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題名 期間分析應用於壽險業資產負債管理之研究
DURATION ANALYSIS IS APPLIED TO ALM FOR LIFE INSURANCE
作者 李惠錦
LEE, PHOEBE
貢獻者 吳家懷
DAVID C. WU
李惠錦
PHOEBE LEE
關鍵詞 期間
免疫
盈餘比
利率風險
投資周期
Duration
Immunization
Surplus Ratio
C-3 Risk
Planning Period
日期 1993
上傳時間 29-Apr-2016 16:38:13 (UTC+8)
摘要 本論文共分七章、二十七節，內容如下：　第一章　前言。對研究動機、
參考文獻 一、書籍
1.古瀨政敏撰著賴建業譯述美國壽險公司之新經營策略財團法人保險事業發展中心出版民國八十一年一月
2.李家泉著實用壽險數理作者自行出版民國七十八年七月增訂九版
3.施文森著保險法總論作者自行出版民國七十九年九版
4.施文森著保險法論文第二集作者自行出版民國七十七年增訂四版
5.袁宗蔚著保險學三民書局民國七十五年十六版
二、期刊
6.王塗城著利率自由化與資產負債管理信用合作民國75 年1 月
7.吳家懷口述金融機構資產負債管理中華民國精算學會會報第十三期第二冊民國七十九年九月刊第16 輯民國78 年6 月
8.殷乃平著人壽保險的資產負債管理保險專刊
9.張火旺著析論利率期限結構企銀季刊民國七十五年四月
10.羅際堂主講曾國烈整理資產負債管理存款保險資訊季刊民國78 年3 月
11.資產負債管理專輯台北市銀月刊第十八卷第七期
英文部份
一、書籍
1.Frank J. Fabozzi C.F.A. " The Handbook of Fixed Income Securities", Business One Irwin, 1991
2.Gerald O. Bierwag, "Duration Analysis" BALLINGER PUBLISHING COMPANY, 1987
3.Jordan, "Life Contingencies " ,2nd Edition THE SOCIETY OF ACTUARIES, 1975
4.Livingston G. Douglas , C.F.A., "Yield Curve Analysis" ,New York Institute of Finance 1988
5.Robert A. Haugen “Modern Investment Theory” Prentice-Hall, Englewood Cliffs,1986
6.Robert B. Platt, " Controlling Interest Rate Risk “ , JOHN WILEY & SONS, 1986
7.Stephen G. Kellison “ The Theory of Interest “,RICHARD D.IRWIN,INC 1970
二、期刊
8.Babbel, David F . , “ It Pays to practice ALM “ Best`s Review (Prop/Casualty), May 1991
9.Bierwag, G. O., "An Immunization Strategy Is a Minimax Strategy", Jrnl of Finance, May 1979
10.Bierwag, G.O., “ Duration and Bond Portfolio Analysis: An Overview “ Jrnl of Financial & Ouantitative Analysis, Nov. 1978
11.Bierwag, G.O., “ Immunization, Duration, and the Term Structure of Interest Rates", Jrnl of Finacial & Quantitative Analysis, Dec. 1977
12.Gold, Jeremy, “ Technical Notes: Longing for Duration", Financial Analysts Jrnl, Nov/Dec.1988
13. James A. Tille y ,”The Matching of Assets and Liablities ", Transaction of Society of Actuary (T . S.A.) Vol:XXXII,1980
14.Lamm-Tennant, Joan, "Asset/Liability Management for the Life Insurer: Situation Analysis and Strategy Formulation",Jrnl of Risk & Insurance, Sep. 1989
15. Landskroner, Yoram, "How Variable Interest Rates Affect Bank Duration and Immunization" Financial Analysts Jrnl, Jul/Aug . 1989
16. Lawrence Fisher, "Coping With the Risk of Interest-Rate Fluctuations Returns to Bond - holders form Naive and Optimal Strategies " Jrnl of Business, 1973
17 . Merlin F . Jetton, "Interest Rate Scenarios", T.S.A. Vol: XL, 1988
18. Paul R. Milgrom, "Measuring the Interest rate Risk", T.S.A. Vol: XXXII , 1985
19 . Reilly, Frank K., "The Many Uses of Bond Duration", Financial Analysts Jrnl, Jul/Aug.1980
20. Roman L . Weil, "Macaulay`s Duration: An App reciation", Jrnl of Business, 1973
21. Willard T. Carleton, "Estimation and Uses of the Term Structure of Interest Rates", Jrnl of Finance, Sep . 1976
三、會議記錄
22.Toronto Meeting of the Society of Actuaries Oct . 20-23, 1991
23.New Orleans Meeting: Discussion of the Preliminary Report of the Committee on
