保险公司偿付能力恶化预测研究
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财经研究 2006 年 第 32 卷第 10 期, 页码：81 - 92
摘要
参考文献
摘要
文章在分析公司财务预测研究方法应用前提的基础上,运用MDA模型和Logistic线性回归模型预测方法对我国保险公司偿付能力恶化进行预测研究。结果表明两个主流模型均能在保险公司偿付能力恶化前1~2年较好地进行预测,但是由于两类错估率的不同,MDA模型要优于Logistic模型。
关键词
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[2]何沛俐,章早立.立体空间下全新财务危机远期预警模型[R].深圳:深圳证券交易所第五界会员单位、基金管理公司研究成果,2002.
[3]吕长江,周县华.上市公司财务困境预测方法的比较研究[R].上海:第二届上海国际金融年会会议宣读论文,2004.
[4]粟芳,俞自由.非寿险偿付能力影响因素的实证分析[J].财经研究,2001,(7):23～27.
[5]赵宇龙,瞿玲.我国保险公司偿付能力监管指标预警能力的实证研究[J].精算通讯,2005,(2):28～30.
[6]Alt man EI.Financial ratios,discri minant analysis and the prediction of corporate bank-ruptcy[J].The Journal of Finance,1968,23:589～609.
[7]Beaver W H.Financial ratios as predictors of failure:Empirical research in accounting[J].Journal of Accounting Research(Supplement),1966,(4):71～111.
[8]Dopuch N,Holthausen R W,Leftwich R W.Abnormal stock returns associated with media disclosures of subject to qualified qudit opinions?[J].Journal of Accounting and Economics,1986,8(2):93～117.
[9]Esteban Flores,JoséGarrido.Robust logistic regression for insurance risk classification[R].Working paper,Concordia University,2001,Novermber.
[10]Hopwood W,McKeown J C,Mutchler J F.A test of the incremental explanatory power of opinions qualified for consistency and uncertainty[J].The Accounting Re-view,1989,66:28～48.
[11]James M,Carson,Robert E Hoyt.Lifeinsure financial distress:Classification modelsand empirical evidence[J].Journal of Risk and Insurance,1995,62:764～775.
[12]Joseph F,Hair JR.Multivariate data analysis with readings[M].Prentice-Hall Inter-national,INC.,1995.
[13]Koh H C.The sensitivity of opti mal cutoff points to misclassification costs of type I and type II errors in the going-concern prediction context[J].Journal of Business Fi-nance and Accounting,1992,19(2):187～197.
[14]Martin F Grace,Scott E Harrington,Robert W Klein.Risk based capital standards and insolvency risk:An empirical analysis[R].Paper presented at the American Risk and Insurance Association Annual Meeting,San Francisco,August22,1993.
[15]Sinkey J F,Jr.A multivariate statistical analysis of the characteristics of problem banks[J].The Journal of Finance,1975,30(1):21～36.
[16]Trieschmann James S,George E Pinches.A multivariate model for predictng financial-ly distressed P-Linsures[J].Journal of Risk and Insurance,1973,40:327～338.
[17]Zmijewski M E.Essays on corporate bankruptcy[D].University Microfil ms Interna-tional,Ann Arbor,MI,1984.
引用本文
吕长江, 周县华, 杨家树. 保险公司偿付能力恶化预测研究[J]. 财经研究, 2006, 32(10): 81–92.
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