English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 114393/145446 (79%)
Visitors : 53040913      Online Users : 796
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85429


    Title: 相關性對資本需求的影響：對產物保險業的模擬分析
    Authors: 林宗佑
    Contributors: 蔡政憲
    林宗佑
    Keywords: 風險基礎資本
    涉險值
    相關係數矩陣
    Date: 2001
    Issue Date: 2016-04-18 16:29:07 (UTC+8)
    Abstract: 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.
    Reference: 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.
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    88358019
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002001480
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

    Files in This Item:

    There are no files associated with this item.



    All items in 政大典藏 are protected by copyright, with all rights reserved.


    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 ©   - Feedback