跳到主要內容

臺灣博碩士論文加值系統

(3.231.230.177) 您好!臺灣時間:2021/07/28 19:56
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::

詳目顯示

我願授權國圖
: 
twitterline
研究生:許智翔
研究生(外文):CHIH HSIANG HSU
論文名稱:動態財務分析之投資模型建構與清償能力測試
論文名稱(外文):Building Investment Model in Dynamic Financial Analysis and Solvency Test
指導教授:許永明許永明引用關係
指導教授(外文):Yung Ming Shiu
學位類別:碩士
校院名稱:東海大學
系所名稱:企業管理學系碩士班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:中文
論文頁數:164
中文關鍵詞:動財務分析投資模型清償能力測試
外文關鍵詞:Dynamic Financial AnalysisInvestment ModelSolvency Test
相關次數:
  • 被引用被引用:0
  • 點閱點閱:874
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
我國產險業的監理制度上,是以最適風險資本制度來監控保險公司失卻清償能力的可能,但經由實證之結果得知最適風險資本制度並不能成為產險公司失卻清償能力的預警制度。故本研究最主要為發展一套符合台灣產險業的動財務分析模型來作為測試產險公司之清償能力。模型之建構主要可分為兩方面,分別為資產模型與負債模型;在資產模型中最主要在於投資模型建構,本研究嘗試建構動態財務分析之投資模型;而負債模型建構方面,受限於不易取得保險公司內部之經營資訊,因此本研究運用動態財務分析模型-Dynamo3之使用邏輯,利用Dynamo3所提供虛擬產物保險公司XYZ Company財務以及業務之數據進行模擬,進而測試該產險公司未來之清償能力。
The monitoring system of the non-life insurance industry in my country uses the Risk-Basic Capital to judge the ability of the insurance companies to pay the compensation. However, according to the results of the simulations, we know the Risk-Basic Capital system cannot be the early warning system to decide which non-life insurance companies under insolvency.
Furthermore, the main purpose of the research is to develop the dynamic financial analysis model closing to the non-life insurance industry in Taiwan market to test the refund ability of the non-life insurance companies. In constructing the model, I divided the model into the asset model and the liability model. Thus, in this research, I try to build dynamic financial analysis model in the asset model. Due to it is hard to get the inside information of the insurance companies, this research applies dynamic financial analysis model-Dynamo3 in building liability model. Moreover, to test the reimburse ability of the non-life insurance companies in the future by using the Dynamo3 to simulate the financial and sales data of the virtual XYZ non-life insurance company.
第一章 緒論…………………………………………………………1
第一節 台灣產物保險業概況與所面臨挑戰………………………1
第二節 研究動機與目的……………………………………………4
第三節 研究問題與方法……………………………………………4
第二章 文獻探討……………………………………………………6
第一節 動態財務分析的意義與發展歷史………………………6
第二節 動態財務分析與產物保險業的關係……………………9
第三節 動態財務分析在以風險為基礎之保險監理之應用……9
第四節 動態財務分析模型…………………………………… 10
第五節 投資模型之相關文獻………………………………… 12
第三章 動態財務分析之投資模型建構………………………… 32
第一節 以時間序列建構投資模型之理論模式………………… 33
第二節 投資模型之投資標的與變數決定……………………… 35
第三節 研究變數的選取標準與資料來源及樣本期間………… 37
第四節 研究限制………………………………………………… 38
第四章 建構動態財務分析之隨機投資模型…………………… 39
第一節 隨機投資模型之變數探討……………………………… 39
第二節 建構Causality投資模型……………………………… 51
第三節 以單變量時間序列模式建構投資模型………………… 60
第四節 投資模型之診斷………………………………………… 65
第五節 投資模型之預測能力分析……………………………… 68
第五章 動態財務分析模型之運用……………………………… 76
第一節 清償能力測試方法……………………………………… 77
第二節 測試未來虛擬XYZ產險公司之清償能力……………… 82
第六章 結論與未來研究方向…………………………………… 111
參考文獻………………………………………………………………113
一、中文部份
1.許文彥,「保險業的最低資本與研擬中的風險基礎資本規定」,保險專刊,第64輯,民國九十年六月,頁85-108。
2.洪敏三,「清償能力制度在保險企業經營策略之運用及政府之監督」,保險專刊,第55輯,民國八十八年三月,頁88-107。
3.蔡麗華(1997),「選擇性調整存續期間在資產負債管理之應用」,碩士論文,逢甲大學統計與精算研究所,台中。
4.羅依雯(2002),「以動態財務分析測試我國產險業清償能力」,碩士論文,逢甲大學保險研究所,台中。
5.賴志杰(2003),「我國產險業資產負債管理技術之研究─以動態財務分析為例」,碩士論文,朝陽科技大學保險金融管理研究所,台中。
6.盧欣怡(2004),「產險公司動態財務分析模型之實證測試」,碩士論文,政治大學風險管理與保險學系研究所,台北。
7.黃彥富(2002),「投資模型之建構以因應退休基金之投資避險策略」,碩士論文,政治大學統計系研究所,台北。
8.謝竣宇(2005),「不同投資策略在確定提撥制下之衡量及分析」,碩士論文,政治大學風險管理與保險系研究所,台北。
9.張錫杰(1992):「台灣地區股價與匯率、利率之互動關係-VAR模式應用-」,碩士論文,中原大學企業管理研究所,中壢。
10.沈聖弘(1996):「台灣地區匯率、利率、股價指數長期均衡及短期動態調整關係」,碩士論文,中興大學企業管理研究所,台中。
11.楊台寧(2001):「匯率、利率、貨幣供給與股價相關之研究─台灣地區金融危機前後之比較」,多國籍企業研究學報第27期,民國90年12月。頁47-70。
12.黃仁德、楊忠誠(1999):「台灣債劵殖利率決定因素之探討」,國立政治大學學報第七十九期,民國88年12月。頁63-98。
13.劉美琦(2000):「台灣股票市場股價預測模式之研究」,博士論文,淡江大學管理科學學系,台北。
14.江琇貞(2000):「台灣公債殖利率與台股指數因果關係之實證研究」,碩士論文,國立高雄第一科技大學財務管理系,高雄。
15.簡淑芬(2001):「台灣地區利率波動因素分析探討」,碩士論文,中興大學會計研究所,台中
16.林秋堂(2003):「投資理財實務」,新文京開發出版社,台北。


