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題名 壽險公司資產負債管理對公司價值影響之硏究
作者 施淑芳
貢獻者 周國端
施淑芳
日期 1997
上傳時間 10-May-2016 18:58:08 (UTC+8)
摘要 1980年代，由於利率自由化的衡擊，引發美國資本市場劇烈變革，在面對同業及其他金融機構如銀行或證券業者之競爭壓力下，壽險公司不僅在承保組合(underwriting portfolio)有明顯地改變，更採積極投資策略以獲取高收益。因此，資產負債管理始漸漸受到壽險公司之重視。事實上，市場自由競爭下，壽險公司承保業務獲利空間銳減，資金游離之情形嚴重，加上投資風險增高與賦稅制度之變革，面對總資金成本上揚之困境，壽險公司財務清償能力(solvency)實已堪慮。在保險市場混亂低迷之背景下，美國保險監督官(National Association of Insurance commissioner, NAIC)發展出風險基礎資本額(Risk-Based Capital)以強化過去預警系統在自有資本(surplus management)之缺失。
參考文獻 一、中文部份
l 、中華民國八十四年度人壽保險業務統計年報，台北人壽保險商業同業公會編印?民國八十五年七月。
2 、壽險簡訊第91 期, 台北人壽保險商業同業公會編印?氏國八十二年十二月。
3 、壽險簡訊第114 期，台北人壽保險商業同業公會編印，民國八十四年十一月。
4 、壽險簡訊第118 期，台北人壽保險商業同業公會編印?氏國八十五年三月。
5 、壽險簡訊第123 期?台北人壽保險商業同業公會編印，民國八十二年八月。
6 、台灣壽險業個人壽險年度經驗死亡率及解約失效率研究報告，台北人壽保險商業同業公會編印，民國八十三年。
7 、台灣壽險業個人壽險經驗蒐集、整理及經驗死亡率計算方法，台北人壽保險商業同業公會編印，民國八十三年。
8 、台灣地區金融統計月報，中央銀行經濟研究處，民國八十二年七月、八月。
9 、李忠錦，期間分析應用於壽險業資產負債管理之研究，國立政治大學保險研究所未出版碩士論文，民國八十一年六月。
10、吳志遠，保險公司財務風險管理現金流量模擬模型及類神經網路之應用，國立台灣大學財務金融研究所未出版碩士論文，民國八十四年五月。
11、吳家宏，免疫理論庭、用於壽險業資產負債管理之研究，國立政治大學保險研究所未出版碩士論文，民國八十四年六月。
12、陳俊男，選擇權定價模式應用於衡量產險公司權益價值及破產機率之研究，國立政治大學保險研究所未出版碩士論文，民國七十九年六月。
13、黃浩平，影響台灣上市公司益本比與市場價值因素之研究，國立政治大學企業管理研究所未出版碩士論文，民國八十五年六月。
14、張國樑，台灣地區上市公司股權結構與公司價值關係之研究，國立中興大學企業管理研究所未出版碩士論文，民國八十三年六月。
15 、楊蕉霙，所有權結構與公司價值間關係之研究，國立中山大學企業管理研究所未出版碩士論文，民國七十九年六月。
16 、郭瑞基，公司成長機會現值與權益價值暨風險關係之研究，東吳大學會計研究所未出版碩士論文，民國七十九年六月。
17 、徐瑞鴻，產物保險公司財務安全評估之研究，國立政治大學保險研究所未出版碩士論文，民國八十二年元月。
18 、陳庭文，公司成長、融資政策與公司價值之相關性研究--以台灣地區上市製造業為例，私立大業工學院事業經營研究所未出版碩士論文，民國八十三年六月。
19、鄭立仁，壽險業最適風險資本與現金流量模擬之比較研究，國立台灣大學財務金融學研究所未出版碩士論文，民國八十五年六月
20 、蔡長興，人壽保險公司財務控制與公司價值之研究，逢甲統計與精算研究所未出版碩士論文，民國八十五年六月。

二、英文部份
(一)書籍
1.Bartlett, Wi 11 iam W. (l989). Mortgage-Backed Securitiesproducts, analysis, trading, New Jersey: Prentice Hall.
2. Bi tner, John W. & Robert A. Goddard. (l992). Successful Bank Asset/Liability Management, John Wi ley & Sons, Inc.
3. Bowerman, Bruce L. & Richard T. O`Connell. (1993) .
Forecasting and Time Series, 3rd ed., Duxbury Press.
4. Forbes Stephen W. (l 995). Capital Managemen t in the Life Insurance Industry. LOMA Inc.
5. Financial Management of Life Insurance Company. (l993).
edited by Cummins J. David & Joan Lamm-Tennant. , Kluwer
Academic Publisher
6. Life Insurance Accounting. (l 988)., IASA Progress Through Sharing Knowledge
7. Managing the Insolvency Risk of Insurance Companies. (l 991). edited by Cummins J. David & Richard A. Derrig, Kluwer
Academic Publisher.
