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Title:	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
Authors:	呂璧如 Lu, Pi-Ju
Contributors:	蔡政憲 Tsai, Cheng-Hsien 呂璧如 Lu, Pi-Ju
Keywords:	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
Date:	2000
Issue Date:	2016-03-31 16:37:29 (UTC+8)
Abstract:	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.
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Description:	碩士國立政治大學風險管理與保險研究所 87358006
Source URI:	http://thesis.lib.nccu.edu.tw/record/#A2002002031
Data Type:	thesis
Appears in Collections:	[Department of Risk Management and Insurance] Theses

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