| dc.contributor.advisor | 蔡政憲 | zh_TW |
| dc.contributor.advisor | Tsai, Cheng-Hsien | en_US |
| dc.contributor.author (作者) | 劉韜 | zh_TW |
| dc.contributor.author (作者) | Liu, Tao | en_US |
| dc.creator (作者) | 劉韜 | zh_TW |
| dc.creator (作者) | Liu, Tao | en_US |
| dc.date (日期) | 2018 | en_US |
| dc.date.accessioned | 1-十月-2018 12:06:58 (UTC+8) | - |
| dc.date.available | 1-十月-2018 12:06:58 (UTC+8) | - |
| dc.date.issued (上傳時間) | 1-十月-2018 12:06:58 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G1053580294 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/120237 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 風險管理與保險學系 | zh_TW |
| dc.description (描述) | 105358029 | zh_TW |
| dc.description.abstract (摘要) | IFRS 9 (International Financial Reporting Standards 9) 與IFRS 17兩大公報實施後，壽險公司之資產與負債均須透過公允價值進行衡量。本研究欲探討經營長天期保單之壽險公司，在不同的經營決策目標下，應如何制定因應的最適資產配置策略，以盡可能降低損益及權益變動，並維持高獲利水準。本研究以台股和零息政府債券代表國內資產部位，美股及零息政府債券代表國外資產部位，負債面則以終身壽險作為長天期保單代表。以AR與GARCH模型模擬台、美股票報酬率及匯率走勢，以Svensson (1994)利率模型的隱含參數配適VAR (Sims, 1986)模型，並模擬台、美債券利率走勢，並用Smith-Wilson模型進行外插。透過模擬未來三年資產負債變化，檢視第三年末資產負債分布情形，評估資產報酬率及其標準差、股權價值標準差及破產機率，在不同資產配置方案下的水準，最後將各指標納入目標函數，以求解不同經營目標下之壽險公司之最適資產配置方案。模型結果顯示，當公司更多地考量資產報酬率時，將驅使權重分配至台債及美債部位，並分類至FVTPL項下，這可能是由於債券與負債的變化皆和利率有關，一定程度下能夠互相抵銷；而若更多考量股權價值及報酬率穩定性時，資產部位將更多轉向國內債券，並分類至FVOCI或AC項下；在綜合性考量各指標的前提下，則無須特別重視破產機率的可能性。該動態關係作可為壽險公司資產配置決策的參考。 | zh_TW |
| dc.description.abstract (摘要) | As IFRS 9 and IFRS 17 regulate, life insurance insures should measure their liabilities and most financial assets at fair value. The objective of this article is to analyze how life insurers with different goals do the asset allocations, aiming at higher returns and lower deviation of risk factors in response to the whole-life insurance contracts under IFRS 9 and IFRS 17.This article chooses the zero-coupon bond and stock from both Taiwan and US as the available asset positions, and the reserves of whole-life insurance contracts as the liabilities. The AR and GARCH model will be used for simulating the path of domestic and foreign stock price, and also the exchange rate. In addition, we use the parameters implied by Svensson model to fit VAR model in order to simulate the path of interest rate of Taiwan and US bond. We simulate the path of assets and liabilities for 3 years and then focus on the distributions in the 3rd year. We compare the values from different weight sets like ROA, standard deviation of ROA, standard deviation of equity and bankruptcy risk. Moreover, we design the object function that can help us derive the optimal solution, determining the best allocation programs at given different goals.As the simulation results show, the importance of ROA will drive the weight to domestic and foreign bond investment, which should be sorted under FVTPL, so that assets can offset part of liabilities. As for the importance of deviation of ROA and equity, companies should purchase more domestic bonds under FVOCI and AC. For companies with comprehensive goals, the attention to the possibilities of bankruptcy, which will have nearly no influence on the existing allocation plans. All of these are the dynamic effects that can help life insurers for decision of asset allocations. | en_US |
| dc.description.tableofcontents | 第一章 緒論 8第一節 研究背景 8第二節 研究動機 10第三節 研究目的 12第二章 文獻回顧 13第一節 兩大公報內容 13第二節 過往研究結果 15第三章 研究方法 16第一節 研究假設 16第二節 研究模型 18第四章 模型估計 32第一節 台股報酬率 32第二節 美股報酬率 39第三節 台幣美元匯率 46第四節 台債及美債殖利率 52第五節 保費及合約負債 64第五章 模擬結果分析 68第一節 模擬資產評估 68第二節 最適資產配置結果 81第六章 結果與建議 87第一節 結論 87第二節 建議 89第七章 參考文獻 90 | zh_TW |
| dc.format.extent | 1875392 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G1053580294 | en_US |
| dc.subject (關鍵詞) | 公允價值 | zh_TW |
| dc.subject (關鍵詞) | 資產配置 | zh_TW |
| dc.subject (關鍵詞) | 長天期保單 | zh_TW |
| dc.subject (關鍵詞) | 目標函數 | zh_TW |
| dc.subject (關鍵詞) | 會計公報 | zh_TW |
| dc.title (題名) | 新會計制度下壽險公司之資產配置 | zh_TW |
| dc.title (題名) | The Asset Allocations under IFRSs of Life Insurers | en_US |
| dc.type (資料類型) | thesis | en_US |
| dc.relation.reference (參考文獻) | 中文部分翁秉謙，2017。《IFRS 9與IFRS 17下壽險公司資產配置分析》謝秋華，2015.《IFRS 4 Phase II解析》。台北：安侯建業聯合會計師事務所。高渭川、周寶蓮，2015。《國際財務報導準則第四號(IFRS 4)-保險合約會計第二階段研究案》（金管會委託研究計畫 10403-0008）。台北：金融監督管理委員會保險局。英文部分Sims, C. A., 1986, Are forecasting models usable for policy analysis？. Quarterly Review, (Win), 2-16.McCulloch J H.,1975 The Tax Adjusted Yield Curve. Journal of Finance. 811-830Nicola A., 1994， John S. New estimates of the UK real and nominal yield curves. Bank of England Working Paper.Vasicek O A.,1982, Term Structure Modeling Using Exponential Splines. Jounnal of Finance,339-348.Svensson, L. E., 1994, Estimating and interpreting forward interest rates: Sweden 1992-1994 (No. w4871). National Bureau of Economic Research. | zh_TW |
| dc.identifier.doi (DOI) | 10.6814/THE.NCCU.RMI.013.2018.F08 | en_US |