8. Managing Asset/Liabili ty Portfolios(l991). edi ted by Eliot P. Williams, CFA
9. measuring Financial Performance In the Life Insurance
Industry. (l992). LOMA Inc.
10. Risk-Based Capital in the Life Insurance Industry. (l994). LOMA Inc.
11. The Financial Dynamic of the Insurance Industry(1995)
edited by Edward I. Altman & Irwin T. Vanderhoof, IL:Richard D. Irwin, Inc.
12. The Revolution in Corporate Finance. (1992)., 2nd ed.,
edited by Joel M. Stern & Donald H. Chew, Jr., Blackwell
Pub1 ishers.
13. Gart, Alan, David J. Nye, Connor M. Harrison & Robert J.
Gibbons. (1994)., Insurance Company Finance and Investment,
3rd ed., Insurance Institute of America.
(二)期刊
1. Best`s Review, "Best`s Insolveney Study Life/Health Insurers 1976-1991," Best`s Review L/H, June, 1992, pp. 18-24, 130-133.
2. Babbel, David F. & Kim B. Staking. (1995) . "It Pays to
Practice ALM, " Best Review.
3. Callen, Jeffrey L. (1988). "Estimating the Cost of Equity
Capital Using Tobin`s q, " The Engineering Economist, Vol. 33, No.4, (Summer), pp. 349-358.
4. Charles, Funk N. (1996). "Putting together an ALM process And then using it, " ABA Banking Journal, Vol. 88, Iss. 6,
(June), pp. 61-63.
5. Clark, Myrtle W. (1993). "Entity Theory, Modern Capital
Structure Theory, and the Distinction Between Debt and
Equity," Accounting Horizons/September, Vol. 7, Iss.3,
(Sept.), pp. 14-31.
6. Corcoran, Patrick J. & Duen-Li Kuo. (995). "Implications
of . Asset IIIiquidity," The Financial Dynamic of the
Insurance Industry. edi ted by Edward I. Altman & Irwin T.
Vanderhoof, IL:Richard D. Irwin, Inc., pp. 197-212.
7. Cummins, David J. & Joan Lamm-Tennant. (994). "Capital
Structure and Cost of Capital in the Property-Liability
Insurance Industry," Insurance: Afathematics and Economics
15, pp. 187-201.
8. Cummins, David J. (991). "Statistical and Financial Models of Insurance Pricing and Insurance Firm," The Journal of Risk & Insurance, Vol. LVI I I, No.2, pp. 261-302.
9. Doherty, Neil (989). "On the Capital Structure of Insurance Firms, " Financial Afodels of Insurance Solvency. edi ted by Cummins J. David & Richard A. , Kluwer Academic Publishers, pp. 267-282.
10. Flannery, Mark J. & Christopher M. James (984) "The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions," The Journal of Finance
11. Galvin, Molly. (994). "All About ALM, " Credit Management, Jan, pp.13- 15.
12. Garven, James R. (1989). "On the Application of Finance
Theory to the Insurance Firm," Financial Models of
Insurance Solvency, edi ted by J. D. Cummins & R. A. Derrig,
Vol. I I of the Proceedings of the First International
Conference on Insurer Solvency, pp.243-266.
13. Gibson, Jack L. (1991). "Asset and Liability Modeling in
the Insurance Industry-Part 1: Liability Management,"
Managing Asset/Liability Portfolio. Edited by Eliot P.
William, AIMR, pp. 29-32.
14. Haberman, Gary, Lawrence M. Sweet, & John Wenninger. (1990). "Liquidity Concepts," Recent Changes in Liquidity
Managemen t Practice.
15. Harris, John P. & Victor E. Schimmel. (1987). "Market Value: An Underused Financial Planning Tool, " Healthcare
Financial /lanagement., Apri 1
16. Hepokoski, Peter (1994). "Adding `Surplus` to ALM
Strategy, " Best Review, January, p.46
17. Holden, Neil D. & M.E. Ellis. (1995) "Liquidity Options
for Insurers, " The Financial Dynamic of the lnsurance
Industry. edi ted by Edward I. Altman & Irwin T. Vanderhoof,
IL: Ri chard D. Irwin, Inc., pp. 185-196.
18. Howe, Keith M. (1996). "On "q" ," The Financial Review,
Vol.31, No.2(May), pp. 265-285.
19. Ingram, David N. (1988). "Asset/Liability Matching, " Life Insurance Accounting, IASA Progress Through Sharing
Knowledge, pp.22-1-22-22.
20. Kischunk, Richard K. (1995). "Risk-Based Liquidity,"
Contingencies., Sept. /Oct ., pp. 39-42.
