@article{ART001185655},
author={Cha Il-Kweon},
title={A Study on the Maximum Guarantee Limit in Construction Bond Using the VaR},
journal={Journal of Insurance and Finance},
issn={2384-3209},
year={2007},
volume={18},
number={1},
pages={73-101}
TY - JOUR
AU - Cha Il-Kweon
TI - A Study on the Maximum Guarantee Limit in Construction Bond Using the VaR
JO - Journal of Insurance and Finance
PY - 2007
VL - 18
IS - 1
PB - Korea Insurance Research Institute
SP - 73
EP - 101
SN - 2384-3209
AB - This paper focuses on finding Maximum Guarantee Limit of Construction Bond using Monte Carlo Simulation and VaR(Value at Risk) methodologies. VaR is an efficient risk management method to measure the largest loss expected in the financial industry where risk factors significantly influence the values of portfolios.
Through the empirical analysis using 10 accident year data of Construction Bond Insurance we show the current solvency regulation of Construction Bond insurance is not adequate to sustain insurer's financial strength because of its sensitivity to economic condition and chain reaction. Therefore, the Financial Supervisor Authority needs to consider new regulation reflecting the characteristics of Construction Bond Insurance such as the Maximum Guarantee Limit which limits maximum amount of liability to a couple of times its economic capital.
KW - Bond;Insurance Risk;Maximum Guarantee Limit;VaR(Value at Risk)
DO -
UR -
ER -
Cha Il-Kweon. (2007). A Study on the Maximum Guarantee Limit in Construction Bond Using the VaR. Journal of Insurance and Finance, 18(1), 73-101.
Cha Il-Kweon. 2007, "A Study on the Maximum Guarantee Limit in Construction Bond Using the VaR", Journal of Insurance and Finance, vol.18, no.1 pp.73-101.
Cha Il-Kweon "A Study on the Maximum Guarantee Limit in Construction Bond Using the VaR" Journal of Insurance and Finance 18.1 pp.73-101 (2007) : 73.
Cha Il-Kweon. A Study on the Maximum Guarantee Limit in Construction Bond Using the VaR. 2007; 18(1), 73-101.
Cha Il-Kweon. "A Study on the Maximum Guarantee Limit in Construction Bond Using the VaR" Journal of Insurance and Finance 18, no.1 (2007) : 73-101.
Cha Il-Kweon. A Study on the Maximum Guarantee Limit in Construction Bond Using the VaR. Journal of Insurance and Finance, 18(1), 73-101.
Cha Il-Kweon. A Study on the Maximum Guarantee Limit in Construction Bond Using the VaR. Journal of Insurance and Finance. 2007; 18(1) 73-101.
Cha Il-Kweon. A Study on the Maximum Guarantee Limit in Construction Bond Using the VaR. 2007; 18(1), 73-101.
Cha Il-Kweon. "A Study on the Maximum Guarantee Limit in Construction Bond Using the VaR" Journal of Insurance and Finance 18, no.1 (2007) : 73-101.
