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題名:風險分析與損失預測-以健康保險和運輸風險管理為例
作者:楊雅玲
作者(外文):Ya-Ling Yang
校院名稱:國立高雄第一科技大學
系所名稱:管理研究所
指導教授:竟茠�
學位類別:博士
出版日期:2006
主題關鍵詞:風險管理國際運輸健康保險倒傳遞網路自組織映射網路損失預測風險分類Self-Organizing Maploss predictionhealth insuranceBack-Propagation Networkrisk managementrisk analysisinternational transportation
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摘要
近年來風險管理的概念,已被大量運用在公私營機構之營運中。而由
於電腦資訊科技的發達,使得釵h人工智慧方法快速地被開發出來,並廣
泛地應用於各領域。若能有效的藉助人工智慧方法之優越學習能力,來進
行風險的辨識、分析、衡量,則可增加機構執行風險管理之效率。
本文運用人工智慧方法中的自組織映射網路(Self-Organizing Map,
SOM)和倒傳遞網路(Back-Propagation Network,BPN)做為風險分析和損失
預測的工具:
提出結合SOM 和BPN 的方法,攫取兩種網路優點,建構風險調整模
型來預測個人醫療費用,以減輕健保市場的逆選擇現象和刮脂效應,確保
健保市場的公平與效率。除結合SOM 和BPN 來預測個人醫療費用外,並
以線性迴歸模型、半對數迴歸模型,及未經SOM 分類之BPN 模型,為結
合SOM 和BPN 模型之標竿模型(benchmark model),進行各預測模型的預
測能力比較,以驗證此研究方法的可行性。結果發現:(1)鑑於健保資料分
配的特殊性,進行風險分類可增加模型之預測能力。(2)透過SOM 視覺化
的工具,將全民健保被保險人分為高風險群和低風險群兩類。(3)結合SOM
和BPN 比單獨使用BPN 或線性迴歸模型之預測能力高。
本論文亦利用之SOM 資料探勘(data mining)弁遄A對IC 類產品在運
送過程可能產生的風險進行辨識、分類,並進行風險衡量,最後提出風險
管理對策給予IC 貨主及運送人參考,以降低運送過程可能產生的損失。
本研究發現:(1)主要產生的運輸危險因素有:毀損、被竊和濕損,約占
93.43%。(2) 90.57%的貨損,主要是直接的人為疏忽所造成的。(3)SOM 進
ii
行風險分類和資料採礦,結果可分成兩類:高損失幅度和低損失幅度兩
類。(4)而從資料採礦的資料特徵中,可知不同運送方式所產生的損失並不
相同。(5)針對不同運送方式提出提供風險管理對策,因運送之貨物損害大
部分為人為因素,所以損失的減輕與預防是較經濟且有效的。
ABSTRACT
This dissertation is concerned with the investigation of the use of two kinds
of artificial neural models, i.e. Kohonon Self-Organization Map (SOM) and
Back-Propagation Network (BPN), for the issues of health insurance and risk
management of international transportation.
First, this dissertation develops a formula for calculating individual medical
expenditures. In particular, SOM and BPN neural network models are
integrated to establish a risk adjustment model in which risk characteristics of
beneficiary health within the same cohort classified by SOM are highly
homogeneous while the numbers of individuals within each cohort remain
sufficient to satisfy the Law of Large Numbers so that estimations of individual
medical expenditures made using BPN would more closely approach the actual
incurred spending. The main conclusion of the analysis is that such a risk
adjustment model would permit policymakers to include more risk adjusters
besides demographic adjusters only in capitation formula, and moreover would
have better predictive power thus reducing incentives for cream skimming by
health care providers.
iv
In addition, this dissertation states an overall study to understand the risk
factors during international transportation and the characteristics of risk factors
of integrated circuit (IC) products by using SOM, and constructs the model of
risk measurement by collecting data and proposes risk management
suggestions for carriers and IC products manufacturers. The main conclusions
of this issue include: (1) the primary perils of international transportation are
damage, theft and wetting. These perils consisted of 93.43%. (2) Ninety-one
percent of total claim cases can be attributed to human negligence directly. The
causes of losses include damage, non-delivery, theft and shortage. (3) The
claim cases can be classified into two clusters by SOM: high-loss cluster and
low-loss cluster. (4) The characteristics of loss between different transportation
modes are different. (5) Most claim cases can be attributed to human factors,
therefore, risk prevention and mitigation are the most economic and effective
strategy.
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