保险专题研究(台湾)材料.ppt

Ming Chuan University Excess of loss agreement with horizontal layering 風險管理與保險學系 Limits $20m $7m $2m Risks ceded to Reinsurer TUV Risks ceded to Reinsurer DEF Risk retained by Insurer ABC Risks ceded to Reinsurer MNO Ming Chuan University Excess of loss agreement with vertical layering 風險管理與保險學系 Limits $20m $7m $2m Risks ceded to Reinsurer DEF Risk retained by Insurer ABC Risks ceded to Reinsurer MNO Ming Chuan University Quota share: risks retained and ceded 風險管理與保險學系 Limits Risks ceded to reinsurer Risks ceded to insurer Policies Ming Chuan University Surplus share: risks retained and ceded 風險管理與保險學系 Limits Risks ceded to reinsurer Risks ceded to insurer Policies Ming Chuan University Finite risk Reinsurance programs 風險管理與保險學系 Finite risk Reinsurance programs Retrospective policies Prospective policies Loss portfolio transfers Adverse development cover Retrospective aggregate loss cover Ming Chuan University Retrospective policies, timing risk and underwriting risk 風險管理與保險學系 ADC RALC LPT Maximum transfer of underwriting risk Maximum transfer of timing risk Ming Chuan University XYZ’s finite program 風險管理與保險學系 Item Year1 Year2 Year3 Previous balance $0 $860 $747 Premium deposit $2000 $2000 $2000 Fee -$200 -$200 -$200 Beginning balance $1800 $2660 $2547 Claims -$1000 -$2000 -$5000 After-tax interest $60 $87 $85 Ending balance $860 $747 $2368 * * * * * * * * * * Ming Chuan University VaR and tail-VaR 風險管理與保險學系 VaR Probability distribution of value Tail-VaR 市場風險的組成要素 風險管理與保險學系 Ming Chuan University 利率風險 權益風險 匯率風險 通膨風險 財產風險 市場風險 信用價差風險 Ming Chuan University 風險管理與保險學系 Economic capital for market risk Probability distribution of capital (fair value) Current value Economic capital Best-estimate value Worst-case value Interest rate generating model Stock price generating model Currency rate generating model Model… Scenarios Investments Technical Provisions Capital Insurance balance sheet Determine value 100,000 Simulations 信用風險的組成要素 風險管理與保險學系 Ming Chuan Univer