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題名 風險基礎資本，情境分析及動態模擬破產預測模型之比較
Regulatory Solvency Prediction: Risk-Based Capital, Scenario analysis and Stochastic Simulation
作者 宋瑞琳
Sung, Jui-Lin
貢獻者 蔡政憲
Tsai, Cheng-Hsien
宋瑞琳
Sung, Jui-Lin
關鍵詞 風險基礎資本
涉險值
情境分析
動態財務分析
經濟模型分析
清償預測
清償監理
Risk-Based Capital
Value at Risk
Scenario Analysis
Dynamic Financial Analysis
Econometric Model Analysis
Solvency Prediction
Solvency Regulation
日期 2001
上傳時間 18-Apr-2016 16:28:29 (UTC+8)
摘要 保險公司清償能力一直是保險監理的重心，在所有現行的制度中風險基礎資本是最重要的，但此項制度仍有其缺點，因此其他動態分析模型被許多學者所提出，如涉險值及情境分析。雖然這些動態分析模型被學者所偏好，但監理機關仍須對這些模型的精確程度加以了解，這也是本篇論文所要研究的目的。
Solvency prediction of insurers has been the focus of insurance regulation. Among the solvency regulation systems, risked-based capital (RBC) is the most important but RBC still has some drawbacks. Thus, the dynamic financial analyses-scenario analysis and Value at Risk have been developed to be the regulation tool. Although, the scholars prefer the dynamic financial analysis, the regulators still want to make sure the accuracy of dynamic financial analysis. That is the purpose of our paper.
參考文獻 Reference
1. Ahlgrim, Kevin C. (1999), Investigating the use of value at risk in insurance, Working Paper, University of Illinois at Urbana-Champaign Department of Finance.
2. Altman, Edward I., 1992, Revisiting the High Yield Bond Market, Financial Management, 21: 78-92.
3. Ambrose, Jan M. and Anne M. Carroll, 1994, Using Best`s Ratings in Life Insurer Insolvency Prediction, The Journal of Risk and Insurance, 61:317-327.
4. Ambrose, Jan Mills and J. Allen Seward, 1988, Best`s Ratings, Financial Ratios and Prior Probabilities in Insolvency Prediction, The Journal of Risk and Insurance, 55:229-244.
5. Baraanoff, Etti G., Thomas W. Sager, and Robert C. Witt, 1999, Industry Segmentation and Predictor Motifs for Solvency Analysis of the Life/Health Insurance Industry, Journal of Risk and Insurance, 66:99-123.
6. BarNiv, Ran and Adi Raveh, 1989, Identifying Financial Distress: A New Nonparametric Approach, The Journal of Business Finance and Accounting, 16:361-381.
7. BarNiv, Ran and James B. McDonald, 1992, Identifying Financial Distress in the Insurance Industry: A Synthesis of Methodological and Empirical Issues, The Journal of Risk and Insurance, 543-574.
8. BarNiv, Ran and Robert A. Hershbarger, 1990, Classifying Financial Distress in the Life Insurance Industry, The Journal of Risk and Insurance, 57:110-136.
9. 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, The Journal of Risk and Insurance, 61:402-424.
10. Carson, James M. and Robert E. Hoyt, 1995, Life Insurer Financial Distress: Classification Models and Empirical Evidence, The Journal of Risk and Insurance, 62:764-775.
11. 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.
12. 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.
13. Dimson, Elroy and Paul Marsh, 1997, Stress tests of capital requirements, Journal of Banking & Finance, 21:1515-1546.
14. Grace, Martin F., Scott E. Harrington, and Robert W. Klein, 1998, Risk-Based Capital and Solvency Screening in Property-Liability Insurance: Hypotheses and Empirical Tests, The Journal of Risk and Insurance, 65:213-243.
15. Harrington, Scott E. and Jack M. Nelson, 1986, A Regression-Based Methodology for Solvency Surveillance in the Property-Liability Insurance Industry, The Journal of Risk and Insurance, 53:583-602.
16. 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.
17. Ibbotson Associates, Stocks, Bonds, Bills and Inflation: Yearbook (Chicago, IL: Ibbotson Associates).
18. Jackson, Patricia, David J. Maude, and William Perraudin, 1997, Bank Capital and Value at Risk, The Journal of Derivatives, 73-89.
