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題名:臺灣產險業核保風險之檢驗--以汽車保險為例
書刊名:風險管理學報
作者:賴丞坡 引用關係林文昌 引用關係
作者(外文):Lai, Paul Cheng-poLin, Wen-chang
出版日期:2006
卷期:8:3
頁次:頁205-231
主題關鍵詞:風險值損失率汽車保險蒙地卡羅模擬系統風險Value at riskLoss ratioAutomobile insuranceMonte carlo simulationSystematic risk
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(3) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:29
  • 點閱點閱:22
風險值的計算近年來已成為金融機構風險管理的重要工具。而過去產險業於此的應用,在關鍵的承保風險上經常受限於資料統計的頻率,而大幅影響其估計的精確度。本研究利用佔產險業務最大宗的車險月損失資料來計算個公司的風險損失率,相對於過去文獻僅能使用年資料,本文發現實際核保風險損失率可能被低估。此外,再由進一步的橫斷面迴歸發現,各產險公司之核保風險損失率也可能受經營風險和自由現金流量等因素的影響。最後,本文也依此重新估算承保市場貝它值,結果發現核保之系統風險不同於由年資料之估計而呈現顯著負值。本文的發現可作為產險公司與監理單位在費率制定及清償能力管理上的重要參考。
Using Value at Risk (VaR) as a tool of risk measurement has gained increasingly attention not only in the bank industry but also in the insurance industry, in which underwriting risk is also known as the most critical risk in the property and casualty insurance industry. However, one of the shortcomings in previous studies is that the loss data frequency appears to be low, thereby, significant bias may produce when measuring actual risk. In this paper, we use monthly loss data for the automobile insurance in Taiwan to calculate underwriting loss ratio-at-risk. Since it is generally believed to be a more adequate measurement in risk management, we find that the loss ratio-at-risk based on annual data are significantly underestimated. In the additional cross-sectional analysis, we find that some firm’s characteristics may be closely related to the underwriting loss ratio-at-risk. Finally, we also discover that the underwriting beta based on monthly data is significant different from zero which is inconsistent with zero beta result from annual data. Our findings can give important sights for regulators as well as firm managers when they are making decisions about pricing and risk management.
期刊論文
1.許文彥、王詩穎(20030300)。我國產險業最低資本額與資本結構之研究。風險管理學報,5(1),109-125。new window  延伸查詢new window
2.蔡政憲、吳佳哲(20001100)。保險法中之投資限制對保險業投資績效影響之實證研究。風險管理學報,2(2),1-36。new window  延伸查詢new window
3.Biger, Nihum、Kahane, Yehuda(1978)。Risk Considerations in Insurance Ratemaking。Journal of Risk and Insurance,45(1),121-132。  new window
4.Cummins, J. David、Harrington, Scott E.(1985)。Property-Liability Insurance Rate Regulation: Estimation of Underwriting Betas Using Quarterly Profit Data。Journal of Risk and Insurance,52,17-43。  new window
5.Fairley, William B.(1979)。Investment Income and Profit Margins in Property-Liability Insurance: Theory and Empirical Results。The Bell Journal of Economics,10(1),192-210。  new window
6.陳建勝、陳美菁、林明宏(20041100)。我國產險業資本結構與風險對獲利能力影響之研究。風險管理學報,6(3),273-290。new window  延伸查詢new window
7.Berger, Lawrence A.、Cummins, J. David、Tennyson, Sharon(1992)。Reinsurance and the Liability Crisis。Journal of Risk and Uncertainty,5,253-272。  new window
8.Cummins, J. David、Harrington, Scott E.(1988)。The Relationship Between Risk and Return: Evidence for Property-Liability Insurance Stocks。Journal of Risk and Insurance,55(1),15-31。  new window
9.Efron, Bradley(1979)。Bootstrap methods: Another look at the Jackknife。The Annals of Statistics,7(1),1-26。  new window
10.Efron, Bradley、Tibshirani, Robert J.(1985)。The Bootstrap Method for Assessing Statistical Accuracy。Behaviormetrika,17,1-35。  new window
11.Ferrari, J. Robert(1969)。A Note on the Basic Relationship of Underwriting, Investments, Leverage and Exposure to Total Return on Owners' Equity。Proceedings of the Casualty Actuarial Society,55,295-302。  new window
