:229-244.4.BarNiv, Ran and Adi Raveh, 1989, Identifying Financial Distress: A New Nonparametric Approach, Journal of Business Finance & Accounting, 16:361-381.5.BarNiv, Ran and Robert A. Hershbarger, 1990, Classifying Financial Distress in the Life Insurance Industry, Journal of Risk and Insurance, 57:110-136.6.Basle Committee on Banking Supervision, 1996, Overview of the Amendment to the Capital Accord to Incorporate Market Risks, Bank for International Settlements.7.Brockett, Patrick L., William W. Cooper, Linda L. Golden, and Utai Pitaktong, 1994, A neural Network Method for Obtaining an Early Warning of Insurer Insolvency, Journal of Risk and Insurance, 61:402-424.8.Carson, James M. and Robert E. Hoyt, 1995, Life Insurer Financial Distress: Classification Models and Empirical Evidence, Journal of Risk and Insurance, 62:764-775.9.Cox, John C., Jonathan E. Ingersoll Jr., and Stephen A. Ross, 1985, A Theory of the Term Structure of Interest Rates, Econometrica, 53:385-407.10.Cummins, J. David, Martin F. Grace and Richard D. Phillips, 1999, Regulatory Solvency Prediction in Property-Liability Insurance: Risk-Based Capital, Audit Ratios, and Cash-Flow Simulation, Journal of Risk and Insurance, 66:417-458.11.Cummins, J. David, Scott E. Harrington, and Robert Klein, 1995, Insolvency Experience, Risk-Based Capital, and Prompt Corrective Action in Property-Liability Insurance, Journal of Banking and Finance, 19:511-527.12.Cummins, J. David, Scott E. Harrington, and Greg Niehaus, 1995, Risk-Based Capital Requirements for Property-Liability Insurers: a Financial Analysis, The Financial Dynamics of the Insurance Industry (Homewood, IL: Irwin Professional Publishers).13.D’Arcy, Stephen P., Richard W. Gorvett, Joseph A. Herbers, Thomas E. Hettinger, Steven G. Lehmann and Michael J. Miller, 1997, Building a Public Access PC-Based DFA Model, 1997 Call Paper Program, CAS Dynamic Financial Analysis Task Force on Variables, Casualty Actuarial Society.14.D’Arcy, Stephen P., Richard W. Gorvett, Thomas E. Hettinger and Robert J. Walling Ⅲ, 1998, Using the Public Access DFA Model: A Case Study, 1998 Call Paper Program, Dynamic Financial Analysis- Applications and Uses, CAS Dynamic Financial Analysis Task Force on Variables, Casualty Actuarial Society.15.Daykin, C.D. and G.B. Hey, 1991, A Management Model of a General Insurance Company Using Simulation Techniques, Managing the Insolvency Risk of Insurance Companies, Kluwer Academic Publishers, Boston.16.Daykin, C.D., G.D. Bernstein, S.M. Coutts, E.R.F. Devitt, G.B. Hey, D.I.W. Reynolds and P.D. Smith (U.K. Solvency Working Party), 1989, The Solvency of a General Insurance Company in Terms of Emerging Costs, Financial Models of Insurance Solvency, Kluwer Academic Publishers, Boston.17.Dimson, Elroy and Paul Marsh, 1997, Stress Tests of Capital Requirements, Journal of Banking & Finance, 21:1515-1546.18.Dowd, Kevin, 1998, Beyond Value at Risk: The New Science of Risk Management, John Wiley & Sons, New York.19.Grace, Martin F., Scott E. Harrington, and Robert Klein, 1998, Risk-Based Capital and Solvency Screening in Property-Liability Insurance: Hypotheses and Empirical Tests, Journal of Risk and Insurance, 65:213-243.20.Harrington, Scott E. and Jack M. Nelson, 1986, A Regression-Based Methodology for Solvency Surveillance in the Property-Liability Insurance Industry, Journal of Risk and Insurance, 53:583-602.21.Hodes, Douglas M., Sholom Feldblum and Antoine Neghaiwi, 1999, The Financial Modeling of Property-Casualty Insurance Companies, North American Actuarial Journal, 3.22.Huang, Chin-Sheng, Robert E. Dorsey, and Mary Ann Boose, 1994, Life Insurer Financial Distress Prediction: A Neural Network Model, Journal of Insurance Regulation, 13:131-167.23.Jorion, Philippe, 1997, Value at Risk: The New Benchmark for Controlling Market Risk, McGraw-Hill Companies, Inc.24.Lamm-Tennant, Joan, 1998, Enterprise Risk and Capital Management, Risk Insights for Life and Health Insurance Executives, General & Cologne Reinsurance, Inc.25.Liao, Shih-Yun, 1999, Value at Risk as an Insurance Solvency Regulation Tool: Comparisons with Risk-Based Capital, Unpublished Thesis, National Chengchi University.26.Longley-Cook, A.G., 1997, Insurance Risk Management Tool: Value at Risk and Risk Adjusted Economic Value, Actuarial Research Clearing House (ARCH), Society of Actuaries.27.Munch, Patricia and Dennis E. Smallwood, 1980, Solvency Regulation in the Property-Liability Insurance Industry: Empirical Evidence, Bell Journal of Economics, 11:261-279.28.O’Connor, Ronan, James Golden and Robert Reck, 1998, A Value at Risk Calculation of Required Reserves for Credit Risk in Corporate Lending Portfolios, North American Actuarial Journal, 3:72-83.29.Panning, William H., 1999, The Strategic Uses of Value at Risk: Long Term Capital Management for Property Casualty Insurers, North American Actuarial Journal, 3:84-105.30.Pottier, Steven W. and David W. Sommer, 1999, Capital Ratios and Property-Liability Insurer Insolvencies, Working Paper, University of Georgia.31.Securities and Exchange Commission (SEC), 1997, Disclosure of Accounting Policies for Derivative Financial Instruments Derivative Commodity Instruments and Disclosure of Quantitative Information about Market Risk Inherent in Derivative Financial Instruments, Other Financial Instrument, and Derivative Commodity Instruments, Release No. 33-7386.32.The Federal Reserve Board, 1995, Federal Reserve System 60, Fed.Reg.38142.33.The Technical Committee of the IOSCO, 1998, Methodologies for Determining Minimum Capital Standards for Internationally Active Securities Firms Which Permit the Use of Models Under Prescribed Conditions, A Report by the Technical Committee of the International Organization of Securities Commissions, International Organization of Securities Commissions.34.The Technical Committee of the IOSCO, 1999, Recognising a Firm’s Internal Market Risk Model for the Purposes of Calculating Required Regulatory Capital: Guidance to Supervisors, A Report by the Technical Committee of the International Organization of Securities Commissions, International Organization of Securities Commissions.35.Venter, Gary, John Gradwell, Mohammed Ashab and Alex Bushel, 1998, Implications of Reinsurance and Reserves on Risk of Investment Asset Allocation, 1998 DFA Call Paper Program, Casualty Actuarial Society.36.Walling Ⅲ, Robert J., Thomas E. Hettinger, Charles C. Emma and Shawna Ackerman, 1999, Customizing the Public Access Model Using Publicly Available Data, Casualty Actuarial Society Forum, Summer 1999 Edition, Including the Dynamic Financial Analysis Discussion Papers, Casualty Actuarial Society, 239-266.37.West, Robert C., 1985, A Factor-Analytic Approach to Bank Condition, Journal of Banking and Finance, 9:253-266. zh_TW
