新風險指標Riskiness在保險業風險管理上的應用

Abstract

傳統上風險管理的風險指標，經常使用由JPMorgan公司所發明的風險值(VaR)方法。風險值方法，主要衡量特定的資產組合在持有期間和於給定的信賴區間內，由於市場價格變動所導致的最大預期損失。但風險值法畢竟有其不足之處，例如其信賴區間的決定沒有一定的標準、完全忽略分配的另一端而只考慮最壞的情形，以及忽略了信賴區間外可能發生的巨大損失風險。有鑒於此，本論文使用一項新的風險指標「Riskiness」作為研究，不僅具有許多良好的經濟性質，並且使用上也是相當方便，本篇論文即想要利用此一全新的風險指標，應用在保險公司的保單發行實務上，希望能達成與風險值方法相似的效果，並且把此新風險指標發揚光大。

When mentioning the risk management or risk index, we usually use VaR to deal with the risk, which is developed by JPMorgen Chase at 1990s. VaR is a widely used risk index of the risk of loss on a specific portfolio of financial assets. It is defined as a threshold value such that the probability that the mark-to-market loss on the portfolio over the given time horizon exceeds this value is the given probability level. However, there are some limits on it. For example, how to determine the significance level is not clear. And VaR method totally ignores the gain side and the “tail” loss. In this paper, I use a new risk index “Riskiness” to deal with the risk of insurance companies, and try to compare with the VaR and the traditional methods.