2l. Klein Robert W. (1995). "Solvency Monitoring of Insurance Companies: Regulator`s Role and Future Direction, " The Financial Dynamic of the Insurance Industry. edi ted by Edward 1. Altman & Irwin T. Vanderhoof, IL: Richard D. Irwin, Inc. , pp. 49-96.
22. Lamm-Tennant, Joan( 1989). "Asset-Liability Management for the Life Insurer: Situation Analysis and Strategy
Formulation," The Journal 01 Risk and Insurance, Vol . 56,
No.3.
23. Merfeld, Thomas J. (1995). "Market Value & Duration
Estimates of Interest Sensitive Life Contracts," ARCH,
Feb., pp. 96-110.
24. Messore, Thomas E. (1990). "The Duration of Surplus, "
Journal of Partialio Management, Vol. 16, Iss. 2, (Winter),
pp. 19- 22.
25. Messmore, Thomas E. (1991). "Managing Surplus, " Afanaging Asset/Liability Partialios, edited by Eliot P. Williams, AIMR, pp. 38-45.
26. Panning, William H. (1995). "Asset-Liability Management
for a Going Concern", The Financial Dynamic of the
Insurance Industry edi ted by Edward I. Altman & Irwin T.
Vanderhoof, IRichard D. Irwin, Inc., pp. 257- 292.
27. Shiu Elis S. W. (1993)., "Asset/ Liability Management: From Immunization to Option-Pricing Theory", Financial
Management 0f Life Insurance Companies, edi ted by J.
David Cummins & Joan Lamm-Tennant, K1uwer Academic
Publishers, pp. 151-166.
28. Simpson, Eric M. & Peter B. Kellogg. (1994). "Using Capital Adequacy Models", Best`s Review P/C, December.
29. Staking Kim B. & David F. Babbel. (1995). "The Relation .
Between Capital Structure, Interest Rate Sensitivity and
Market Value In the Property-Liability Insurance
Industry," The Journal of Risk and Insurance, Vol. 62,
No.4., pp.690-718.
30. Stevens, Jerry L. (1990). "Tobin`s q and the Structure-Performance Relationship: Comment, " The American Economic
Review, June, pp. 618-623.
31. Wernererfelt Birger & Cynthia A. Montgomery. (1988).
"Tobin`s q and the Importance of Focus in Firm Performance, " The American Economic Review, March, pp. 246-25 0.
32. William, Petty J. (1993). "Managers should think firm value, not profits," Baylor Business Review, Vol. 11, Iss. 2, (Fall), pp. 19-20.
描述 碩士
國立政治大學
風險管理與保險研究所
資料來源 http://thesis.lib.nccu.edu.tw/record/#G91NCCV4842012
資料類型 thesis
dc.contributor.advisor 周國端zh_TW
dc.contributor.author (Authors) 施淑芳zh_TW
dc.creator (作者) 施淑芳zh_TW
dc.date (日期) 1997en_US
dc.date.accessioned 10-May-2016 18:58:08 (UTC+8)-
dc.date.available 10-May-2016 18:58:08 (UTC+8)-
dc.date.issued (上傳時間) 10-May-2016 18:58:08 (UTC+8)-
dc.identifier (Other Identifiers) G91NCCV4842012en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/96332-
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.abstract (摘要) 1980年代，由於利率自由化的衡擊，引發美國資本市場劇烈變革，在面對同業及其他金融機構如銀行或證券業者之競爭壓力下，壽險公司不僅在承保組合(underwriting portfolio)有明顯地改變，更採積極投資策略以獲取高收益。因此，資產負債管理始漸漸受到壽險公司之重視。事實上，市場自由競爭下，壽險公司承保業務獲利空間銳減，資金游離之情形嚴重，加上投資風險增高與賦稅制度之變革，面對總資金成本上揚之困境，壽險公司財務清償能力(solvency)實已堪慮。在保險市場混亂低迷之背景下，美國保險監督官(National Association of Insurance commissioner, NAIC)發展出風險基礎資本額(Risk-Based Capital)以強化過去預警系統在自有資本(surplus management)之缺失。zh_TW
