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https://ah.lib.nccu.edu.tw/handle/140.119/49678
DC Field | Value | Language |
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dc.contributor.advisor | 張士傑 | zh_TW |
dc.contributor.author | 許雅鳳 | zh_TW |
dc.creator | 許雅鳳 | zh_TW |
dc.date | 2008 | en_US |
dc.date.accessioned | 2010-12-08T08:31:15Z | - |
dc.date.available | 2010-12-08T08:31:15Z | - |
dc.date.issued | 2010-12-08T08:31:15Z | - |
dc.identifier | G0096358008 | en_US |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/49678 | - |
dc.description | 碩士 | zh_TW |
dc.description | 國立政治大學 | zh_TW |
dc.description | 風險管理與保險研究所 | zh_TW |
dc.description | 96358008 | zh_TW |
dc.description | 97 | zh_TW |
dc.description.abstract | 本研究著重於分析發行大量長年期利率敏感型契約、高財務槓桿比例的人壽保險業中公司經理人之投資決策,發現台灣壽險業亦存在Canner et al.(1997)提出之資產配置迷思,亦即風險性資產中債券與股票之比率於不同壽險公司間有差異,與共同基金分離理論中陳述之風險態度不同之投資人所持有之債券與股票比率應相同不相符。本文嘗試以Sorensen(1999)提出之擬似動態規劃法(Quasi- dynamic Programming)最適化到期之效用函數,試算經理人於股票及不同到期固定收益債券之最適持有比例。且詳細探討不同風險偏好及投資期限對於壽險公司投資組合之影響。將業主權益之最適投資策略加上負債之複製投資組合成為策略性資產配置結果,並將其與目前台灣壽險公司之資產配置做比較。研究結果顯示:\n1.以擬似動態規畫法求得之最適投資組合於不同風險態度下皆為長期債券以及股票。當經理人之風險趨避程度增加時,投資於股票之比例會減少、投資於債券之比例會增加。\n2.比較台灣壽險公司之債券與股票配置比例與本研究之結果發現,本資公司之風險態度較外資公司積極,本資公司應提高其債券之持有比例。\n本研究最後以Bajeux-Besnainou et al. (2001)提出之資產配置迷思解釋說明本資公司與外資公司持有之債券與股票比率之所以不同非因資產配置迷思之存在,本資公司與外資公司於風險性資產中持有之債券與股票比率是相同的,但因風險態度較為趨避之公司,投資於風險性資產比率下降、提高避險部位之配置,導致整體之股票與債券比率增加。\n關鍵字:資產負債管理、策略性資產配置、擬似動態規劃法。 | zh_TW |
dc.description.tableofcontents | 第一章 研究動機與目的 1\n第二章 文獻回顧 7\n第一節 資產負債管理 7\n第二節 擬似動態規劃 9\n第三章 研究方法 10\n第一節 投資標的 10\n第二節 效用函數 12\n第三節 動態完備市場 12\n第四章 數值計算 14\n第一節 數值計算假設 14\n第二節 風險趨避程度對投資配置之影響 15\n第三節 評估期間長度對投資配置之影響 19\n第四節 負債複製投資組合與策略性資產配置 20\n第五節 研究結果與現況之比較 22\n第五章 結論與建議 27\n第一節 結論 27\n第二節 研究限制與建議 29\n參考文獻 30\n附錄 33\n附錄一 台灣壽險公司國內投資持有公債之情形 33\n附錄二 保險法第146條(資金之定義運用及其限制)條文內容 34\n附錄三 Vasicek單因子利率模型之參數校準之資料及方法 35\n附錄四 保險法第146-1條(資金得購買之有價證券)條文內容 38\n附錄五 其他投資期間之數值結果 39\n附錄六 模擬人壽保險公司之假設 42 | zh_TW |
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dc.language.iso | en_US | - |
dc.source.uri | http://thesis.lib.nccu.edu.tw/record/#G0096358008 | en_US |
dc.subject | 資產負債管理 | zh_TW |
dc.subject | 策略性資產配置 | zh_TW |
dc.subject | 擬似動態規劃法 | zh_TW |
dc.subject | asset liability management | en_US |
dc.subject | strategic asset allocation | en_US |
dc.subject | quasi-dynamic programming | en_US |
dc.title | 人壽保險公司之資產配置迷思 | zh_TW |
dc.title | Asset allocation puzzle in Taiwan life insurance industry | en_US |
dc.type | thesis | en |
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dc.relation.reference | 4. 張士傑、杜昌燁、鄧益俗(2003),「最適跨期投資策略之套利與避險分析」,《保險專刊》,第19卷第1期,1-21。 | zh_TW |
dc.relation.reference | 5. 張士傑、黃美慧(2004),「保險公司之最適盈餘分佈:模型與實務」,《保險學報》,創刊號。 | zh_TW |
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dc.relation.reference | 8. Canner, N.; Mankiw, N. G. and Weil, D. N. (1997), “An Asset Allocation Puzzle,” The American Economic Review, Vol.87, 181-191. | zh_TW |
dc.relation.reference | 9. Chan, K. C.; Karolyi, G. A.; Longstaff, F. A. and Sanders, A. B. (1992), “Empirical Comparison of Alternative Models of the Short-Term Interest Rates,” Journal of Finance, Vol.47, 1209-1227. | zh_TW |
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dc.relation.reference | 20. O’Brien, T. (1986), “A Stochastic-dynamic Approach to Pension Funding,” Insurance: Mathematics and Economics, Vol.5, 141-146. | zh_TW |
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dc.relation.reference | 22. Redington, F. M. (1952), “Review of the Principles of Life Office Valuations,” Journal of the Institute of Actuaries, Vol.78, 286-315. | zh_TW |
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item.grantfulltext | open | - |
item.openairetype | thesis | - |
item.languageiso639-1 | en_US | - |
item.openairecristype | http://purl.org/coar/resource_type/c_46ec | - |
item.cerifentitytype | Publications | - |
Appears in Collections: | 學位論文 |
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