政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/34094
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113656/144643 (79%)
造訪人次 : 51725517      線上人數 : 640
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/34094


    題名: 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
    作者: 潘原至
    Pan Yuan Chih
    貢獻者: 蔡政憲
    余清祥


    潘原至
    Pan Yuan Chih
    關鍵詞: 風險基礎資本
    相關係數
    模擬
    risk-based capital
    correlation
    simulation
    日期: 2002
    上傳時間: 2009-09-18
    摘要: 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.
    參考文獻: 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.
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    89358009
    91
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0089358009
    資料類型: thesis
    顯示於類別:[風險管理與保險學系] 學位論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    35800901.pdf8KbAdobe PDF2747檢視/開啟
    35800902.pdf9KbAdobe PDF2619檢視/開啟
    35800903.pdf9KbAdobe PDF2862檢視/開啟
    35800904.pdf8KbAdobe PDF2542檢視/開啟
    35800905.pdf179KbAdobe PDF2925檢視/開啟
    35800906.pdf11KbAdobe PDF2789檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