Valuation and Related Problems , 1979
四、精算考試之study Note
24.Course I-443U, "Cash Flow Analysis Techniques " 1989
25.Donna R. Claire, Course I-443U, "Description of New York Regulation 126", 1988
26.James M. Geyer, Course I-340, "Valuation of Assets and Liabllities in a Volatile
Interest World", 1989
27.Martin L. Leibowitz, Course 220, "Optimal Cash Flow Matching", 1985
28.Robert H. Stapleford, Course 220, "Introduction to the Formation of Investment Strategy For Life Insurance Companies and Pension Plans", 1988
五、論文
29. David C. Wu, "C - 3 Reserve and Immunization Theory", U. of Wisconsin, 1981
(此係吳家懷老師之碩士論文)
描述 碩士
國立政治大學
風險管理與保險研究所
G80358012
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002004121
資料類型 thesis
dc.contributor.advisor 吳家懷zh_TW
dc.contributor.advisor DAVID C. WUen_US
dc.contributor.author (Authors) 李惠錦zh_TW
dc.contributor.author (Authors) PHOEBE LEEen_US
dc.creator (作者) 李惠錦zh_TW
dc.creator (作者) LEE, PHOEBEen_US
dc.date (日期) 1993en_US
dc.date.accessioned 29-Apr-2016 16:38:13 (UTC+8)-
dc.date.available 29-Apr-2016 16:38:13 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2016 16:38:13 (UTC+8)-
dc.identifier (Other Identifiers) B2002004121en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/88889-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 風險管理與保險研究所zh_TW
dc.description (描述) G80358012zh_TW
dc.description.abstract (摘要) 本論文共分七章、二十七節，內容如下：　第一章　前言。對研究動機、zh_TW
dc.description.tableofcontents 第一章前言．．．．．．．．．．1
11研究動機．．．．．．．．．．1
12研究目的．．．．．．．．．．2
13研究範圍與限制．．．．．．．．．．2
14內容架構．．．．．．．．．．3
第二章利率風險之探討．．．．．．．．．．5
21利率風險之定義．．．．．．．．．．5
22評估管理利率風險的方式．．．．．．．．．．6
23利率風險對資產負債之影響．．．．．．．．．．9
第三章期間分析之理論基礎．．．．．．．．．．14
31期間分析之沿革與目的．．．．．．．．．．14
32期間分析之計算．．．．．．．．．．15
33滿期期間與期間之辯識．．．．．．．．．．24
34期間的特性．．．．．．．．．．28
第四章現金流量之預測─利率情境分析．．．．．．．．．．35
41現金流量與利率風險的關係．．．．．．．．．．35
42利率情境分析之定義．．．．．．．．．．39
43利率情境分析之模型．．．．．．．．．．40
44利率情境分析之假設．．．．．．．．．．45
45利率情境分析之優、缺點．．．．．．．．．．47
第五章期間分析之應用．．．．．．．．．．50
51期間窗口．．．．．．．．．．50
52期間與投資周期．．．．．．．．．．61
53利率風險與投資報酬之分析．．．．．．．．．．70
54最適期間決策．．．．．．．．．．79
55資產與負債期間的配合．．．．．．．．．．82
56運用期間估計價格變動．．．．．．．．．．90
第六章實證．．．．．．．．．．98
61GICs之介紹．．．．．．．．．．98
62假設與模擬．．．．．．．．．．99
63解析．．．．．．．．．．103
第七章結論與建議．．．．．．．．．．108
71結論．．．．．．．．．．108
72建議．．．．．．．．．．110
73後續研究方向．．．．．．．．．．112
參考文獻．．．．．．．．．．113
附錄一．．．．．．．．．．118
附錄二．．．．．．．．．．121		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002004121en_US
dc.subject (關鍵詞) 期間zh_TW
dc.subject (關鍵詞) 免疫zh_TW
dc.subject (關鍵詞) 盈餘比zh_TW
dc.subject (關鍵詞) 利率風險zh_TW
dc.subject (關鍵詞) 投資周期zh_TW
dc.subject (關鍵詞) Durationen_US
dc.subject (關鍵詞) Immunizationen_US
dc.subject (關鍵詞) Surplus Ratioen_US
dc.subject (關鍵詞) C-3 Risken_US
dc.subject (關鍵詞) Planning Perioden_US
dc.title (題名) 期間分析應用於壽險業資產負債管理之研究zh_TW
dc.title (題名) DURATION ANALYSIS IS APPLIED TO ALM FOR LIFE INSURANCEen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、書籍
1.古瀨政敏撰著賴建業譯述美國壽險公司之新經營策略財團法人保險事業發展中心出版民國八十一年一月
2.李家泉著實用壽險數理作者自行出版民國七十八年七月增訂九版
3.施文森著保險法總論作者自行出版民國七十九年九版
4.施文森著保險法論文第二集作者自行出版民國七十七年增訂四版
5.袁宗蔚著保險學三民書局民國七十五年十六版
二、期刊
6.王塗城著利率自由化與資產負債管理信用合作民國75 年1 月
7.吳家懷口述金融機構資產負債管理中華民國精算學會會報第十三期第二冊民國七十九年九月刊第16 輯民國78 年6 月
