請用此 Handle URI 來引用此文件:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/48028
完整後設資料紀錄
DC 欄位 | 值 | 語言 |
---|---|---|
dc.contributor.advisor | 曾郁仁 | |
dc.contributor.author | I-Shen Chiang | en |
dc.contributor.author | 江易燊 | zh_TW |
dc.date.accessioned | 2021-06-15T06:44:43Z | - |
dc.date.available | 2014-07-25 | |
dc.date.copyright | 2011-07-25 | |
dc.date.issued | 2011 | |
dc.date.submitted | 2011-06-29 | |
dc.identifier.citation | Arrow, Kenneth J. 1971. “Essays in the Theory of Risk Bearing”. Chicago: Markham.
Aumann, R. J. and R. Serrano. 2008. “An Economic Index of Riskiness”. Journal of Political Economy, 2008, vol. 116, no. 5 Foster, Dean P., and Sergiu Hart. 2007. “An Operational Measure of Riskiness.” Discussion Paper no. 454, Center Study Rationality, Hebrew Univ. Jerusalem. Hadar, Josef, and William R. Russell. 1969. “Rules for Ordering Uncertain Prospects.” A.E.R. 59:25–34. Markowitz, H.M. 1952. “Portfolio Selection”. The Journal of Finance 7 (1): 77–91 Markowitz H M. 1959. Portfolio selection: efficient diversification of investments. New York: Wiley. Luce, R. Duncan. 1980. “Several Possible Measures of Risk.” Theory and Decision 13 1981: 381. Pratt, John. 1964. “Risk Aversion in the Small and in the Large.” Econometrica 32:122–36. Rothschild, Michael, and Joseph E. Stiglitz. 1970. “Increasing Risk: I. A Definition.” J. Econ. Theory 2:225–43. Sarin, Rakesh K. 1987. “Some Extensions of Luce’s Measures of Risk.” Theory and Decision 22:125–41. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/48028 | - |
dc.description.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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-06-15T06:44:43Z (GMT). No. of bitstreams: 1 ntu-100-R98723067-1.pdf: 401821 bytes, checksum: fc85d9cb8fe35077997d424e0ec03ffc (MD5) Previous issue date: 2011 | en |
dc.description.tableofcontents | 誌謝 1
中文摘要 2 Abstract 3 目錄 4 第一章 緒論 6 第二章 文獻回顧 7 2.1 風險指標的回顧 7 2.2 Riskiness風險指標 9 2.2.1 Riskiness風險指標的提出 9 2.2.2 Riskiness風險指標的性質 10 第三章 研究方法 11 3.1 保險公司的保單Riskiness 11 3.2 保險公司的損失分配模型 12 3.3 保險公司的保單類型 13 3.3.1 共保保單(co-insurance) 13 3.3.2 具有自負額(deductible)的保單 14 3.3.3 具有理賠上限(policy limit)的保單 15 3.4 各項變數對不同類型保單Riskiness的影響 16 3.4.1 保單自身參數與保單Riskiness的關係 16 3.4.2 外在參數與保單Riskiness的關係 16 第四章 研究結果 18 4.1 保單自身參數與保單Riskiness的關係 18 4.1.1 共保制度 18 4.1.2 自負額制度 20 4.1.3 理賠上限制度 22 4.2 外在參數與保單Riskiness的關係 24 4.2.1 共保制度 24 4.2.2 自負額制度 28 4.2.3 理賠上限制度 30 第五章 研究結論與建議 33 參考文獻 35 | |
dc.language.iso | zh-TW | |
dc.title | 新風險指標Riskiness在保險業風險管理上的應用 | zh_TW |
dc.title | The applications of a new risk index “Riskiness” on the
risk management of insurance companies | en |
dc.type | Thesis | |
dc.date.schoolyear | 99-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 黃瑞卿,王仁宏 | |
dc.subject.keyword | 風險,風險值,風險指標,Riskiness,保單風險, | zh_TW |
dc.subject.keyword | risk,value at risk,risk index,Riskiness,risk of insurance policy, | en |
dc.relation.page | 35 | |
dc.rights.note | 有償授權 | |
dc.date.accepted | 2011-06-29 | |
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 |
文件中的檔案:
檔案 | 大小 | 格式 | |
---|---|---|---|
ntu-100-1.pdf 目前未授權公開取用 | 392.4 kB | Adobe PDF |
系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。