Estimating Default Risk of Public Property-Liability Insurance Companies in Taiwan

• Main Authors: Yeh, Hung-ping, 葉泓平
• Other Authors: Chiou Jong-Rong
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/98545459811230268162

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.