19. Jorion, Philippe, 1997, Value at Risk: The New Benchmark for Controlling derivatives Risk, The McGraw-Hill companies.
20. Klein, Robert W., 1995, Insurance Regulation in Transition, The Journal of Risk and Insurance, 62:363-404.
21. Munch, Patricia and Dennis E. Smallwood, 1980, Solvency regulation in the property-liability insurance industry: empirical evidence, Bell Journal of Economics, 11:261-279.
22. Panning, William H., 1999, The Strategic Uses of Value at Risk: Long-Term Capital Management for Property/Casualty Insurers, North American Actuarial Journal, 2:84-105.
23. Pottier, Steven W., 1998, Life Insurer Financial Distress, Best`s Ratings and Financial Ratios, The Journal of Risk and Insurance, 65:275-288.
24. Pottier, Steven W. and David W. Sommer, 1999, Property-Liability Insurer Financial Strength Ratings: Differences Across Rating Agencies, The Journal of Risk and Insurance, 66:621-642.
25. Pottier, Steven W. and David W. Sommer, 1999, Capital Ratios and Property-Liability Insurer Insolvencies, Working Paper, University of Georgia.
26. West, Robert Craig, 1985, A Factor-Analytic Approach to Bank Condition., Journal of Banking and Finance, 9:253-266.
27. Wiener, Zvi, 1997, Introduction to VaR (Value-at-Risk), Working Paper, The Hebrew University of Jerusalem.
描述 碩士
國立政治大學
風險管理與保險研究所
88358013
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001462
資料類型 thesis
dc.contributor.advisor 蔡政憲zh_TW
dc.contributor.advisor Tsai, Cheng-Hsienen_US
dc.contributor.author (Authors) 宋瑞琳zh_TW
dc.contributor.author (Authors) Sung, Jui-Linen_US
dc.creator (作者) 宋瑞琳zh_TW
dc.creator (作者) Sung, Jui-Linen_US
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:28:29 (UTC+8)-
dc.date.available 18-Apr-2016 16:28:29 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:28:29 (UTC+8)-
dc.identifier (Other Identifiers) A2002001462en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85411-
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) 88358013zh_TW
dc.description.abstract (摘要) 保險公司清償能力一直是保險監理的重心，在所有現行的制度中風險基礎資本是最重要的，但此項制度仍有其缺點，因此其他動態分析模型被許多學者所提出，如涉險值及情境分析。雖然這些動態分析模型被學者所偏好，但監理機關仍須對這些模型的精確程度加以了解，這也是本篇論文所要研究的目的。zh_TW
dc.description.abstract (摘要) Solvency prediction of insurers has been the focus of insurance regulation. Among the solvency regulation systems, risked-based capital (RBC) is the most important but RBC still has some drawbacks. Thus, the dynamic financial analyses-scenario analysis and Value at Risk have been developed to be the regulation tool. Although, the scholars prefer the dynamic financial analysis, the regulators still want to make sure the accuracy of dynamic financial analysis. That is the purpose of our paper.en_US
dc.description.tableofcontents 封面頁
證明書
致謝詞
論文摘要
目錄
Introduction
Literature Review
Methodology and Data
Empirical Result
Conclusion
Reference
Appendix		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001462en_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) 情境分析zh_TW
dc.subject (關鍵詞) 動態財務分析zh_TW
dc.subject (關鍵詞) 經濟模型分析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 Capitalen_US
dc.subject (關鍵詞) Value at Risken_US
dc.subject (關鍵詞) Scenario Analysisen_US
dc.subject (關鍵詞) Dynamic Financial Analysisen_US
dc.subject (關鍵詞) Econometric Model Analysisen_US
dc.subject (關鍵詞) Solvency Predictionen_US
dc.subject (關鍵詞) Solvency Regulationen_US
dc.title (題名) 風險基礎資本，情境分析及動態模擬破產預測模型之比較zh_TW
dc.title (題名) Regulatory Solvency Prediction: Risk-Based Capital, Scenario analysis and Stochastic Simulationen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Reference
1. Ahlgrim, Kevin C. (1999), Investigating the use of value at risk in insurance, Working Paper, University of Illinois at Urbana-Champaign Department of Finance.