8.殷乃平著人壽保險的資產負債管理保險專刊
9.張火旺著析論利率期限結構企銀季刊民國七十五年四月
10.羅際堂主講曾國烈整理資產負債管理存款保險資訊季刊民國78 年3 月
11.資產負債管理專輯台北市銀月刊第十八卷第七期
英文部份
一、書籍
1.Frank J. Fabozzi C.F.A. " The Handbook of Fixed Income Securities", Business One Irwin, 1991
2.Gerald O. Bierwag, "Duration Analysis" BALLINGER PUBLISHING COMPANY, 1987
3.Jordan, "Life Contingencies " ,2nd Edition THE SOCIETY OF ACTUARIES, 1975
4.Livingston G. Douglas , C.F.A., "Yield Curve Analysis" ,New York Institute of Finance 1988
5.Robert A. Haugen “Modern Investment Theory” Prentice-Hall, Englewood Cliffs,1986
6.Robert B. Platt, " Controlling Interest Rate Risk “ , JOHN WILEY & SONS, 1986
7.Stephen G. Kellison “ The Theory of Interest “,RICHARD D.IRWIN,INC 1970
二、期刊
8.Babbel, David F . , “ It Pays to practice ALM “ Best`s Review (Prop/Casualty), May 1991
9.Bierwag, G. O., "An Immunization Strategy Is a Minimax Strategy", Jrnl of Finance, May 1979
10.Bierwag, G.O., “ Duration and Bond Portfolio Analysis: An Overview “ Jrnl of Financial & Ouantitative Analysis, Nov. 1978
11.Bierwag, G.O., “ Immunization, Duration, and the Term Structure of Interest Rates", Jrnl of Finacial & Quantitative Analysis, Dec. 1977
12.Gold, Jeremy, “ Technical Notes: Longing for Duration", Financial Analysts Jrnl, Nov/Dec.1988
13. James A. Tille y ,”The Matching of Assets and Liablities ", Transaction of Society of Actuary (T . S.A.) Vol:XXXII,1980
14.Lamm-Tennant, Joan, "Asset/Liability Management for the Life Insurer: Situation Analysis and Strategy Formulation",Jrnl of Risk & Insurance, Sep. 1989
15. Landskroner, Yoram, "How Variable Interest Rates Affect Bank Duration and Immunization" Financial Analysts Jrnl, Jul/Aug . 1989
16. Lawrence Fisher, "Coping With the Risk of Interest-Rate Fluctuations Returns to Bond - holders form Naive and Optimal Strategies " Jrnl of Business, 1973
17 . Merlin F . Jetton, "Interest Rate Scenarios", T.S.A. Vol: XL, 1988
18. Paul R. Milgrom, "Measuring the Interest rate Risk", T.S.A. Vol: XXXII , 1985
19 . Reilly, Frank K., "The Many Uses of Bond Duration", Financial Analysts Jrnl, Jul/Aug.1980
20. Roman L . Weil, "Macaulay`s Duration: An App reciation", Jrnl of Business, 1973
21. Willard T. Carleton, "Estimation and Uses of the Term Structure of Interest Rates", Jrnl of Finance, Sep . 1976
三、會議記錄
22.Toronto Meeting of the Society of Actuaries Oct . 20-23, 1991
23.New Orleans Meeting: Discussion of the Preliminary Report of the Committee on
Valuation and Related Problems , 1979
四、精算考試之study Note
24.Course I-443U, "Cash Flow Analysis Techniques " 1989
25.Donna R. Claire, Course I-443U, "Description of New York Regulation 126", 1988
26.James M. Geyer, Course I-340, "Valuation of Assets and Liabllities in a Volatile
Interest World", 1989
27.Martin L. Leibowitz, Course 220, "Optimal Cash Flow Matching", 1985
28.Robert H. Stapleford, Course 220, "Introduction to the Formation of Investment Strategy For Life Insurance Companies and Pension Plans", 1988
五、論文
29. David C. Wu, "C - 3 Reserve and Immunization Theory", U. of Wisconsin, 1981
(此係吳家懷老師之碩士論文)		zh_TW