二、英文部分
1.Auerbach, R.D., (1989), Money, banking and financial markets, New York, MacMillan.
2.Ambachtsheer, K. P.,(1986).“ Pension funds and the bottom line, ”published by Dow Jones Irwin.
3.Box,G.E.,and Jenkins,G.W.(1976),Time series analysis :Forecasting and control, San Francisco:Holden Day.
4.Bollerslev, T.,(1986)” Generalized autoregressive conditional heteroskedasticity ,” Journal of Econometric , 31, pp. 307-327.
5.Bohra, R., Weist, T., (2001). “Preliminary due diligence of DFA insurance company”, Casualty Actuarial Society Forum, 25-58.
6.Cummins, David J., Scott E. Harrington, and Robert Klein,(1995),”Insolvency experience, risk-based capital, and prompt corrective action in property-liability insurance, ”Journal of Banking and Finance 19,pp.511-527.
7.Cummins, David J., Martin F. Grace, and Richard D. Phillips, (1999),”Regulatory solvency prediction in property-liability insurance: risk-based capital, audit ratios, and cash flow simulation,” Journal of Risk and Insurance 66(3),pp.417-458.
8.Campbell, T.S., (1982), Financial institutions, markets and economic activity, New York, McGraw-Hill.
9.Casualty Actuarial Society Valuation and Financial Analysis Committee, Subcommittee on Dynamic Financial Models, (1995), Dynamic financial models of property-casualty insurers, Casualty Actuarial Society Forum, Fall.
10.Casualty Actuarial Society Valuation and Financial Analysis Committee, Subcommittee on the DFA Handbook(1996), CAS Dynamic financial analysis handbook, Casualty Actuarial Society Forum, Winter.
11.Correnti, S., S. M. Sonlin, and D. B. Issac (1998), Applying a DFA model to improve strategic business decisions, CAS Dynamic Financial Analysis Call Paper Program, pp.15-51.
12.Cox, J.C., J. E. Ingersoll and S. A. Ross(1985),”A theory of the term structure of interest rates,” Econometrica, 53,pp.385-407.
13.CAS Valuation and Financial Analysis Committee, Subcommittee on the DFA Handbook,(1999), CAS Dynamic financial analysis handbook, Casualty Actuarial Society Forum Winter.
14.D’Arcy, S.P., Gorvett, R.W., Herbers, J.A., Hettinger, T.E., Lehmann, S. G., and Miller, M.J. (1997), “Building a public access PC-Based DFA model,” Casualty Actuarial Society Forum, Vol.2,pp.1-40.
15.D’Arcy, S.P., Gorvett, R.W, (2004),”The use of dynamic financial analysis To determine whether an optimal growth rate exists for a property-liability insurer,” The Journal of Risk and Insurance, Vol.71,No.4, pp.583-615.
16.D’Arcy, S.P., Gorvett, R.W., Herbers, J.A., Hettinger, T.E and R. J. Walling(1998),”Using the public access DFA model: A Case Study,” Casualty Actuarial Society Forum, pp.53-118.
17.Dickey,D.A. and Fuller, W.A.(1979):”Distribution of the estimators for autoregressive time series with a unit root,” Journal of American Statistical Association, 74, pp.427-437.
18.Daykin et al., (1987). “Assessing the solvency and financial strength of a general insurance company”, Journal of the Institute of Actuaries, Vol. 114, Part 2, 227-325.
19.Daykin et al., (1984). “The solvency of general insurance companies”, Journal of the Institute of Actuaries 114, 279-336.
20.Duffie, D. and Pan, J.,(1997).”An overview of value at risk” the Journal of Derivatives , spring , pp. 7-49.
21.Enders,W.(2004),Applied econometric time series. New York: John Willey & Sons,Inc.
