题名

運用Riskiness計算風險基礎資本額的風險係數

并列篇名

Use Riskiness to calculate the possible to re-evaluate the risk factor for Taiwan Risk-based Capital

DOI

10.29916/JMPP.202006_14(1).0002

作者

洪麗淇(Jessica L. C. Hung)；趙志揚(Chao Chih-Yang)

关键词

Riskiness ； 風險基礎資本額 ； 風險係數 ； Riskiness ； Risk-based capital ； risk factors

期刊名称

管理實務與理論研究

卷期/出版年月

14卷1期（2020 / 06 / 01）

页次

18 - 32

内容语文

繁體中文
中文摘要

台灣保險業監理制度風險基礎資本額自2003年7月實施已逾十五年。現行制度風險係數是以風險值計算，此制度並非完美無缺，其中之一是係數的估計尚有可改進之處。針對前述可改進之處，促發本文研究動機，將以新的計算方法提出可能的新計算方法考量風險係數，並利用實際市場資料實證加以排序，填補此缺口。以台灣證券市場為實證資料。取樣計算之資料期間係自1999至2019止，取週資料，資料來源為台灣經濟新報股價資料庫。
英文摘要

The solvency regulation in Taiwan insurance industry is risk-based system, which has been set move over than 15 years since 2003. The currently risk factors of this systems were calculated by Vale at Risk. However, one issue of those risk factors should be improved is the estimated method, which may not fully or acutely reflect the risk of individual asset and liability. This study proposes to use new way, which called Riskiness, to estimate the risk factors. Furthermore, this study applies the new calculation using the actual weekly stock market data in Taiwan from 1999 to 2018 to confirm the possibility to re-think the issue of risk factors. The data is downloading from the database provided by the TEJ, Taiwan.
主题分类 社會科學 > 管理學
参考文献
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