| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 99 === When mentioning the risk management or risk index, we usually use VaR to deal with the risk, which is developed by JPMorgen Chase at 1990s. VaR is a widely used risk index of the risk of loss on a specific portfolio of financial assets. It is defined as a threshold value such that the probability that the mark-to-market loss on the portfolio over the given time horizon exceeds this value is the given probability level. However, there are some limits on it. For example, how to determine the significance level is not clear. And VaR method totally ignores the gain side and the “tail” loss.
In this paper, I use a new risk index “Riskiness” to deal with the risk of insurance companies, and try to compare with the VaR and the traditional methods.
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