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題 名 | 臺灣產險業海外投資風險之衡量=The Evaluation of Foreign Investment Risk for Non-life Insurance Company-evidence from Taiwan |
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作 者 | 傅媺真; | 書刊名 | 真善研發期刊 |
卷 期 | 1:1 民94.11 |
頁 次 | 頁41-54 |
分類號 | 563.75 |
關鍵詞 | 風險值; 蒙地卡羅法; 投資組合; VaR; Monte carlo simulation; RBC; Portfolio; |
語 文 | 中文(Chinese) |
中文摘要 | 本文模擬產險公司進行海外投資組合風險值及信用風險評估並求出自有資本,同時也與風險基礎資本(RBC)方法求算,並將結果做一比較。以VaR方式來計算海外投資的風險值時,考量的風險較完整,並可針對模型的績效進行測試,而以RBC求算時,係依不同的信用等級給予不同的權數來計算,但此權數是否合理會影響到評估結果,故以VaR做為內部控管的模式,有助於RBC的風險控管方式的不足,而本文的實證方法可做為未來產險公司大舉進行海外投資時的風險評估及自有資本準備的參考。 |
英文摘要 | This paper focus on the simulation of the VaR and credit risk for non-life insurance company's foreign investment. Besides, we also calculates the minimum capital requirements and compares with Risk Based. Capital (hence RBC) system. The VaR model can consider the complete foreign investment risk and test the evaluation performances by backtesting. However, RBC system calculate the risk by different credit risk and weights which are reasonable or not will affect the evaluation. Manages the internal risk by VaR will serve as the auxiliary tool of RBC system. Our empirmental results will provide a reference for the evaluation of foreign investment risk for non-life insurance company. |
本系統中英文摘要資訊取自各篇刊載內容。