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題名 相關性對資本需求的影響：對產物保險業的模擬分析
作者 林宗佑
貢獻者 蔡政憲
林宗佑
關鍵詞 風險基礎資本
涉險值
相關係數矩陣
日期 2001
上傳時間 18-Apr-2016 16:29:07 (UTC+8)
摘要 VaR和RBC的差別主要在於風險相關性的結構，RBC以人為的方式設定風險之間為完全相關或完全無關，而VaR則經由歷史資料估計得到相關性的結構，當然也可能因估計的誤差而造成錯誤。
The major difference between risk-based capital (RBC) and value at risk (VaR) is the specification of the correlation structure among risks. RBC subjectively specifies that risks of insurers are either independent of each other or perfectly and positively correlated. Although VaR attempts to capture the underlying correlation structure through estimation of historical data, it is subject to estimation errors. The purpose of this paper is to examine how the mis-specification or mis-estimation of correlation structure affects the effectiveness of capital requirements in the property-casualty insurance industry.
參考文獻 Ambrose, J. M. and J. A. Seward, 1988, Best’s Rating, Financial Ratios, and Prior Probabilities in Insolvency Prediction, Journal of Risk and Insurance, 55: 229-244.
BarNiv, R. and R. A. Hershbarger, 1990, Classifying Financial Distress in the Life Insurance Industry, Journal of Risk and Insurance, 57: 110-136.
BarNiv, R. and J. B. MacDonald, 1992, Identifying Financial Distress in the Insurance Industry: A Synthesis of Methodological and Empirical Issues, Journal of Risk and Insurance, 59: 543-573.
Beekman, J. A. and C. P. Fuelling, 1990, Interest and Mortality Randomness in Some Annuities, Insurance: Mathematics and Economics, 9: 185-196.
Beekman, J. A. and C. P. Fuelling, 1993, One Approach to Dual Randomness in Life Insurance, Scandinavian Actuarial Journal, 2: 173-182.
Best’s Aggregates & Averages, 2000 (Oldwick, N.J.: A.M. Best Co.).
Brockett, P. L., W. W. Cooper, L. L. Golden, and U. Pitaktong, 1994, A Neural Network Method for Obtaining an Early Warning of Insurer Insolvency, Journal of Risk and Insurance, 61: 402-424.
Brown, M. J., J. M. Carson, and R. E. Hoyt, 1999, Economic and Market Predictors of Insolvencies in the Life-Health Insurance Industry, Journal of Risk and Insurance, 66: 643-659.
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.
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.
Dimson, E. and P. Marsh, 1997, Stress Tests of Capital Requirements, Journal of Banking and Finance, 21: 1515-1546.
Dowd, K., 1998, Beyond Value at Risk: The New Science of Risk Management (New York: John Wiley & Sons).
Duan, J. C., 1994, Maximum Likelihood Estimation Using Price Data of the Derivative Contract, Mathematical Finance, 4: 155-167.
Harrington, S. E. and G. R. Niehaus, 1999, Risk Management and Insurance (Taipei: Irwin McGraw-Hill).
Jorion, P., 2001, Value at Risk: The New Benchmark for Managing Financial (Taipei: McGraw-Hill).
Marceau, E. and P. Gaillardetz, 1999, On Life Insurance Reserves in a Stochastic Mortality and Interest Rates Environment, Insurance: Mathematics and Economics, 25: 261-280.
Parker, G., 1994, Moments of the Present Value of a Portfolio of Policies, Scandinavian Actuarial Journal, 1: 53-67.
Parker, G., 1997, Stochastic Analysis of the Interaction Between Investment and Insurance Risks, North American Actuarial Journal, 1: 55-84.
Taylor, G. C., 1986, Claim Reserving in Non-Life Insurance (New York: North-Holland).
Vasicek, O., 1977, An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, 5: 177-188.
