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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 曾郁仁 | |
| dc.contributor.author | Cheng-Nan Chen | en |
| dc.contributor.author | 陳正男 | zh_TW |
| dc.date.accessioned | 2021-06-15T00:32:07Z | - |
| dc.date.available | 2010-02-03 | |
| dc.date.copyright | 2009-02-03 | |
| dc.date.issued | 2008 | |
| dc.date.submitted | 2009-01-15 | |
| dc.identifier.citation | Almagro, Manuel, Sonlin, Stephen M., 1995, An Approach to Evaluating Asset Allocation Strategies for Property/Casualty Insurance Companies, Casualty Actuarial Society Discussion Paper Program, 55-79.
Bohra, R., Weist, T., 2001, Preliminary Due Diligence of DFA Insurance Company, Casualty Actuarial Society Forum, 25-58. Browne, M. J. , Hoyt, R. E., 1995, Economic and Market Predictors of Insolvencies in the Property-Liability Insurance Industry, The Journal of Risk and Insurance, 62(2), 309-327. Browne, M. J., Carson, J.M., Hoyt, R. E., 1999, Economic and Market Predictors of Insolvencies in the Life-Health Insurance Industry, The Journal of Risk and Insurance, 66(4), 643-659. Browne, M. J., Carson, J. M., Hoyt, R. E., 2001, Dynamic financial models of life insurers, North American Actuarial Journal, 5, 11-26. Cummins, J.D., 1992, A Cash-Flow Simulation Approach to Risk-Based Capital Estimation in Property-Liability Insurance, Alliance of American Insurers Chan Fang-Shu, Lu Pi-Ju, 2006, An Empirical Study on the Solvency Prediction of Value at Risk and Risk-Based Capital, Journal of Risk Management, Vol. 8, 3, 293-308 Christofides, S., 2000, Discussion of Corporate Decisions in General Insurance: Beyond the Frontier by M. P. Cumberworth, A. N. Hitchcox, W. D. McConnell and A. D. Smith, British Actuarial Journal, Vol. 6(II), 259-296. D’Arcy, S. P., Gorvett, R. W., 2004, The Use of Dynamic Financial Analysis to Determine Whether An Optimal Growth Rate Exists for A Property-Liability Insurer, The Journal of Risk and Insurance 71, 583-615. D’Arcy, S. P., Gorvett, R. W., Hettinger, T. E., Walling, R.J., 1998, Using the Public Access DFA Model: A Case Study, Casualty Actuarial Society Forum, 53-118. Daykin et al., 1990, Managing Uncertainty in a General Insurance Company, Journal of the Institute of Actuaries, Vol. 117, Part 2, 173-277. Kaufman, A. M., Ryan, T. A. 2000, Strategic Asset Allocation for Multi-Line Insurers Using Dynamic Financial Analysis, Casualty Actuarial Society Forum, 1-20. Kaufmann, R., Gadmer, A., Klett, R., 2001, Introduction to Dynamic Financial Analysis, Astin Bulletin, Vol. 31, (1), 213-249. Krouse, C. G., 1970, Portfolio Balancing Corporate Assets and Liabilities with Special Application to Insurance Management, Journal of Financial and Quantitative Analysis, Vol. 5, Issue 1, 77-104. Laster, D., Thorlacius, A. E., 2000, Asset-liability Management for Insurers, Swiss Re, Sigma, No. 6, 1-36. Li Jing-I, 2005, Use Dynamic Financial Analysis Modeling for Catastrophe Insurance, Unpublished paper, National Central University Lowe, S. P., Stanard, J. N., 1996, An Integrated Dynamic Financial Analysis and Decision Support System for A Property Catastrophe Reinsurer, Casualty Actuarial Society Forum, 89-118. Vasicek, O., 1977, An Equilibrium Characterization of the Term Structure, Journal of Financial Economics, 5, 177-188. Wilkie, A.D., 1986, A Stochastic Investment Model for Actuarial Use, Transactions of Faculty of Actuaries, Vol. 39, 341-403 | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/41799 | - |
| dc.description.abstract | 隨著國內住宅地震險的投保率提升，台灣地震保險基金之規模也逐漸增加。但現行的地震基金預測模型仍著重在負債面的風險管理，資產部分則維持靜態的投資策略。本研究以兼顧資產與負債面的動態財務分析為工具，模擬不同投資情境下基金未來淨值的變化。本文中債券報酬與利率走勢模擬主要採用CIR模型，股價模型假設為符合幾何布朗寧運動；負債部分則以古騰堡-里克特法則（Gutenberg-Richter Law）與波松分配為模擬依據。根據模擬結果，建議地震基金減少現金部位並增加債券持有比例，以使其在一定的破產機率下將資金做更有效的運用。 | zh_TW |
