| dc.contributor.advisor | 蔡政憲 | zh_TW |
| dc.contributor.advisor | Tsai, Chenghsien | en_US |
| dc.contributor.author (作者) | 陳雅雯 | zh_TW |
| dc.contributor.author (作者) | Chen,Ya-wen | en_US |
| dc.creator (作者) | 陳雅雯 | zh_TW |
| dc.creator (作者) | Chen,Ya-wen | en_US |
| dc.date (日期) | 2004 | en_US |
| dc.date.accessioned | 2009-09-18 | - |
| dc.date.available | 2009-09-18 | - |
| dc.date.issued (上傳時間) | 2009-09-18 | - |
| dc.identifier (其他 識別碼) | G0913580061 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/34151 | - |
| 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) | 91358006 | zh_TW |
| dc.description (描述) | 93 | zh_TW |
| dc.description.abstract (摘要) | 本文考量於Excel介面下設計一「壽險公司現金流量模型」，透過保險財管、精算理論的採用與大量隨機模擬亂數的應用，欲建構一結合理論基礎與實務運用的動態財務分析系統雛形。模型中，資產面的模擬項目共有七項：1.債券與放款：採用CIR或Vesicek兩利率模型供選擇進行利率期間結構生成，以模擬出各到期期限的債券及放款價格。2.股票：以資本資產訂價模型(CAPM)來模擬各類股股票價格的變動與股票投資報酬。3.不動產：使用幾何布朗運動模擬不動產價值與租金收入。4.國外投資：利用幾何布朗運動模擬匯率的變動。5.現金及銀行存款。6.應收款項，考量壞帳情況下，逐年比率攤回殘餘金額。7.其他資產。負債面採用定期險、終身生死合險與遞延年金險模擬壽險公司業務經營的現金流量情況。藉由資產與負債的整合，可模擬出公司未來十年內各年度的損益情況，讓使用者了解於承受總體經濟各項不確定風險下，壽險公司資產面、負債面與業主權益的現金流量情況。文末引用個案範例，進行實務操作的說明，示範如何應用本模型來進行最適資產配置決策與敏感度分析，以證明本系統的合理可行性。最後，並對此系統提出檢討與展望，期待後續研究可加入程式語言的應用而建構出一完備的動態財務分析系統。 | zh_TW |
| dc.description.abstract (摘要) | The main purpose of this study is to construct a dynamic cash flow testing for the life insurance company by using Excel. Through the adoption of financial and actuarial theories and the application of stochastic method, we want to provide a rudiment analysis framework of life dynamic financial model that combines theoretical basis and practical application.This analysis framework includes seven categories of assets. The simulation models or related issues for each category will be discussed accordingly. – 1. Bonds and mortgage loans: providing CIR and Vesicek interest rate model for users to generate the interest term structure. 2. Stocks: applying CAPM method to simulate the stock prices and stock returns. 3. Real estate and rental income: using Geometric Brownian Motion to simulate the price of real estate and the rental income. 4. Foreign investment assets: using Geometric Brownian Motion to simulate the movement of exchange rate. 5. Cash and Deposits. 6. Account Receivable: after considering bad loans, we amortize the residual account receivables for a specific period.On the liability side, we use three types of products - term life, whole life endowment, and deferred annuity - to generate the business profile as well as the cash flows patterns of the life insurance company. By integrating the asset and liability sides of the model, we can simulate the revenue of the company for the following ten years and enable the users to predict the future cash flows under uncertain financial conditions.Finally, applications of this model are presented as thoroughly as possible to educate the users about how to make the optimal asset allocation decisions and sensitive scenario analysis. The application results show that the model reasonably fits the desired results. Since the model presented here is not a complete DFA model, future researches may consider adding more refined component into the analysis framework like using programming language. | en_US |
| dc.description.tableofcontents | 第一章 緒論 ...............................................01 第一節 研究動機與目的 ....................................02 第二節 模型研究範圍與系統功能說明 ........................03 第三節 研究架構說明 ......................................05第二章 模型設計機制與運作流程說明 .........................06 第一節 模型運作流程之綜觀 ................................06 第二節 模型初值與參數設定之說明 ..........................13 第三節 模型模擬運算機制步驟之說明 ........................19 第四節 模型結論整合機制之說明 ............................42第三章 操作範例說明 .......................................46 第一節 個案範例操作說明 ..................................46 第二節 資產配置決策分析之應用 ............................53 第三節 敏感度分析測試操作之說明 ..........................55第四章 結論與展望 .........................................59參考文獻 ....................................................61附錄 .........................................................62附錄一、個案範例之保單精算參數資料明細 ......................62附錄二、個案範例之資產投資初始值與參數資料明細 ..............68 | zh_TW |
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| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0913580061 | en_US |
| dc.subject (關鍵詞) | 資產負債管理 | zh_TW |
| dc.subject (關鍵詞) | 動態財務分析 | zh_TW |
| dc.subject (關鍵詞) | 利率風險 | zh_TW |
| dc.subject (關鍵詞) | 情境分析 | zh_TW |
| dc.subject (關鍵詞) | Asset liability management | en_US |
| dc.subject (關鍵詞) | Dynamic financial analysis | en_US |
| dc.subject (關鍵詞) | Interest risk | en_US |
| dc.subject (關鍵詞) | Scenario analysis | en_US |
| dc.title (題名) | 壽險公司現金流量模型之建構 | zh_TW |
| dc.title (題名) | The Construction for a Cash Flow Model of a Life Insurance Company | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | [1]. D’Arcy, Stephen. P., W. G.. Richard, and E. H Thomas, (1998), “Using the Public Access DFA Model: A Case Study,” “Using the Public Access DFA Model: A Case Study Forum, Casualty Actuarial Society, pp.53-118. | zh_TW |
| dc.relation.reference (參考文獻) | [2]. Kaufmann, R., Gadmer A., and Klett R., (2001), “Introduction to Dynamic Financial Analysis,” ASTIN Bulletin, Vol. 31, No. 1, pp.213-249. | zh_TW |
| dc.relation.reference (參考文獻) | [3]. 蔡政憲、何憲章、鄒治華， (2002) ，「壽險保單存續期間分析」，風險管理學報，第四卷，第一期，第47-75頁。 | zh_TW |
| dc.relation.reference (參考文獻) | [4]. 賴志杰， (2003) ，「我國產險業資產負債管理技術之研究 - 以動態財務分析為例」，碩士論文，朝陽科技大學保險金融管理研究所，台中。 | zh_TW |
| dc.relation.reference (參考文獻) | [5]. 闕志勳、林義堅、黃怡盈、江珮甄、陳建廷、沈建名， (2002) ，「財產保險業動態清償能力模擬系統 ~ 使用手冊」，專案報告，國立政治大學資訊管理學系，台北。 | zh_TW |
