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研究生:陳穎緻
研究生(外文):Yin-sin Chen
論文名稱:產險公司風險承擔行為影響因素之再探討
論文名稱(外文):Further Investagation of Franchise Value, Regulatory Pressure and the Risk-Taking Behaviors of P/L Insurance Companies
指導教授:林文昌林文昌引用關係賴怡洵賴怡洵引用關係
指導教授(外文):Wen-Chang LinYi-Hsun Lai
學位類別:碩士
校院名稱:國立中正大學
系所名稱:財務金融所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2006
畢業學年度:94
語文別:中文
論文頁數:85
中文關鍵詞:門檻模型產險業風險性基礎資本特傅v價值
外文關鍵詞:franchise valuerisk based capitalproperty and liability insurancethreshold model
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本文主要目的在利用聯立門檻迴歸模型探討風險性基礎資本(RBC, Risk-Based Capital)及特傅v價值,對抑止產險公司風險承擔行為之效果。首先,檢測在產險業實施風險基礎資本法令要求後,是否使產險公司有效地增加資本比例(capital ratio)或降低風險。實證結果不完全支持法令壓力假說,亦即RBC 法令不完全是一個有效的風險控制工具;及不支持特傅v價值對風險抑制的假說。
Franchise value and regulatory pressure are known as two most important factors, which drive a P/L insurer to be conservative about its capital and assets allocation decisions. Using threshold model, we reexamine the effectiveness of RBC and franchise value. Our results indicate that regulatory pressure doesn’t effectively suppresses the risk taking behaviors of a P/L insurer. And, our evidences do not support that franchise value can serve as a self-disciplined tool.
表次 V
圖次 VI
產險公司風險承擔行為影響因素之再探討 1
第一章、緒論 1
第一節 研究背景 1
第二節 研究動機與目的 4
第二章、文獻探討 9
第一節、特傅v價值與風險承擔行為 9
第二節、法令資本要求(RBC比例)與風險承擔行為 12
第三節、門檻模型 15
第三章、研究方法 18
第一節、樣本資料來源與研究期間 18
第二節、門檻聯立方程模型 18
第三節、模型及研究假說之建立 25
第四節、變數定義 29
第四章、實證結果與分析 36
第一節、門檻估計 36
第二節、基本敘述性統計量 49
第三節、實證結果 57
第五章、結論 75
參考文獻 75
陳曉蓉,台灣銀行業公司治理機制與風險承擔行為之關係,風險管理學報,第五卷第三期,2003 年11 月,363-391。
鄭裕城,本國銀行經營者持股比率、特頂靋P風險關係之研究,國立高雄第一科技大學金融營運所,民國九十二年。
賴怡洵、林文昌、文敏鳴,法令壓力、法令壓力,特傅v價值對產險公司風險承擔行為之影響,國立中正大學財務金融研究所,民國九十四年。
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