22.Fabiano Colombini and Simone Ceccarelli(2004),”Liquidity , solvency cash flow simulation models in non-life insurance companies: The Italian experience” Managerial Finance, pp.76-96.
23.Gorvett, R. W.(1998), ”Dynamic financial analysis of property-liability insurance companies,” PhD Thesis, University of Illinois at Urbana-Champaign(U.S.A.).
24.Grace, Martin F., Scott E. Harrington, and Robert W. Klein, (1998), “Risk-based capital and solvency screening in property-liability insurance: Hypotheses and empirical Tests ,”Journal of Risk and Insurance 65(2), pp.213-243.
25.Granger, C.W.J.(1969):”Investigating causal relation by econometric models and cross spectral methods,” Econometrica 37, pp.424-438.
26.Hodes, T., J. D. Cummins, R. Phillips, and S. Feldblum, (1996), The financial modeling of property/casualty insurance companies, CAS Dynamic Financial Analysis Call Paper Program, pp.3-88.
27.Hull, John C. (1997), Options, futures, and other derivatives, Third Edition (Prentice Hall; U.S.A).
28.Holden,N.D.,and M.E. Ellis(1993),”Liquidity options for insurers”, in the dynamics of the insurance industry , Proceedings of the New York University Salomon Center’s Conference, May.
29.Hardy, M. R., (1996). “Simulating the Relative Solvency of Life Insurers”, British Actuarial Journal , Vol. 2, No. IV, 1003-1019.
30.Jim Bannister(1997).”Insurance solvency analysis” London: LLP Limited.
31.Kidwell, D.S., Peterson, R.L. and Blackewll, D.W.,(1997), Financial institutions, markets, and money, Orlando, The Dryden Press.
32.Kohn, M., (1994), “Financial institutions and markets”, New York, McGraw-Hill.
33.Mishkin, F.S., (1992), “The economics of money and banking and financial markets”, New York,Harper Collins.
34.Mina, J. and Ulmer , A.,(1999).”Delta-gamma four ways” working paper, riskmetrics group, LLC.
35.Peter Blum & Michel Dacorogna,(2004),”DFA-Dynamic Financial Analysis”the Encylopedia of Actuarial Science.John Wiley & Sons,Ltd.
36.Swiss Re Investor Inc.(2000),”Asset-liability management for insurers,” Sigma,Vol.,No.6,pp.1-36.
37.Stephen P.D’Arcy and Richard W.Gorvet,(2004),” The using of dynamic financial analysis to determine whether an optimal growth rat exists for a property-liability insurer”, The Journal of Risk and Insurance , Vol.71,No.4, pp.583-615.
38.Vasicek, O.,(1977),”An equilibrium characterization of the term Ssructure,” Journal of Financial Economics 5, 177-188.
39.Wilkie, A.D.,(1986): “A stochastic investment model for actuarial use” Transactions of the Faculty of Actuaries 39:341-391.
40.Wilkie, A.D.(1995):“ More on a stochastic asset model for actuarial use,” British Actuarial Journal 1, pp.777-964.
41.R.J. Thomson(1996),” Stochastic investment modeling: The case of south Africa” British Actuarial Journal 2,pp.765-801.
42.Ryan, J. P., (1984). “Application of simulation techniques to solvency testing for a non-life office”, Transactions of the 22nd International Congress of Actuaries, Vol. 3, 269-277.
43.Y.H.Yakoubov, M.H. Teeger andDuval(1999),”A stochastic investment model for asset and liability management ”Staple Inn Actuarial Society.
連結至畢業學校之論文網頁點我開啟連結
註: 此連結為研究生畢業學校所提供,不一定有電子全文可供下載,若連結有誤,請點選上方之〝勘誤回報〞功能,我們會盡快修正,謝謝!
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top