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Author: 許耀倚
Yao-yi Hsu
Thesis Title: 台灣保險業風險之研究─Hong and Zhai與Schnytzer and Westreich風險指標之應用
A Study on the Risk in Taiwan Insurance Market-The Application of Hong and Zhai Index and Schnytzer and Westreich Index
Advisor: 黃瑞卿
Rachel-Juiching Huang
Committee: 陳俊男
Chun-Nan,Chen
曾郁仁
none
Degree: 碩士
Master
Department: 管理學院 - 財務金融研究所
Graduate Institute of Finance
Thesis Publication Year: 2014
Graduation Academic Year: 102
Language: 中文
Pages: 52
Keywords (in Chinese): HONG AND ZHAISCHNYTZER AND WESTREICHRBC風險指標
Keywords (in other languages): HONG AND ZHAI, SCHNYTZER AND WESTREICH, RBC, RISKINESS
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  • 本文使用滿足隨機優越特性之兩風險指標,HONG AND ZHAI(2010)提出之風險指標(HZ風險指標)與SCHNYTZER AND WESTREICH(2012)提出之風險指標(SW風險指標),來衡量台灣保險業股票市場的風險,並研究此兩風險指標與保險公司投資標的、金融市場變遷及台灣RBC監理制度實行之相關性。
    研究結果顯示,HZ風險指標與VaR有著高度正相關,但針對兩風險指標進行排序,發現HZ風險指標與VaR對樣本風險之排序並不一致,顯示兩指標對風險之衡量並不全然相同,SW風險指標變動性則相對較低。面對台灣保險業金融市場變遷、保險監理制度變革,三指標對於金融市場變遷皆呈現顯著正相關;HZ風險指標與VaR對於保險監理制度變革呈現顯著負相關,SW風險指標對於保險監理制度變革則呈現極為不顯著相關。金融市場變遷與短期投資之交互作用,對於HZ風險指標與VaR呈現顯著負相關;金融市場變遷與衍生性商品投資之交互作用,對於VaR呈現顯著正相關。


    In this article, there are two risk indices, which are proposed by Hong and Zhai in 2010 (HZ index) and Schnytzer and Westreich in 2012 (SW index).
    We use these two risk indices, which are monotonic w.r.t. first and second order stochastic dominance, and VaR to measure the risk of the insurance industry in Taiwan stock market, and their correlation with the investment targets, the change of financial market and insurance supervision system (RBC) in Taiwn.
    The results show that, HZ index and VaR have a highly positive correlation. By sorting these two indices, the study finds that they are not consistent entirely in risk measurement, but HZ index is positive related to VaR. The variation of SW index is relatively low. We find that the three risk indices are positive related to the change of financial market; HZ index and VaR are significant negative related to the change of insurance supervision system (which means the RBC system in this study) in Taiwn; and SW index have a rarely correlation with this change.
    The interaction between the change of financial market and short-term investments is significant negative related to HZ index and VaR; the interaction between the change of financial market and investments in derivative instruments is significant negative related to VaR.

    摘 要 ABSTRACT 誌 謝 目 錄 圖目錄 表目錄 第一章緒論 第一節研究背景與動機 第二節研究目的 第三節研究架構與流程 第二章文獻探討 第一節Hong and Zhai風險指標 第二節Schnytzer and Westreich風險指標 第三章資料來源與研究方法 第一節資料來源 第二節風險指標之計算方式 第三節研究變數選擇 第四節分析模型 第四章實證研究結果 第一節HZ風險指標、SW風險指標與VaR之基本敘述統計量 第二節HZ風險指標、SW風險指標與VaR之相關性 第三節HZ風險指標、SW風險指標與VaR之迴歸分析 第五章結論與建議 第一節研究結論 第二節研究限制與建議 參考文獻

    中文文獻
    1.Chen, P.-C. (2012). "A Study on the Risk in Taiwan Stock Market-The Application of Aumann and Serrano Index and Hong and Zhai Index."
    2.林意耘 (2007). "從投信被迫處理結構債-看主管機關對衍生性商品的監理."
    3.梁昭銘 (2005). "保險業資金運用規範之妥適性-以中壽投資開發金衍生之爭議為例."
    4.童心怡 (2009). "台灣壽險業實施 RBC 制度前後資金運用績效之比較."
    5.劉怡君 (2006). "實施 RBC 制度對台灣壽險公司資產配置與投資風險之影響."

    英文文獻
    1.Aumann, R. J. and R. Serrano (2008). "An economic index of riskiness." Journal of Political Economy 116(5): 810-836.
    2.Foster, D. P. and S. Hart (2009). "An operational measure of riskiness." Journal of Political Economy 117(5): 785-814.
    3.Hong, J. and J. Zhai (2010). An objective measure of risk. 2010 IEEE International Conference on Industrial Engineering and Engineering Management.
    4.Linsmeier, T. J. and N. D. Pearson (2000). "Value at risk." Financial Analysts Journal: 47-67.
    5.Schnytzer, A. and S. Westreich (2013). "A global index of riskiness." Economics Letters 118(3): 493-496.
    6.Schulze, K. (2014). "General dual measures of riskiness." Theory and Decision: 1-16.

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