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研究生:謝添勇
研究生(外文):Tien-Yung Hsieh
論文名稱:實質選擇權於分紅保單購買決策之應用
論文名稱(外文):The Application of Real Option on Buying Decision of Participating Policies
指導教授:許光華許光華引用關係
指導教授(外文):Kuang-Yua Hsu
學位類別:碩士
校院名稱:朝陽科技大學
系所名稱:保險金融管理系碩士班
學門:商業及管理學門
學類:風險管理學類
論文種類:學術論文
論文出版年:2005
畢業學年度:93
語文別:中文
論文頁數:68
中文關鍵詞:分紅保單實質選擇權購買決策
外文關鍵詞:Participating PoliciesReal OptionBuying Decision
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摘要
分紅保單與不分紅保單在市場上為投資型保單之外的兩大分野,目前推出分紅保單的業者較少,以目前經濟環境而言,是否有如業者所言,在利率上揚、景氣復甦之際,分紅保單將優於不分紅保單?或是直接選擇不分紅保單享受較低廉的保費較佳?本文以實質選擇權評價法做為評價工具,評估業界四家公司分紅保單與不分紅保單,比較兩種保單保費差異是否能由分紅機制獲得平衡?並探討影響紅利多寡的因素及其變化。
研究結論如下:
一、以傳統財務評價模式評估分紅保單與不分紅保單時,得知分紅保單優於不分紅保單,但仍不足以構成購買的誘因,因其NPV值為負值,但在加入紅利折現之考量後,分紅保單仍較不分紅保單有利於退休養老的規劃。
二、以二項式選擇權估價法評估各家保單未來可能之紅利時,四家公司的紅利與選擇權價值皆非常接近,在政府對壽險業逐步放寬投資限制後,有助於壽險業資產配置與操作,提高投資報酬率,也有利於經營績效較佳的業者對保單紅利之分配。
三、保單紅利的多寡,與分紅利率及無風險利率呈正向關係,而其選擇權的價值與報酬率的波動性無關,因此,選擇向經營穩健、獲利持續成長的壽險公司購買較有利,因為保單紅利分配的多寡,端看壽險公司的經營績效而定。
Abstract
Other than the investment policy insurance, consumers have choices between two common options: participating policies and non-participating policies. Even though the former has been predicted as a more valuable one in comparing to the latter, considering the uprising interest rate and recovering economy in present period, consumers also have a choice to select a non- participating policies to enjoy less expensive insurance payments. The purpose of this article is to review the differences between two policies by the method of real option. Four insurance companies were selected to evaluate which policy benefits the most to recover the cost, and how the causes-effect played as a role in this insurance policy scheme.
The results of research are as follows:
1. By using the traditional financial evaluation, one may find that participating policies have higher advantage in terms of present value. However it is not enough to convince the consumers to purchase because of the negative NPV value it generates. On the other hand, if the bonus is being cashed personally, participating policies will then become more advantaged in terms of retirement plans.
2. The four companies offer very close bonus values while using bi-optional assessment method to evaluate the future benefits. Assisted by the government’s loosen-up on the life insurance regulations, the operation of life insurance investment has becoming less difficult and generates higher returns. Moreover it helps the vendors to perform efficiently while distributing bonus to consumers.
3. There are no positive relation in between the amount of bonuses, bonus-share interest rate and risk-less interest rate. Because the value of choices has no direct relation to the fluctuation of returns, the insurance company that has a stable growth will be more attractive than others. It is almost safe to say that the outcome of bonus depends on the performance of the insurance company.
