Estimating Default Risk of Public Property-Liability Insurance Companies in Taiwan
碩士 === 淡江大學 === 保險學系保險經營碩士班 === 92 === In this paper, we pay our attention to compare the performance of approaches estimating default risk of public property-liability insurance companies in Taiwan. Then in several cases, to calculate ruin probabilities, J.Cai& J.Garrido (1999) “Two-...
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ndltd-TW-092TKU002180072016-06-15T04:16:52Z http://ndltd.ncl.edu.tw/handle/98545459811230268162 Estimating Default Risk of Public Property-Liability Insurance Companies in Taiwan 台灣上市產險公司違約風險預測模型之實證研究 Yeh, Hung-ping 葉泓平 碩士 淡江大學 保險學系保險經營碩士班 92 In this paper, we pay our attention to compare the performance of approaches estimating default risk of public property-liability insurance companies in Taiwan. Then in several cases, to calculate ruin probabilities, J.Cai& J.Garrido (1999) “Two-sided bounds for ruin probabilities,” and Steve Drekic and Gordon E.Willmot (2003) “On The Density and Moments of the Time of Ruin with Exponential Claims.” We compare these methods and show that Steve Drekic and Gordon’s method calculating the ruin probabilities of a period is better than other methods to calculate the ultimate ruin probabilities. KMV''s tools provide current default probabilities, recovery estimates, valuations and correlations, and are widely used to assess portfolio risk/return. We''re reflecting the specific nature of the underlying credit environment, as well as the companies'' credit practices and accounting practices. It''s designed to be an absolute measure of risk. But what makes the new model so unique, is that it combines two different approaches to looking at companies: the equity-market view and the risk-calculation view. They both have valuable information about predicting defaults. The model churns out expected default frequencies-the probability of default. Chiou Jong-Rong 邱忠榮 2004 學位論文 ; thesis 82 zh-TW |
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碩士 === 淡江大學 === 保險學系保險經營碩士班 === 92 === In this paper, we pay our attention to compare the performance of approaches estimating default risk of public property-liability insurance companies in Taiwan.
Then in several cases, to calculate ruin probabilities, J.Cai& J.Garrido (1999) “Two-sided bounds for ruin probabilities,” and Steve Drekic and Gordon E.Willmot (2003) “On The Density and Moments of the Time of Ruin with Exponential Claims.” We compare these methods and show that Steve Drekic and Gordon’s method calculating the ruin probabilities of a period is better than other methods to calculate the ultimate ruin probabilities. KMV''s tools provide current default probabilities, recovery estimates, valuations and correlations, and are widely used to assess portfolio risk/return.
We''re reflecting the specific nature of the underlying credit environment, as well as the companies'' credit practices and accounting practices. It''s designed to be an absolute measure of risk.
But what makes the new model so unique, is that it combines two different approaches to looking at companies: the equity-market view and the risk-calculation view. They both have valuable information about predicting defaults. The model churns out expected default frequencies-the probability of default.
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author2 |
Chiou Jong-Rong |
author_facet |
Chiou Jong-Rong Yeh, Hung-ping 葉泓平 |
author |
Yeh, Hung-ping 葉泓平 |
spellingShingle |
Yeh, Hung-ping 葉泓平 Estimating Default Risk of Public Property-Liability Insurance Companies in Taiwan |
author_sort |
Yeh, Hung-ping |
title |
Estimating Default Risk of Public Property-Liability Insurance Companies in Taiwan |
title_short |
Estimating Default Risk of Public Property-Liability Insurance Companies in Taiwan |
title_full |
Estimating Default Risk of Public Property-Liability Insurance Companies in Taiwan |
title_fullStr |
Estimating Default Risk of Public Property-Liability Insurance Companies in Taiwan |
title_full_unstemmed |
Estimating Default Risk of Public Property-Liability Insurance Companies in Taiwan |
title_sort |
estimating default risk of public property-liability insurance companies in taiwan |
publishDate |
2004 |
url |
http://ndltd.ncl.edu.tw/handle/98545459811230268162 |
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