Riskiness對保險公司之股票風險在監理上的應用

The Application of "Riskiness" on Regulation of Insurance Companies' Stock Risk

蔡孟璇(Meng-Hsuan Tsai)

指導教授 ： 曾郁仁

國立臺灣大學/管理學院/財務金融學研究所/碩士(2018年)

https://doi.org/10.6342/NTU201801022

摘要

風險資本額(Risk Based Capital, RBC)為目前監理機關用以判斷保險公司清償能力的指標，透過風險係數來衡量保險公司的風險，其中，風險值(Value at Risk,VaR)是目前最廣為使用的風險指標，但仍存在某些問題，而Aumann 與Serrano 在2008 年所提出新風險指標 Riskiness，擁有許多VaR 缺少的良好特性，因此本篇論文希望探討Riskiness 在計算RBC 中風險項目的風險係數，相較VaR，能夠展現的特性，以期未來能發展出更客觀公正、更具經濟意涵的風險係數計算方法。
本篇論文專注於保險公司的股票風險，透過圖形及排序的方式比VaR 與Riskiness 計算風險係數的表現，研究結果發現，相較於VaR，Riskiness 能適當地反應損失及獲利，且做出符合直覺的風險決策。因此，若未來監理機關以新風險指標Riskiness 計算國內股票的風險係數，或許能兼顧風險與獲利，更有立場地進行監理。

關鍵字

新風險指標 ； 風險值 ； 保險公司 ； 監理

並列摘要

Risk Based Capital, so called RBC, is an indicator used by the authority to evaluate the solvency of insurance companies, which measures the risks of insurance companies by the risk weights. Among them, Value at Risk, so called VaR, is currently the most widely used whereas not the perfect one; Aumann and Serrano proposed one new risk index “ Riskiness” in 2008, which has many good features that VaR is lack of. Therefore, the propose of this master thesis is to explore the potential of Riskiness on developing a more objective and economical method to calculation the risk weights of RBC.
This thesis mainly focuses on the stock risk of insurance companies, comparing the performance of VaR and Riskiness on calculating risk weights through graphing and ranking. As a result, in contrast to VaR, the study finds that Riskiness can properly reflect losses and gains and make rational decisions on risk management. Therefore, if Riskiness is used on risk weight calculations in the future, the authority may be able to implement the regulations that takes into account losses and gains, which may be more properly.

並列關鍵字

Riskiness ； Value at Risk (VaR) ； Insurance Company ； Regulation

參考文獻

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