| dc.contributor.advisor | 王儷玲 | zh_TW |
| dc.contributor.author (Authors) | 劉怡君 | zh_TW |
| dc.creator (作者) | 劉怡君 | zh_TW |
| dc.date (日期) | 2006 | en_US |
| dc.date.accessioned | 14-Sep-2009 09:41:10 (UTC+8) | - |
| dc.date.available | 14-Sep-2009 09:41:10 (UTC+8) | - |
| dc.date.issued (上傳時間) | 14-Sep-2009 09:41:10 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0094358005 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/31274 | - |
| 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) | 94358005 | zh_TW |
| dc.description (描述) | 95 | zh_TW |
| dc.description.abstract (摘要) | 我國保險業自九十二年七月九日起為與國際接軌正式施行保險業風險資本額制度（Risk-Based Capital），該制度之目的在及早偵測出可能發生失卻清償能力之保險公司。以監理角度而言，如何有效利用監理制度來確保保險公司失卻清償能力在可接受範圍內，一直是一個相當重要的課題。藉由RBC制度，監理機關可以評估保險公司資產面（資產配置）和負債面（險種經營）的風險，並給予保險公司資產與負債不同的權數，加以計算其所需的資本，因此RBC制度實為控制保險公司盈餘的一種財務監理工具。而也因為RBC制度這樣的特性，某種程度來說也可間接引導保險產業的資產配置。 本研究主要探討我國壽險業者於民國九十二年七月實施RBC制之後對於資產配置策略上有無產生影響，藉以驗證是否RBC制對於人身保險業者的資金配置產生影響力。本研究以我國壽險業共二十五家公司年報，比較其八十九年度至九十四年度在實施RBC制前後，其資產配置會因RBC實行會有何改變。本篇的研究方法是以paired sample t test 及Wilcoxon sign-rank test檢定保險公司的各資產配置項目在RBC制實施前後有無明顯改變。實證結果為整體壽險業除股票比例外，每一項投資配置項目在風險基礎資本額實施前後都有顯著地改變。 此外，本研究亦欲檢視在風險基礎資本額實施之後，各保險公司的投資報酬率與風險會有何變化，以了解實施RBC制度後對台灣壽險業投資績效之影響。實證結果為壽險業的投資報酬率及投資風險在RBC實施之後皆有下降的趨勢。 | zh_TW |
| dc.description.abstract (摘要) | Risk-Based Capital was implemented as an important regulatory tool in Taiwanese insurance industry in July 9th 2003, which is used to predict the probability of insolvency. From the regulatory point of view, it has always been a highly important section to keep the default risk of the insurers within a certain range. By the means of RBC, the regulators can evaluate the risks of asset and liability, and assign different weights to them in order to know how much capital the insurer need. As a result, RBC can be used to regulate the insurers’ financial earnings. And because of this character, RBC can conduct the asset allocation of the insurers at the second hand. The purpose of this paper is to verify if the implement of RBC in July 2003 had any effects on the asset allocation of the insurance industry. We used the annual reports of 25 Taiwanese insurance companies to compare the differences between 2000 and 2005 to examine how they changed their investment portfolios after RBC. Our research method is paired sample t test and Wilcoxon sign-rank test, and we found that except for the investment ratio of stocks, each ratio has significantly changed after RBC. Furthermore, we also detected the variations of the rate of returns and the risk of insurance companies’ investment portfolios after the implement of RBC. The empirical results are that both the rate of returns and the risk of insurance companies’ investment portfolios decreased after RBC had been carried out. | en_US |
| dc.description.tableofcontents | 第一章 緒論 1 第一節 研究動機與目的 1 第二節 研究架構 3 第二章 文獻回顧 5 第一節 風險基礎資本額制度 5 第二節 保險業資金配置 7 第三章 台灣壽險業資金配置 10 第四章 研究模型 15 第一節 樣本資料選取 15 第二節 檢定資產配置的研究方法 15 第三節 檢定投資報酬率與投資風險的研究假說 16 第四節 檢定投資報酬率與投資風險的研究模型 17 第五章 實證結果 25 第一節 資產配置的實證結果 25 第二節 各變數敘述統計量 29 第三節 投資報酬率的實證結果 30 第四節 投資風險的實證結果 32 第六章 結論與建議 35 參考文獻 39 附錄一 以Wilcoxon sign-rank test檢定資產配置的實證結 41果 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0094358005 | en_US |
| dc.subject (關鍵詞) | 風險基礎資本額制 | zh_TW |
| dc.subject (關鍵詞) | 資產配置 | zh_TW |
| dc.title (題名) | 實施RBC制度對台灣壽險公司資產配置與投資風險之影響 | zh_TW |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 中文部份： | zh_TW |
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| dc.relation.reference (參考文獻) | 2. 林姿婷，風險基礎資本與涉險值運用在保險監理上之比較，國立政治大學風險管理與保險學系研究所碩士論文，民國90年。 | zh_TW |
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| dc.relation.reference (參考文獻) | 英文部分： | zh_TW |
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