| dc.description.abstract | The accumulated asset of Taiwan Residence Earthquake Insurance Fund (TREIF) has largely increased in recent years due to the growth of take-up rate in Taiwan. The forecast model used by TREIF, however, focuses only on the management of liability side and simulates the fund asset by static investment strategy. In this paper, we apply dynamic financial analysis (DFA) technique to simulate the accumulated fund value under various customized scenarios. We use CIR model to simulate bond prices and interest rates, and assume that the stochastic process can be applied to our model where we use Geometric Brownian Motion to execute stock simulations. As for the liability model, it is based on Gutenberg-Richter Law and Poisson distribution. According to the simulation results, we suggest TREIF to reduce its cash position but increase the weight on bonds investment, so that the asset can be better allocated. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-15T00:32:07Z (GMT). No. of bitstreams: 1 ntu-97-R95723090-1.pdf: 1376306 bytes, checksum: 5b70bf120d6833438552c534927a4835 (MD5) Previous issue date: 2008 | en |
| dc.description.tableofcontents | 1. INTRODUCTION........................................ 1
1.1 Background......................................... 1 1.2 Motivation and Purpose............................. 2 1.3 Research Structure................................. 4 2. RESEARCH METHODOLOGY................................ 5 2.1 Introduction of DFA................................ 5 2.1.1 Literature Reviews............................... 6 2.1.2 Analysis Process................................. 7 2.2 Financial Models................................... 9 2.2.1 Asset Side Model................................. 9 2.2.2 Liability Side Model............................. 13 3. MODEL SIMULATION.................................... 18 3.1 Facts about TREIF.................................. 18 3.1.1 Short History of TREIF........................... 18 3.1.2 Risk Transfer Scheme............................. 19 3.1.3 Financial Data................................... 21 3.2 Simulation Results and Sensitivity Analysis........ 23 3.2.1 Base Model Result................................ 23 3.2.2 Sensitivity Analysis............................. 24 4. CONCLUSIONS......................................... 27 REFERENCES............................................. 28 | |
| dc.language.iso | en | |
| dc.subject | 敏感性分析 | zh_TW |
| dc.subject | 動態財務分析 | zh_TW |
| dc.subject | 地震保險基金 | zh_TW |
| dc.subject | 利率模型 | zh_TW |
| dc.subject | Sensitivity Analysis | en |
| dc.subject | Dynamic Financial Analysis | en |
| dc.subject | Earthquake Insurance Fund | en |
| dc.subject | Interest Rate Model | en |
| dc.title | 應用動態財務分析於地震保險基金 | zh_TW |
| dc.title | The Use of Dynamic Financial Analysis for An Earthquake Insurance Fund | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 97-1 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 王儷玲,田峻吉 | |
| dc.subject.keyword | 動態財務分析,地震保險基金,利率模型,敏感性分析, | zh_TW |
| dc.subject.keyword | Dynamic Financial Analysis,Earthquake Insurance Fund,Interest Rate Model,Sensitivity Analysis, | en |
| dc.relation.page | 29 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2009-01-16 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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|---|---|---|---|
| ntu-97-1.pdf 未授權公開取用 | 1.34 MB | Adobe PDF |
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