碩士 / 淡江大學 / 保險學系保險經營碩士班 / 92 / This Study measures the VaR(Value-at-Risk) of G life insurance company’s foreign investment portfolio. We use delta-normal method, historical simulation method and monte carlo simulation method based on different asset property with 95%, 97.5%, and 99% confidential level, respectively. The volatility of delta-normal method is estimated by SMA, EWMA and GARCH model. Secondly, we compare different risky asset and capital requirement under VaR, RBC and Basel Accord requirement.Finally, we include stock portfolio to find optimal asset allocation using Huisman, Koedijk and Pownal (1999) model. The model allocates assets by maximum expected return subject to the constraint that the expected maximum loss should meet Value-at-Risk limits set by the risk manager.We conclude that VaR is a better risk management tool than RBC. Because VaR provides the strategic risk allocation function.
| Identifer | oai:union.ndltd.org:TW/092TKU00218003 |
| Date | January 2004 |
| Creators | Chang, Hsiao-Kang, 張孝綱 |
| Contributors | Lin, Gin-Chung, 林景春 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 95 |
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