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研究生:姜世杰
研究生(外文):Shi-Jie Jiang
論文名稱:產物保險公司最適風險附加費用率配置之研究
論文名稱(外文):A study of optimal risk loads allocation of property-liability insurance company in Taiwan
指導教授:賴麗華賴麗華引用關係
指導教授(外文):Lihua Lai
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:風險管理與保險所
學門:商業及管理學門
學類:風險管理學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:74
中文關鍵詞:風險附加費用率核保利潤
外文關鍵詞:risk loadsunderwriting profit
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在產物保險費率結構中風險附加費用為核保利潤的來源,佔有極為重要的地位,但在傳統精算處理中該附加費用(利潤)率卻一直以一固定慣用之比例決定,並無合理適當之理論根據,本文將精算與財務理論作一結合,以保險公司之目標總報酬模式為出發,並探討核保利潤之風險性質結構,求解各險種之最適風險附加費用率之配置與其對應之資產配置,以達成最適化其總報酬率之目標;同時本文並利用1990年至2000年之台灣產物保險產業以及A公司之各險種之損失資料,探討A公司在不同資產配置下各險種之最適風險附加費用率之配置情形,結果顯示一般主要的險種(火災保險、汽車保險及其他財產保險)均能因最適配置得到比原有一般之附加利潤率(6﹪)更低之附加利潤率,顯示若能妥善配置投資資產,不僅能最適化其總報酬率,消費者亦能以較低之保費成本取得保險,本文之研究成果可提供保險業界於2002年四月一日起附加保費部分費率自由化進程開展後作一參考。
In the price structure of property insurance, risk loads are the important source of underwriting profit. Although taking an important role, in traditional actuarial process, risk loads (profit) have been determined by using fixed rate and don’t have reasonable and proper theoretical basis. This article tries to combine actuarial and financial theory, using target total return model of insurance company as the first step, and then discuss the risk structure of underwriting return to find the optimal allocation of risk loads and the corresponding asset allocation for each insurance products so that we can optimize the total return; this article also uses Taiwan property insurance industry and A company’s data of product mixed loss dated from 1990 to 2000 to discuss A company’s allocation of optimal risk loads rate for each product mixed under different asset allocation.
The result shows that all of the common main insurance products (fire insurance, mobile insurance, and other property insurances) can get lower marginal return rate than common marginal return rate (6%) by optimizing the allocation. Therefore, if allocating the invested asset appropriately, we can optimize the total return, and the consumer can also pay lower premium to get the insurance. The result of this research can provide the insurance industry with further reference for insurance premium loading liberalization process on April 1, 2002.
中文提要---------------------------------------------------------i
英文提要--------------------------------------------------------- ii
誌謝 --------------------------------------------------------- iii
目錄---------------------------------------------------------iv
表目錄---------------------------------------------------------v
圖目錄---------------------------------------------------------vi
一、緒論---------------------------------------------------------1
1.1研究動機與目的 ---------------------------------------------------------1
1.2研究假設與限制---------------------------------------------------------5
1.3研究架構流程---------------------------------------------------------6
二、文獻探討---------------------------------------------------------7
三、投資與核保組合及風險附加費用率配置-------------------------------------------19
3.1核保組合之相關理論與模式建構推導-----------------------------------------21
3.2最適風險附加費用率配置之推導-----------------------------------------28
3.3可信度保費之估計-----------------------------------------39
四、實證分析-----------------------------------------45
4.1變數來源及說明-----------------------------------------45
4.1.1資產部分-----------------------------------------45
4.1.2核保部分-----------------------------------------47
4.2 資料分析-----------------------------------------50
五、結論與建議---------------------------------------------------------------------------63
5.1結論------------------------------------------------------------------------------------63
5.2建議與後續研究方向-----------------------------------------67
參考文獻-----------------------------------------70
附錄-----------------------------------------73
參考文獻一、中文部分1.長崎正造,1991,預定損失率之研究,保險事業發展中心編印。2.凌氤寶,2001,產物保險各險種附加費用分攤及經營績效衡量模型,保險專刊第65輯。3.賴麗華,1990,附加保費訂定對保險購買決策行為之分析,保險專刊第22輯。4.賴曜賢,1995,我國財產及責任保險費邊際利潤率決定模式,保險專刊第40輯。二、西文部分1.Beard, R.E. Pentikainen, T. and Pesonen, E. Risk Theory : The stochastic Basis of Insurance, London, Chapman and Hall, 19772.Bower, et.al. Actuarial Mathematics, 19973.Brubaker, R.E. “A Constrained Profit Maximization Model for a Multi-Line Property/Liability Company,” Total Return Due a Property-Casualty Insurance Company, CAS Discussion Paper Program, 19794.Buhlmann, H. Mathematical Methods in Risk Theory, translated by Brooks, C.E. New York,Springer-Verlag,19705.CAS Committee on Ratemaking Principles, Statement of Principles Regarding Property and Casualty Insurance Ratemaking, 19886.Casualty Actuarial Society , Foundation of Casualty Actuarial Science,19967.Coutts S.M. and Devitt, R. “The Assessment if the Financial Strength of Insurance Company by a Generalized Cash Flows Model”, In Cummins, J.D.and Derrig, R.A. ed, Financial Models of Insurance Solvency, Massachudetts: Kluwer. 19898.Cooper, R. Investment Return and Property-Liability Insurance Ratemaking, 19749.Cummins, J.D. and Nye, D. J. “Portfolio Optimization Models for Property-Liability Insurance Companies: An Analysis and Some Extension,” Management Science Vol.27,198110.Cummins, J.D. and Nye, J.D. ” Portfolio Optimization Model for Property Liability Insurance Companies: A Analysis and Some Extensions”, Management Science Vol.27: 198111.Fairley,W. “Investment Income and Profit Margins in Property Liability Insurance: Theory and Empirical Results, ”The Bell Journal of Economics, Vol.10,197912.Feldblum, S. ”Risk Loads For Insurers” PCAS, 199013.Ferrari, J.R.”A Theoretical Portfolio Selection Approach to Insuring Property and Liability Lines,” PCAS, 196714.Haugen, R.A and Kroncke, C.O.”A Portfolio Approach to Optimizing the Structure of Capital Claims and Assets of A stock Insurance Company”, Journal of Risk and Insurance ,Vol.37: 1970.15.Houston, D.B. “Risk , Insurance, and Sampling,” The Journal of Risk and Insurance, Vol.31:196416.Kahane, Y. and Nye, J.D.” A Portfolio Approach to the Property Insurance Industry”, Journal of Risk and Insurance ,Vol.42: 197517.Kahane, Y. and Nye, J.D. “Determination of the Product Mix and Business Policy of an Insurance Company-A Portfolio Approach”, Management Science ,Vol. 23: 197718.Kahane, Y. ”Generation of Investable Funds and the Portfolio Behavior of the Non-Life Insurers, “The Journal of Risk and Insurance, Vol. 45:197819.Panjer, H.H., Klngman, S.A., Willmot, G.E. Loss Models, 199820.Schnieper, R. “Portfolio Optimization” Astin Bulletin,Vol.30,No 1:200021.Tennant, J.L., After-Tax Optimization of Property-Liability Insurer’s Financial Decisions: Asset Allocation, Capital Structure and Product Line Mix, American Risk and Insurance Association. 199422.Webb, B.L. Harrison, C.M. Markham, J.J. Insurance operation , 199723.Woll, R.G. “Insurance Profits: Keeping Score,” Financial Analysis of Insurance Companies, CAS Discussion Paper Program, 1987
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