dc.description.tableofcontents 第一章緒論..........1
第一節研究動機與目的..........1
第二節研究範圍..........5
第三節研究流程與架構..........6
第二章保險公司資本結構理論..........7
第一節保險公司資本結構理論..........9
第一目保險公司資本結構與一般行業相異處..........11
第二目保險公司資本結構理論文獻..........13
第二節公司價值之相關文獻探討..........14
第一目探討一般企業價值之相關文獻..........15
第二目有關保險公司價值研究之相關文獻探討..........17
第三節保險公司資本結構、資產負債管理與清償能力之關連性..........18
第一目保險公司資本結構與資產負債管理之關係..........18
第二目保險公司資產負債管理與清償能力之關係..........20
第三目保險公司資本結構與清償能力之關係..........21
第三章研究方法..........22
第一節壽險公司盈餘平均存續期間理論模型..........23
第二節資產平均存續期間..........27
第一目各項資產平均存續期間..........30
第二目各公司資產平均存續期間..........38
第三節負債平均存續期間..........41
第一目A公司負債平均存續期間計算假設..........43
第二目計算結果..........45
第四節流動性管理..........48
第五節資本與盈餘管理..........51
第四章實驗結果與相關問題探討..........55
第一節研究變數分析..........55
第二節實證結果..........57
第三節相關問題探討..........66
第五章結論與建議..........71
第一節結論與建議..........71
第二節後續研究建議..........73
附錄一擔保放款平均存續期間推導過程..........76
附錄二擔保放款二至三十年期在五種利率下之平均存續期間..........77
附錄三各壽險公司資產平均存續期間..........79
附錄四各壽險公司負債平均存續間期一覽表..........106
附錄五國泰人壽保險公司民國83年RBC風險指數計算表..........108
參考文獻..........111
一、中文部份..........111
二、英文部份..........113		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G91NCCV4842012en_US
dc.title (題名) 壽險公司資產負債管理對公司價值影響之硏究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部份
l 、中華民國八十四年度人壽保險業務統計年報，台北人壽保險商業同業公會編印?民國八十五年七月。
2 、壽險簡訊第91 期, 台北人壽保險商業同業公會編印?氏國八十二年十二月。
3 、壽險簡訊第114 期，台北人壽保險商業同業公會編印，民國八十四年十一月。
4 、壽險簡訊第118 期，台北人壽保險商業同業公會編印?氏國八十五年三月。
5 、壽險簡訊第123 期?台北人壽保險商業同業公會編印，民國八十二年八月。
6 、台灣壽險業個人壽險年度經驗死亡率及解約失效率研究報告，台北人壽保險商業同業公會編印，民國八十三年。
7 、台灣壽險業個人壽險經驗蒐集、整理及經驗死亡率計算方法，台北人壽保險商業同業公會編印，民國八十三年。
8 、台灣地區金融統計月報，中央銀行經濟研究處，民國八十二年七月、八月。
9 、李忠錦，期間分析應用於壽險業資產負債管理之研究，國立政治大學保險研究所未出版碩士論文，民國八十一年六月。
10、吳志遠，保險公司財務風險管理現金流量模擬模型及類神經網路之應用，國立台灣大學財務金融研究所未出版碩士論文，民國八十四年五月。
11、吳家宏，免疫理論庭、用於壽險業資產負債管理之研究，國立政治大學保險研究所未出版碩士論文，民國八十四年六月。
12、陳俊男，選擇權定價模式應用於衡量產險公司權益價值及破產機率之研究，國立政治大學保險研究所未出版碩士論文，民國七十九年六月。
13、黃浩平，影響台灣上市公司益本比與市場價值因素之研究，國立政治大學企業管理研究所未出版碩士論文，民國八十五年六月。
14、張國樑，台灣地區上市公司股權結構與公司價值關係之研究，國立中興大學企業管理研究所未出版碩士論文，民國八十三年六月。
15 、楊蕉霙，所有權結構與公司價值間關係之研究，國立中山大學企業管理研究所未出版碩士論文，民國七十九年六月。
16 、郭瑞基，公司成長機會現值與權益價值暨風險關係之研究，東吳大學會計研究所未出版碩士論文，民國七十九年六月。
17 、徐瑞鴻，產物保險公司財務安全評估之研究，國立政治大學保險研究所未出版碩士論文，民國八十二年元月。
18 、陳庭文，公司成長、融資政策與公司價值之相關性研究--以台灣地區上市製造業為例，私立大業工學院事業經營研究所未出版碩士論文，民國八十三年六月。
19、鄭立仁，壽險業最適風險資本與現金流量模擬之比較研究，國立台灣大學財務金融學研究所未出版碩士論文，民國八十五年六月
20 、蔡長興，人壽保險公司財務控制與公司價值之研究，逢甲統計與精算研究所未出版碩士論文，民國八十五年六月。

二、英文部份
(一)書籍
1.Bartlett, Wi 11 iam W. (l989). Mortgage-Backed Securitiesproducts, analysis, trading, New Jersey: Prentice Hall.
2. Bi tner, John W. & Robert A. Goddard. (l992). Successful Bank Asset/Liability Management, John Wi ley & Sons, Inc.
3. Bowerman, Bruce L. & Richard T. O`Connell. (1993) .
Forecasting and Time Series, 3rd ed., Duxbury Press.
4. Forbes Stephen W. (l 995). Capital Managemen t in the Life Insurance Industry. LOMA Inc.
5. Financial Management of Life Insurance Company. (l993).
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