描述 碩士
國立政治大學
風險管理與保險研究所
88358019
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001480
資料類型 thesis
dc.contributor.advisor 蔡政憲zh_TW
dc.contributor.author (Authors) 林宗佑zh_TW
dc.creator (作者) 林宗佑zh_TW
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:29:07 (UTC+8)-
dc.date.available 18-Apr-2016 16:29:07 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:29:07 (UTC+8)-
dc.identifier (Other Identifiers) A2002001480en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85429-
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) 88358019zh_TW
dc.description.abstract (摘要) VaR和RBC的差別主要在於風險相關性的結構，RBC以人為的方式設定風險之間為完全相關或完全無關，而VaR則經由歷史資料估計得到相關性的結構，當然也可能因估計的誤差而造成錯誤。zh_TW
dc.description.abstract (摘要) The major difference between risk-based capital (RBC) and value at risk (VaR) is the specification of the correlation structure among risks. RBC subjectively specifies that risks of insurers are either independent of each other or perfectly and positively correlated. Although VaR attempts to capture the underlying correlation structure through estimation of historical data, it is subject to estimation errors. The purpose of this paper is to examine how the mis-specification or mis-estimation of correlation structure affects the effectiveness of capital requirements in the property-casualty insurance industry.en_US
dc.description.tableofcontents 封面頁
證明書
論文摘要
第一章　簡介
第二章　模擬方法
第三章　模擬結果
第四章　結論
參考文獻
估計資料圖		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001480en_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) 相關係數矩陣zh_TW
dc.title (題名) 相關性對資本需求的影響：對產物保險業的模擬分析zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Ambrose, J. M. and J. A. Seward, 1988, Best’s Rating, Financial Ratios, and Prior Probabilities in Insolvency Prediction, Journal of Risk and Insurance, 55: 229-244.
BarNiv, R. and R. A. Hershbarger, 1990, Classifying Financial Distress in the Life Insurance Industry, Journal of Risk and Insurance, 57: 110-136.
BarNiv, R. and J. B. MacDonald, 1992, Identifying Financial Distress in the Insurance Industry: A Synthesis of Methodological and Empirical Issues, Journal of Risk and Insurance, 59: 543-573.
Beekman, J. A. and C. P. Fuelling, 1990, Interest and Mortality Randomness in Some Annuities, Insurance: Mathematics and Economics, 9: 185-196.
Beekman, J. A. and C. P. Fuelling, 1993, One Approach to Dual Randomness in Life Insurance, Scandinavian Actuarial Journal, 2: 173-182.
Best’s Aggregates & Averages, 2000 (Oldwick, N.J.: A.M. Best Co.).
Brockett, P. L., W. W. Cooper, L. L. Golden, and U. Pitaktong, 1994, A Neural Network Method for Obtaining an Early Warning of Insurer Insolvency, Journal of Risk and Insurance, 61: 402-424.
Brown, M. J., J. M. Carson, and R. E. Hoyt, 1999, Economic and Market Predictors of Insolvencies in the Life-Health Insurance Industry, Journal of Risk and Insurance, 66: 643-659.
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.
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.
Dimson, E. and P. Marsh, 1997, Stress Tests of Capital Requirements, Journal of Banking and Finance, 21: 1515-1546.
Dowd, K., 1998, Beyond Value at Risk: The New Science of Risk Management (New York: John Wiley & Sons).
Duan, J. C., 1994, Maximum Likelihood Estimation Using Price Data of the Derivative Contract, Mathematical Finance, 4: 155-167.
Harrington, S. E. and G. R. Niehaus, 1999, Risk Management and Insurance (Taipei: Irwin McGraw-Hill).
Jorion, P., 2001, Value at Risk: The New Benchmark for Managing Financial (Taipei: McGraw-Hill).
Marceau, E. and P. Gaillardetz, 1999, On Life Insurance Reserves in a Stochastic Mortality and Interest Rates Environment, Insurance: Mathematics and Economics, 25: 261-280.
Parker, G., 1994, Moments of the Present Value of a Portfolio of Policies, Scandinavian Actuarial Journal, 1: 53-67.
Parker, G., 1997, Stochastic Analysis of the Interaction Between Investment and Insurance Risks, North American Actuarial Journal, 1: 55-84.
Taylor, G. C., 1986, Claim Reserving in Non-Life Insurance (New York: North-Holland).
Vasicek, O., 1977, An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, 5: 177-188.		zh_TW