2. Altman, Edward I., 1992, Revisiting the High Yield Bond Market, Financial Management, 21: 78-92.
3. Ambrose, Jan M. and Anne M. Carroll, 1994, Using Best`s Ratings in Life Insurer Insolvency Prediction, The Journal of Risk and Insurance, 61:317-327.
4. Ambrose, Jan Mills and J. Allen Seward, 1988, Best`s Ratings, Financial Ratios and Prior Probabilities in Insolvency Prediction, The Journal of Risk and Insurance, 55:229-244.
5. Baraanoff, Etti G., Thomas W. Sager, and Robert C. Witt, 1999, Industry Segmentation and Predictor Motifs for Solvency Analysis of the Life/Health Insurance Industry, Journal of Risk and Insurance, 66:99-123.
6. BarNiv, Ran and Adi Raveh, 1989, Identifying Financial Distress: A New Nonparametric Approach, The Journal of Business Finance and Accounting, 16:361-381.
7. BarNiv, Ran and James B. McDonald, 1992, Identifying Financial Distress in the Insurance Industry: A Synthesis of Methodological and Empirical Issues, The Journal of Risk and Insurance, 543-574.
8. BarNiv, Ran and Robert A. Hershbarger, 1990, Classifying Financial Distress in the Life Insurance Industry, The Journal of Risk and Insurance, 57:110-136.
9. 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, The Journal of Risk and Insurance, 61:402-424.
10. Carson, James M. and Robert E. Hoyt, 1995, Life Insurer Financial Distress: Classification Models and Empirical Evidence, The Journal of Risk and Insurance, 62:764-775.
11. 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.
12. 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.
13. Dimson, Elroy and Paul Marsh, 1997, Stress tests of capital requirements, Journal of Banking & Finance, 21:1515-1546.
14. Grace, Martin F., Scott E. Harrington, and Robert W. Klein, 1998, Risk-Based Capital and Solvency Screening in Property-Liability Insurance: Hypotheses and Empirical Tests, The Journal of Risk and Insurance, 65:213-243.
15. Harrington, Scott E. and Jack M. Nelson, 1986, A Regression-Based Methodology for Solvency Surveillance in the Property-Liability Insurance Industry, The Journal of Risk and Insurance, 53:583-602.
16. 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.
17. Ibbotson Associates, Stocks, Bonds, Bills and Inflation: Yearbook (Chicago, IL: Ibbotson Associates).
18. Jackson, Patricia, David J. Maude, and William Perraudin, 1997, Bank Capital and Value at Risk, The Journal of Derivatives, 73-89.
19. Jorion, Philippe, 1997, Value at Risk: The New Benchmark for Controlling derivatives Risk, The McGraw-Hill companies.
20. Klein, Robert W., 1995, Insurance Regulation in Transition, The Journal of Risk and Insurance, 62:363-404.
21. Munch, Patricia and Dennis E. Smallwood, 1980, Solvency regulation in the property-liability insurance industry: empirical evidence, Bell Journal of Economics, 11:261-279.
22. Panning, William H., 1999, The Strategic Uses of Value at Risk: Long-Term Capital Management for Property/Casualty Insurers, North American Actuarial Journal, 2:84-105.
23. Pottier, Steven W., 1998, Life Insurer Financial Distress, Best`s Ratings and Financial Ratios, The Journal of Risk and Insurance, 65:275-288.
24. Pottier, Steven W. and David W. Sommer, 1999, Property-Liability Insurer Financial Strength Ratings: Differences Across Rating Agencies, The Journal of Risk and Insurance, 66:621-642.
25. Pottier, Steven W. and David W. Sommer, 1999, Capital Ratios and Property-Liability Insurer Insolvencies, Working Paper, University of Georgia.
26. West, Robert Craig, 1985, A Factor-Analytic Approach to Bank Condition., Journal of Banking and Finance, 9:253-266.
27. Wiener, Zvi, 1997, Introduction to VaR (Value-at-Risk), Working Paper, The Hebrew University of Jerusalem.		zh_TW