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1	壽險業系統性風險與清償能力評估之研究 / Research on the Systematic Risk and Solvency Assessment in Life Insurance Market 朱柏璁, Chu, Po Tsung Unknown Date (has links) 此研究主要研究壽險業的系統性風險與違約風險之評價，基於投資組合的波動度去建立隨機過程模型。特別是那些隱含無法被多角化的財務風險、系統性風險，透過研究，使用Heston(1993)模型去描述標的資產的隨機波動程度比以往使用Black-Scholes(1973)模型描述股價的波動變化更能反映實際的風險狀況，並透過CIR過程來表示瞬間的波動程度。在這個模型之中，把過去以平賭測度決定違約選擇權的方法延伸。此外透過探討違約價值之敏感度，根據不同的情境測試對於壽險公司負債的影響。最後透過數值的結果與敏感度分析隨機波動模型與確定性的模型之差異。當資本準備增加時，資產與負債比提高，因負債仍固定承諾予保戶之利率增長，而資產因應系統性風險的發生而減損仍能支付負債，致使違約風險降低，進而使得評價時點的違約金額降低。當系統風險發生時，風險值上升，違約價值為右偏分布，代表在極端條件下有可能有極大的損失；反之，當整個金融體系經濟情勢良好，公司擁有足夠的經濟資本時，風險值下降，滿足VaR75與CTE65的法規限制，此時公司的清償能力足以反映系統性風險。 / This paper considers the problem of valuating the default option of the life insurers that are subject to systematic financial risk in the sense that the volatility of the investment portfolio is modeled through stochastic processes. In particular, this implies that the financial risk cannot be eliminated through diversifying the asset portfolio. In our work, Heston (1993) model is employed in describing the evolution of the volatility of an underlying asset, while the instantaneous variance is a CIR process. Within this model, we study a general set of equivalent martingale measures, and determine the default option by applying these measures. In addition, we investigate the sensitivity of the default values given regulatory forbearance for the life insurance liabilities considered. Numerical examples are included, and the use of the stochastic volatility model is compared with deterministic models. As reserve of capital is increasing, asset-liability ratio is also increasing. The liability grew up with promised interest rate, and it could be covered by the asset when the systematic risk events happened. Therefore, the default risk was decreasing, that caused the default value decreasing. When the systematic risk events happened, the value of risk was increasing, and the default value was positive skew distribution. That means the maximum loss will be coming in the extreme case. On the other hand, when prosperity economy occurred, the value of risk was decreasing, which in compliance with the law of VaR75&CTE65 rules, and the insurance company had enough capital to face the systematic risk events. 隨機波動模型系統性風險違約價值 stochastic volatility systematic risk default value
2	Analysis and comparison of capital allocation techniques in an insurance context / Analysoch jämförelse av kapitalallokeringstekniker i försäkring de Sauvage Vercour, Héloïse January 2013 (has links) Companiesissuing insurance cover, in return for insurance premiums, face the payments ofclaims occurring according to a loss distribution. Hence, capital must be heldby the companies so that they can guarantee the fulfilment of the claims ofeach line of insurance. The increased incidence of insurance insolvencymotivates the birth of new legislations as the European Solvency II Directive.Companies have to determine the required amount of capital and the optimalcapital allocation across the different lines of insurance in order to keep therisk of insolvency at an adequate level. The capital allocation problem may betreated in different ways, starting from the insurance company balance sheet.Here, the running process and efficiency of four methods are evaluated andcompared so as to point out the characteristics of each of the methods. TheValue-at-Risk technique is straightforward and can be easily generated for anyloss distribution. The insolvency put option principle is easily implementableand is sensitive to the degree of default. The capital asset pricing model isone of the oldest reliable methods and still provides very helpful intermediateresults. The Myers and Read marginal capital allocation approach encouragesdiversification and introduces the concept of default value. Applications ofthe four methods to some fictive and real insurance companies are provided. Thethesis further analyses the sensitivity of those methods to changes in the economiccontext and comments how insurance companies can anticipate those changes. Insurer balance sheet Capital allocation Surplus Diversification Value-at-Risk Option pricing theory Capital Asset Pricing Model Marginal capital allocation Default value. Probability Theory and Statistics Sannolikhetsteori och statistik
3	Reasons for the Underperformance of Clean Development Mechanism Project Activities in the Animal Waste Management Sector / An Analysis of Swine Manure treating Facilities in Latin America / Ursachen des geringen Erfolgs von Abwasserbehandlungsprojekten in der Tierproduktion im Rahmen des Clean Development Mechanism / Eine Analyse von Schweineproduktionsbetrieben in Lateinamerika Deecke, Imme Dorothea 04 February 2010 (has links) No description available. 500 Naturwissenschaften Agricultural Sciences Clean Development Mechanismus CDM Methan Tierproduktion Abwasserbehandlung Schweinegülle Emissionsreduktion Methankonversionsfaktor Richtwert Standardwert Klimaschutz Klimawandel Weltklimarat Methodologie UNFCCC IPCCC Biogas Biogasanlage Aneaerober Abbau Clean Development Mechanism CDM Animal Waste Management Methane Underperformance Methane Conversion Factor Emission Reduction Swine Manure Issuance Success Baseline Emission Forecast Success Default Value Climate Change IPCC UNFCCC Methodology Certified Emission Reduction Biogas Biodigestion Anaerobic Lagoon 43.61 43.70 43.47 YA ZWE 600: Abwassertechnik WR 700: Biologischer Abbau {Biologie Biotechnologie}

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壽險業系統性風險與清償能力評估之研究 / Research on the Systematic Risk and Solvency Assessment in Life Insurance Market

Analysis and comparison of capital allocation techniques in an insurance context / Analysoch jämförelse av kapitalallokeringstekniker i försäkring