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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/34094


    Title: 相關係數對於風險基礎資本有效性之影響
    The Impact of Correlation on the Effectiveness of Risk-Based Capital
    Authors: 潘原至
    Pan Yuan Chih
    Contributors: 蔡政憲
    余清祥


    潘原至
    Pan Yuan Chih
    Keywords: 風險基礎資本
    相關係數
    模擬
    risk-based capital
    correlation
    simulation
    Date: 2002
    Issue Date: 2009-09-18
    Abstract: 本篇論文指出風險基礎資本對於保險公司的清償能力，並不是一個有效的預測工具。其中一個無效的理由可能是對於各個風險之間的相關係數矩陣沒有做正確的假設，但這個說法從未被證實。因此，本篇論文藉由一個模擬的產物保險公司資料，透過不同的共變數調整後總和風險基礎資本(Total RBC)的相關係數矩陣假設來檢測不同的相關係數矩陣對於風險基礎資本預測產險公司清償能力的有效性為何。我們建構了一個模擬模型來比較相關係數的設定對於資本要求有效性的影響。模擬結果證實，相關係數的設定對於預測產險公司清償能力的有效性並無影響。可能的原因是在模擬的過程中，計算風險基礎資本的風險類別的數量不夠多，所以造成相關係數並沒有顯著的影響。因此，調整風險基礎資本中共變異數的計算公式並不會增加風險基礎資本預測的有效性。
    From past work, it is believed that RBC is ineffective in predicting solvency. One of the possible reasons for causing ineffectiveness may be the unrealistic assumption about correlations among risks, but it is not yet confirmed. Thus, in this paper we investigate how the correlation specification in obtaining Total RBC after covariance affects the effectiveness of RBC for property-casualty insurers. We conduct simulations to compare the effectiveness of capital requirements with assorted correlation specifications. Simulation results confirm that correlation specification has no influence on effectiveness. Our conjuncture is that the number of risk categories in RBC is probably not large enough for correlation to have significant impact. Therefore, modifying the covariance formula alone will not improve the effectiveness of RBC.
    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, 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.
    Cox, J. C., J. E. Ingersoll, and S. A. Ross, 1985, A Theory of the Term Structure of Interest Rates, Econometrica, 53: 385-408.
    Grace, M. F., S. E. Harrington, and R. Klein, 1998, Risk-Based Capital and Solvency Screening in Property-Liability Insurance: Hypotheses and Empirical Tests, Journal of Risk and Insurance, 65:213-243.
    Jorion, P., 2001, Value at Risk: The New Benchmark for Managing Financial (Taipei: McGraw-Hill).
    Pottier, S. W. and D. W. Sommer, 1999, Capital Ratios and Property-Liability Insurer Insolvencies, Working Paper, University of Georgia.
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    89358009
    91
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0089358009
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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