12.Panning, William H.(1999)。The Strategic Uses of Value at Risk: Long-term Capital Management for Property/Casualty Insurers。North American Actuarial Journal,3(2),84-105。  new window
13.Phillips, Richard D.、Cummins, J. David、Alien, Franklin(1998)。Financial pricing of insurance in the multiple-line insurance company。Journal of Risk and Insurance,65,597-636。  new window
14.Pottier, Steven W.、Sommer, David W.(1999)。Property-Liability Insurer Financial Strength Ratings: Differences Across Ration Agencies。Journal of Risk and Insurance,66,621-642。  new window
15.Syversten, Bjorne Dyre H.(2003)。Measuring Market Risk In Norwegian Financial Institutions。Bank of Norway Economic Bulletin,74,102-107。  new window
16.Wells, Brenda P.、Cox, Larry A.、Gaver, Kenneth M.(1995)。Free Cash Flow in the Life Insurance Industry。Journal of Risk and Insurance,62,50-66。  new window
17.Duffie, D.、Pan, J.(1997)。An Overview of Value at Risk。The Journal of Derivatives,4(3),7-49。  new window
18.Harrington, Scott E.(1983)。The Relationship Between Risk and Return: Evidence for Life Insurance Stocks。Journal of Risk and Insurance,50,587-610。  new window
19.Hill, Raymond D.(1979)。Profit regulation in property-liability insurance。Bell Journal of Economics,10,172-191。  new window
20.Klein, Robert W.、Phillips, Richard D.、Shiu, Wenyan(2002)。The Capital Structure of Firms Subject to Price Regulation: Evidence from the Insurance Industry。Journal of Financial Services Research,21,79-100。  new window
21.Jorion, P.(1996)。Risk 2: measuring the risk in value at risk。Financial Analysts Journal,52(6),47-56。  new window
22.Sommer, David W.(1996)。The Impact of Firm Risk on Property-liability Insurance Prices。Journal of Risk and Insurance,63(3),501-514。  new window
23.Jensen, Michael C.(1986)。Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers。The American Economic Review,76(2),323-329。  new window
24.Cummins, J. David、Sommer, David W.(1996)。Capital and Risk in Property-Liability Insurance Markets。Journal of Banking and Finance,20(6),1069-1092。  new window
25.Cummins, J. David(1988)。Risk-Based Premiums for Insurance Guaranty Funds。Journal of Finance,43(4),823-839。  new window
研究報告
1.Mina, Jorge、Ulmer, Andrew(1999)。Delta-Gamma Four Ways。Risk Metrics Group, LLC。  new window
圖書
1.Cummins, J. David、Weiss, Mary A.(1992)。Structure, Conduct, and Performance in Property-Liability Insurance, in Financial Condition and Regulation of Insurance Companies。Boston:Federal Reserve Bank of Boston。  new window
2.Chernick, Michael R.(1999)。Bootstrap Methods: A Practitioners Guide。New York, NY:John Wiley and Sons, Inc。  new window
3.Cooper, Robert W.(1974)。Investment Return and Property-Liability Insurance Ratemaking。Irwin。  new window
4.Harrington, Scott E.、Niehaus, Gregory R.(2004)。Risk Management and Insurance。New York。  new window
5.Jorion, Philippe(2000)。Value at Risk: The New Benchmark for Managing Financial Risk。The McGraw-Hill Companies Inc.。  new window
6.Mooney, C. Z.、Duval, R. D.(1993)。Bootstrapping: a non-parametric approach to statistical inference。Newbury Park, CA:Sage。  new window
7.Efron, Bradley、Tibshirani, Robert J.(1993)。An Introduction to the Bootstrap。Chapman & Hall/CRC。  new window
圖書論文
1.Cummins, J. David、Phillips, Richard D.(2000)。Applications of Financial Pricing Models in Property-Liability Insurance。Handbook of Insurance Economics (RPP130)。  new window
2.Cummins, J. David、Harrington, Scott E.、Niehaus, Greg(1995)。Risk-Based Capital Requirement for Property- Liability Insurers: A Financial analysis。The Financial Dynamic of Insurance Industry。Homewood, IL:Irwin Professional Publishers。  new window
 
 
 
 
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