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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/85429


    Title: 相關性對資本需求的影響：對產物保險業的模擬分析
    Authors: 林宗佑
    Contributors: 蔡政憲
    林宗佑
    Keywords: 風險基礎資本
    涉險值
    相關係數矩陣
    Date: 2001
    Issue Date: 2016-04-18 16:29:07 (UTC+8)
    Abstract: VaR和RBC的差別主要在於風險相關性的結構，RBC以人為的方式設定風險之間為完全相關或完全無關，而VaR則經由歷史資料估計得到相關性的結構，當然也可能因估計的誤差而造成錯誤。
    The major difference between risk-based capital (RBC) and value at risk (VaR) is the specification of the correlation structure among risks. RBC subjectively specifies that risks of insurers are either independent of each other or perfectly and positively correlated. Although VaR attempts to capture the underlying correlation structure through estimation of historical data, it is subject to estimation errors. The purpose of this paper is to examine how the mis-specification or mis-estimation of correlation structure affects the effectiveness of capital requirements in the property-casualty insurance industry.
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    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    88358019
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002001480
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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