簡易檢索 / 詳目顯示
| 研究生： |
盧欣怡 Lu, Shin-Yi |
|---|---|
| 論文名稱： |
產險公司動態財務分析模型之實證測試 |
| 指導教授： |
蔡政憲
Tsai , Chenghsien |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 風險管理與保險學系 Department of Risk Management and Insurance |
| 論文出版年： | 2004 |
| 畢業學年度： | 92 |
| 語文別： | 英文 |
| 論文頁數： | 34 |
| 中文關鍵詞： | 動態財務分析 、清償預測 、產險業 |
| 外文關鍵詞： | Dynamic Financial Analysis, Solvency Prediction, Property-Liability Insurance |
| 相關次數： | 點閱：252 下載：60 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
本文使用政大資管系及風管系所共同開發的動態財務分析模型(dynamic financial analysis model)，並測試該模型是否能準確區別出健全的產險公司及喪失清償能力的產險公司。我們進一步地使用羅吉斯迴歸模型分析該模型在預測產險公司清償能力的準確性。
從迴歸模型實證結果中指出在10%顯著水準下所有變數皆不顯著。此結果顯示我們的實證測試無法提供強烈的佐證以支持”該動態財務分析模型能夠準確地預測保險人清償能力”的說法。
根據實證結果，我們建議往後的研究可以使用不同年度的資料，藉由大量的樣本以增加統計分析的準確度，同時改善該動態財務分析模型以符合保險人擁有多種再保安排的實際狀況。在實證測試中，我們發現該模型仍然存在一些錯誤。假使該動態財務分析模型能有效率地消除這些錯誤，我們期待修正後的動態財務分析模型在預測產險公司的清償能力上有更好表現。
This paper set out to empirically test whether the dynamic financial analysis model (DFA), developed in a joint project of Department of Management Information Systems and Risk Management and Insurance, National Chengchi University, could accurately classify both solvent and insolvent property-liability insurers. We used a logistic regression model to analyze the solvency prediction accuracy of the DFA model.
The empirical results indicated that none of the variables were significant at the 10% level and did not offer strong supporting evidence that the DFA model could accurately predict the solvency of insurers.
Based on this, we suggest that further research should perhaps use data over different years to increase the accuracy of the statistical analysis, by using larger samples; this may improve the DFA model by coordinating actual situations with various reinsurance arrangements. In the empirical tests, we found that the DFA model still has some bugs. If these bugs can be efficiently deleted, we expect a revised DFA model to perform well in predicting the solvency of property-liability insurers.
1. Introduction…………………………………………………………1
2. The Dynamic Financial Analysis Model……………………………5
2.1 Introduction of Dynamic Financial Analysis………...………...5
2.2 Cash Flow Simulation Procedures……..……………………....5
2.2.1 Premiums………………………………………………...6
2.2.2 Capital Gains or Losses……….…………………………6
2.2.3 Investment Income.……………………………………...6
2.2.4 Receivable Items...……………………………………....7
2.2.5 Claims...………………....……………………………....7
2.3 Assets and Liabilities…………...…………..…………………8
2.3.1 Simulation of Assets…………………………………….8
2.3.2 Simulation of Liabilities….……………………………..12
3. Solvency/Insolvency Data and Methodology…….…..……………15
4. Empirical Results…………………………………………………..17
5. Conclusions and Suggestions……………………………………....20
References
1.Altman, E. I., 1992, Revisiting the High-Yield Bond Market, Financial Management, 21:78-92.
2.Chan, K. C., G. A. Karolyi, F. A. Longstaff, and A. B. Sanders, 1992, An Empirical Comparison of Alternative Models of the Short-Term Interest Rate, The Journal of Finance, 47:1209-1227.
3.Cummins, J. D., M. F. Grace, and R. D. Phillips, 1999, Regulatory Solvency Prediction in Property-Liability Insurance: Risk-Based Capital, Audit Ratios, and Cash Flow Simulation, Journal of Risk and Insurance, 66:417-458.
4.Cummins, J. D, S. E. Harrington, and R. Klein, 1995,
Insolvency Experience, Risk-Based Capital, and Prompt Corrective Action in Property-Liability Insurance, Journal of Banking and Finance, 19:511-527.
5.Gorvett, R. W., 1998, Dynamic Financial Analysis of Property-Liability Insurance Companies, Doctor of Philosophy’s thesis, University of Illinois.
6.Grace, M. F., S. E. Harrington, and R. W. Klein, 1998, Risk-Based Capital and Solvency Screening in Property-Liability Insurance: Hypotheses and Empirical Tests, Journal of Risk and Insurance, 65:213-243.
7.Tsai, C. and J.L. Sung, 2001, An Empirical Study on the Solvency Prediction of Simulation Analysis, Scenario Analysis, and Risk-Based Capital, Working Paper, National Chengchi University.