| dc.contributor.advisor | 張士傑 | zh_TW |
| dc.contributor.advisor | Chang, Bill Shih Chieh | en_US |
| dc.contributor.author (Authors) | 謝耘曦 | zh_TW |
| dc.contributor.author (Authors) | Hsieh, Yun Hsi | en_US |
| dc.creator (作者) | 謝耘曦 | zh_TW |
| dc.creator (作者) | Hsieh, Yun Hsi | en_US |
| dc.date (日期) | 2012 | en_US |
| dc.date.accessioned | 22-Jul-2013 11:18:28 (UTC+8) | - |
| dc.date.available | 22-Jul-2013 11:18:28 (UTC+8) | - |
| dc.date.issued (上傳時間) | 22-Jul-2013 11:18:28 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0099358024 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/58940 | - |
| 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) | 99358024 | zh_TW |
| dc.description (描述) | 101 | zh_TW |
| dc.description.abstract (摘要) | 本研究以Plantinga（2010）對退休金基金所提出之績效歸因模型應用於臺灣的壽險公司，並檢定每單位負債下，壽險公司的資產負債配置不匹配是否會影響到公司的投資收益；以及檢定在公司規模及壽險公司負債成本兩因素做為控制變數之下，資產負債不匹配程度是否會影響到壽險公司的投資報酬率的部分，得到以下結果：（一） 在2007年至2012年間，每單位負債下，壽險公司的資產負債配置不匹配會影響到公司的投資收益，且影響為負。（二） 壽險公司的盈餘資產積極投資報酬率，與其負債成本間有顯著的正向相關；和公司規模間有正向相關；而與資產負債不匹配程度無明顯的相關性。（三） 壽險公司的名目資產積極投資報酬率，與其資產負債不匹配程度有正向相關，但並不非常顯著；而與公司規模無明顯的相關性；與負債成本相關性之間的關係，亦不是非常顯著。此研究應用Plantinga（2010）的內部績效衡量的模型，其以每單位負債表示報酬率，更能清楚看出，若在不增加自有資本的前提下，每個績效歸因對公司負債的影響大小，可以做為業界之參考。關鍵字：資產配置、內部績效、追蹤資料、資產負債不匹配程度 | zh_TW |
| dc.description.abstract (摘要) | This research of pension fund is conducted based on Plantinga’s (2010) performance attribution model and applied to insurance companies in Taiwan; The research tested how insurance companies investment return per unit of liability and investment rate of return would be affected would be affected under the circumstance of asset-liability-mismatch based on two variables: company size and cost of capital. The result is shown below:（i） Under unit liability, the asset-liability allocation has negative effect on the return of insurer during 2007 to 2012.（ii） There is a significant positive relationship between insurer’s cost of liability and surplus asset active return rate; positive relationship between insurer’s liability scale and surplus asset active return rate; no significant relationship between asset-liability mismatch level and surplus asset active return rate.（iii） There is a positive but not significant relationship between asset-liability mismatch level and nominal asset active return rate; no significant relationship between insurer’s liability scale and nominal asset active return rate; no significant relationship between insurer’s cost of liability and nominal asset active return rate, either.The research, which is based on Platinga’s (2010) internal performance measurement model, demonstrates the degree of influence on company’s liability disregard of any capital injection. The result can be used as industry reference. Key words：asset-liability allocation, internal performance measurement model, asset-liability mismatch level, panel data | en_US |
| dc.description.tableofcontents | 目錄謝誌 I中文摘要 IIABSTRACT III第一章 緒論 1第一節、研究動機及背景 1第二節、研究範圍及方法 2第三節、研究架構 3第二章 文獻探討 4第一節、績效歸因模型之架構 4第二節、影響保險公司投資績效之因素分析 8第三節、保險業資產配置策略對保險公司的攸關性 11第三章 研究方法 14第一節、研究模型探討 — 績效歸因模型 14第二節、研究模型探討 — 追蹤資料分析 17第三節、研究假說 20第四節、會計績效指標探討 21第五節、樣本敘述統計 23第四章 實證結果 27第一節、資料之敘述性統計 28第二節、資產負債不匹配對壽險公司負債影響之計量分析 29第三節、資產負債不匹配程度對壽險公司投資報酬率影響之計量分析 30第五章 結論及建議 35第一節、結論 35第二節、研究限制及建議 37參考文獻 38 | zh_TW |
| dc.format.extent | 570730 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0099358024 | en_US |
| dc.subject (關鍵詞) | 資產配置 | zh_TW |
| dc.subject (關鍵詞) | 內部績效 | zh_TW |
| dc.subject (關鍵詞) | 追蹤資料 | zh_TW |
| dc.subject (關鍵詞) | 資產負債不匹配程度 | zh_TW |
| dc.subject (關鍵詞) | asset-liability allocation | en_US |
| dc.subject (關鍵詞) | internal performance measurement model | en_US |
| dc.subject (關鍵詞) | asset-liability mismatch level | en_US |
| dc.subject (關鍵詞) | panel data | en_US |
| dc.title (題名) | 人壽保險公司之績效歸因模型分析 | zh_TW |
| dc.title (題名) | The Analysis of Performance Attribution Model of Life Insurance Company | en_US |
| dc.type (資料類型) | thesis | en |
| dc.relation.reference (參考文獻) | 中文部分1. 蔡政憲、吳佳哲，2000，保險法中投資限制對保險業投資績效影響之實證研究，風險管理學報，第2卷第2期，1-36。2. 黃雅文、張士傑、詹淑卿、楊尚穎，2011，保險業資產配置之決定及其影響，財團法人保險安定基金委託研究計畫結案報告書。英文部分1. Etti G. Baraanoff and Thomas Sager, 2009, Do Life Insurers’ Asset Allocation Strategies Influence Performance within the Enterprise Risk Framework, The Geneva Papers, 2009, 34, 242-259.2. Murat Binay, 2005, Performance Attribution of US Institutional Investors, Financial Management, Summer 2005, 127-152.3. Gary P. Brinson, Brian D. Singer and Gilbert L. Beebower, 1991, Determinants of Portfolio Performance II: An Update, Financial Analyst Journal, May/Jun 1991; 47, 3, 40-48.4. Roger G. Ibbotson and Paul D. Kaplan, Does Asset Allocation Policy Explain 40, 90, or 100 percent of Performance, Financial Analysts Journal, 2000, 56, 26-33.5. Auke Plantinga, 2010, Performance and Risk Measurement for Pension Funds, Pension Fund Risk Management: Financial and Actuarial Modeling, 71-84.6. Swiss Re, Insurance investment in a challenging global environment, Sigma, No5/2010. | zh_TW |
