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研究生:鄭瑞奇
研究生(外文):Cheng Jui-Chi
論文名稱:以GARCH選擇權模型評價保險安定基金之應用
論文名稱(外文):The Application to Pricing Premiums for Insurance Guaranty Funds - Using GARCH-based Option Pricing Model
指導教授:曾郁仁曾郁仁引用關係
指導教授(外文):Tzeng Yu-Ren
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:財務金融學研究所
學門:商業及管理學門
學類:財務金融學類
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:48
中文關鍵詞:保險安定基金失卻清償能力風險基準費率道德危險
外文關鍵詞:Insurance Guaranty FundInsolvencyRisk-based PremiumsMoral Hazard
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保險安定基金費率的評估研究,是繼存款保險後另一相關研究的領域。加以為防止保險公司倒閉,所造成保險市場的衝擊和損害保險消費者的權益,是否在保險安定基金系統下對保險公司收取風險基準費率,以避免道德危險的情事發生,也成為日益被重視的課題。因此本文運用選擇權的概念,運用三種費率評估模型來評估保險安定基金的費率:
(一) 基本模型 - 保險公司的資產面和負債面均為一隨機過程。
(二) 衝擊模型 - 考量現實世界中保險公司負債面可能因巨災有不連續的衝擊,於負債面加入一衝擊項。
(三) GARCH模型 - 考量保險公司的風險變異有GARCH的特性。
根據數值結果分析的結果,可以發現幾點結論概述如下:
(一) 對於財務品質較佳(資產負債比高)的保險公司而言,於衝擊模型和GARCH模型下其費率上升的影響甚為顯著;然對於財務品質較差(資產負債比低)的保險公司而言,三個不同模型假設下所造成的費率差異漸小,但仍會使風險基準費率微升。顯示較接近真實狀況下保險安定基金所應收取的費率較傳統理論為高。
(二) 理論的費率評估與實際保險安定基金費率相較,是否高估或低估並未有所定論,仍需視保險公司的風險特性而定。
Abstract:
The study of the assessments for insurance guaranty funds is another related topic stretched from the study of deposit insurance. Moreover, in order to prevent the impact to whole insurance markets and the insured’s right from the insolvencies of some insurance companies, it becomes an important topic to determine if risk-based premiums should be taken against the behavior of moral hazards. So, the concepts to option pricing are performed to assess the premiums in three different models in the thesis:
1. Basic model - Assets and liabilities of insurance companies are stochastic
2. Jump model - Adding a jump part to liability because of discontinous impact, such as catastrophes.
3. GARCH model - the risk level of insurance companies consists of GARCH properties
Some conclusions are simply listed below, according to numerical results:
1. For the insured of high asset-liability ratio, the positive impact on premiums is significant in jump model and GARCH model;however, for the insured of low asset-liability ratio, the differences of the positive impact on premiums in three models are minor. It still shows the premiums in models close to the reality are higher than traditional model.
2. It is uncertain to decide if the theory premiums are higher or lower than the actual premiums. In fact, it is related to the risk properties of different insured.
壹、緒論………………………………………1
第一節 研究動機………………………………1
第二節 研究內容………………………………2
貳、保險安定基金……………………………4
參、文獻回顧…………………………………9
第一節 保險安定基金方面…………………9
第二節 GARCH方面…………………………10
肆、風險基準費率評估 - 基本模型……12
伍、風險基準費率評估 - 衝擊模型……17
陸、風險基準費率評估 - GARCH模型……21
第一節 GARCH模型的估計和檢定…………21
第二節 GARCH模型下費率之選擇權評價…23
柒、數值結果分析
第一節 GARCH現象的估計和檢定…………25
第二節 風險基準費率評估結果分析……26
捌、結論與建議……………………………37
參考文獻(英文部份)………………………39
參考文獻(中文部份)………………………41
附錄A - 美國產險安定基金制度各州現狀…42
附錄B - 美國與臺灣整體產險市場的資產負債比(1970-2000)…44
附錄C - GARCH(p,q)模型下穩態變異數推導……………………44
附錄D - 程式碼……………………………………………………45
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1. 2c.張士傑, 「檢視限額再保險與整合型風險管理」, 保險專刊第60輯, 2000年6月
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