目 錄
中文摘要…………………………………………………………………… Ⅰ
英文摘要…………………………………………………………………… Ⅱ
誌謝………………………………………………………………………… Ⅲ
第一章 緒論
第一節 研究動機……………………………………………………… 1
第二節 研究目的……………………………………………………… 3
第三節 研究流程與架構……………………………………………… 4
第二章 文獻探討
第一節 分紅保單之發展及相關文獻………………………………… 6
第二節 實質選擇權之相關文獻………………………………………18
第三節 文獻回顧綜合評論……………………………………………33
第三章 研究方法與資料來源
第一節 變數定義………………………………………………………34
第二節 研究模型之建立………………………………………………37
第三節 資料來源………………………………………………………41
第四章 模擬結果與分析
第一節 傳統財務評價結果…………………………………………42
第二節 實質選擇權評價結果………………………………………45
第三節 敏感度分析……………………………………………………55
第五章 結論與建議
第一節 研究結論……………………………………………………60
第二節 研究建議……………………………………………………62
參考文獻……………………………………………………………………63
表目錄………………………………………………………………………Ⅵ
圖目錄………………………………………………………………………Ⅷ










表目錄
表2-1 各國分紅保單比較……………………………………………… 7
表2-2 分紅保單、不分紅保單與投資型保單之差異………………… 8
表2-3 國內上市公司分紅保單比較表…………………………………11
表3-1 四家上市壽險業公司月報酬波動性……………………………34
表3-2 最近十年股市報酬率……………………………………………35
表4-1 四家保險公司分紅與不分紅保費之淨現值……………………42
表4-2 未考慮分紅之淨現值……………………………………………43
表4-3 各家保險公司紅利NPV值………………………………………43
表4-4 平均每年2.35%紅利時之淨現值………………………………44
表4-5 擴張淨現值彙總表………………………………………………46
表4-6 Y公司未來20年紅利樹狀表……………………………………47
表4-7 Y公司各年度紅利樹狀表………………………………………47
表4-8 Y公司各年度履約價值樹狀表…………………………………48
表4-9 Y公司各年度選擇權價值樹狀表………………………………48
表4-10 P公司未來20年紅利樹狀表……………………………………49
表4-11 P公司各年度紅利樹狀表………………………………………49
表4-12 P公司各年度履約價值樹狀表…………………………………50
表4-13 P公司各年度選擇權價值樹狀表………………………………50
表4-14 N公司未來20年紅利樹狀表…………………………………51
表4-15 N公司各年度紅利樹狀表………………………………………51
表4-16 N公司各年度履約價值樹狀表…………………………………52
表4-17 N公司各年度選擇權價值樹狀表………………………………52
表4-18 C公司未來20年紅利樹狀表…………………………………53
表4-19 C公司各年度紅利樹狀表………………………………………53
表4-20 C公司各年度履約價值樹狀表…………………………………54
表4-21 C公司各年度選擇權價值樹狀表………………………………54
表4-22 各家公司選擇權價值對分紅利率敏感度分析表………………55
表4-23 各家公司選擇權價值對無風險利率敏感度分析表……………56
表4-24 Y公司波動率 =0.1……………………………………………58
表4-25 Y公司波動率 =0.2……………………………………………58
表4-26 Y公司波動率 =0.3……………………………………………59
表4-27 Y公司波動率 =0.4……………………………………………59











圖目錄
圖1-1 研究流程圖……………………………………………………… 4
圖2-1 壽險業利源分析圖………………………………………………10
圖3-1 機率概念圖………………………………………………………37
圖3-2 投資計劃價值變動圖……………………………………………38
圖4-1 四家公司分紅與不分紅NPV比較圖……………………………44
圖4-2 各家公司選擇權價值對分紅利率敏感度分析圖………………55
圖4-3 各家公司選擇權價值對無風險利率敏感度分析圖……………57
參考文獻
一.中文部份
1.杜婉菁(2004),”附最低保證利率分紅保單之資產負債管理”,淡江大學碩士論文
2.呂瑞秋(2003),”保證利率、分紅政策與資產配置對分紅保單價值的影響,逢甲大學碩士論文
3.吳佳哲(1998),”保險法關於資金運用限制對台灣保險業投資績效的影響”,政治大學碩士論文
4.林左裕、曾建智(2001) ”不確定狀況下應用實質選擇權理論”,朝陽科技大學碩士論文
5.徐志雄(1999),”兩岸壽險市場與生死合險之研究”, 逢甲大學碩士論文
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7.郭瑜玲(2003),”利率變動型年金經營策略與附加價值”,台灣大學碩士論文
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11.劉昭志(2004),” 智慧資產評價、融資彈性與降低銀行放款風險之研究-以中小企業為例”,中正大學碩士論文
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二.英文部份
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