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題名:風險因子相關性與產險公司資本要求
書刊名:風險管理學報
作者:李君屏 引用關係張佑任
作者(外文):Lee, Jin-pingChang, Yu-jen
出版日期:2012
卷期:14:1
頁次:頁3-23
主題關鍵詞:核保風險投資風險費用風險相關結構風險值資本要求Underwriting riskInvestment riskExpense riskCorrelation structureCopulaCapital requirement
原始連結:連回原系統網址new window
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  • 共同引用共同引用:13
  • 點閱點閱:32
核保風險、投資風險及費用風險為產險公司經營的主要風險,現行對產險公司所採行之風險基礎資本(Risk Based Capital, RBC)規範,無法完全反映產險公司經營的風險,也忽略了各風險因子間的相關結構。因此,本文藉由不同copula函數捕捉產險公司各種風險因子間的尾部相關結構,以風險值(Value at Risk)來估計產險公司在不同信心水準下應提存的資本水準。結果顯示我國上市產險公司所面臨的各種風險因子間存在尾部非線性相關結構,同時我們也發現若以歐盟保險人清償能力計畫(Solvency II)所提倡之內部模型來訂定我國產險公司的資本要求時,所有上市產險公司目前的自有資本均明顯高於以內部模型估計之資本要求,表示台灣現行對於產險業的資本規範可能過於保守。
The capital standard under the current risk-based capital (RBC) approach can not reflect the real risks faced by property-casualty insurance companies (P&C insurance companies). The RBC approach also cannot take into account the effect of correlation structure among the risks faced by P&C insurance companies. This study applies different types of copulas to measure the effects of tail correlation among underwriting risk, investment risk and expense risk on capital requirements of P&C insurance companies. The result shows that there exists high tail correlation among risks of P&C insurance companies. We also find that the capital requirement calculated under the internal model-based approach is lower than the capital required calculated under the current RBC approach. It indicates the current capital standard is too conservative in the Taiwan P & C industry.
期刊論文
1.凌氤寶(1997)。台灣產物保險業最適資本與盈餘之研究。保險專刊,47,50-63。  延伸查詢new window
2.許文彥(2001)。保險業的最低資本與硏擬中的風險基礎資本規定。保險專刊,64,85-108。new window  延伸查詢new window
3.敬永康、葉詩瑾(2001)。運用風險値模型(VaR)衡量保險業之風險基礎資本額(RBC),貨幣觀測與信用評等31,90-99。  延伸查詢new window
4.蔡政憲、廖詩芸(2002)。臺灣產險業資本要求有效性之模擬硏究。保險專刊,18(2),113-130。new window  延伸查詢new window
5.Clemente, A. D.、Romano, C.(2004)。Measuring and optimizing portfolio credit risk: A copula-based approach。Economic Notes,33,325-357。  new window
6.Cummins, J. D.、Harrington, S. E.、Klein, R. W.(1995)。Solvency experience, risk-based capital, and prompt corrective action in property-liability insurance。Journal of Banking and Finance,19,511-527。  new window
7.Eling, M.、Toplek, D.(2009)。Modeling and management of nonlinear dependencies - copulas in dynamic financial analysis。The Journal of Risk and Insurance,76,651-681。  new window
8.He, X.、Gong, P.(2009)。Measuring the coupled risks: a copula-based CVaR model。Journal of Computational and Applied Mathematics,223,1066-1080。  new window
9.Nguyen, T.、Molinari, R. D.(2011)。Risk aggregation by using copulas in internal models。Journal of Mathematical Finance,1,50-57。  new window
10.Rosenberg, J. V.、Schuermann, T.(2006)。A general approach to integrated risk management with skewed, fat-tailed risks。Journal of Financial Economics,79,569-614。  new window
11.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
12.Sklar, M.(1959)。Fonctions de ŕepartition à n dimensions et leurs marges。Publ. Inst. Statist. Univ. Paris,8,229-231。  new window
13.Cummins, J. David、Grace, Martin F.、Phillips, Richard D.(1999)。Regulatory Solvency Prediction in Property-Liability Insurance: Risk-Based Capital, Audit Ratios, and Cash Flow Simulation。Journal of Risk and Insurance,66(3),417-458。  new window
14.陳建廷(2007)。保險業風險管理之變革與趨勢--從歐洲觀點。壽險管理期刊,20。  延伸查詢new window
研究報告
1.Cech, C.(2006)。Copula-based top-down approaches in financial risk aggregation。The University of Applied Sciences of bfi Vienna。  new window
2.Shim, J.、Lee, S.H.、MacMinn, R.(2009)。Measuring economic capital: Value at Risk, expected tail loss and copula approach。Illinois Wesleyan University。  new window
3.Tang, A.、Valdez, E. A.(2009)。Economic capital and the aggregation of risks using copulas, Working paper。School of Actuarial Studies and University of New South Wales。  new window
圖書
1.Bowman, A. W.、Azzalini, A.(1997)。Applied smoothing techniques for data analysis。United States:New York:Oxford University Press:Oxford University Press。  new window
2.Jouanin, J-F、Riboulet, G.、Roncalli, T,(2004)。Financial applications of copula functions, Risk Measures for the 21st Century。John Wiley。  new window
3.Kenney, R.(1967)。Fundamentals of fire and casualty insurance strength。Kenney Insurance Studies。  new window
4.Saunders, A.、Cornett, M. M.(2006)。Financial institutions management: a risk management approac。McGraw-Hill。  new window
5.Cherubini, U.、Luciano, E.、Vecchiato, W.(2004)。Copula Methods in Finance。John Wiley and Sons。  new window
6.McNeil, A. J.、Frey, R.、Embrechts, P.(2005)。Quantitative Risk Management: Concepts, Techniques and Tools。Princeton University Press。  new window
7.Jorion, P.(2007)。Value at Risk。New York:McGraw-Hill。  new window
其他
1.財團法人保險事業發展中心(2006)。「財產保險業資訊公開說明文件」導讀手冊,http://www.tii.org.tw/fcontent/information/information01.asp。  延伸查詢new window
圖書論文
1.Cummins, J. D.、Harrington, S. E.、Hiehaus, G.(1994)。Risk-based capital requirement for property-liability insurers: a financial analysis。The Financial Dynamics of the Insurance Industry。Homewood IL:Irwin Professional Publishers。  new window
 
 
 
 
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