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| Title: | 台灣產物保險業之資本風險係數、資金成本與費率自由化 |
| Authors: | 張孝銓
Chang, Hsiao Chuan |
| Contributors: | 張士傑
張孝銓
Chang, Hsiao Chuan |
| Keywords: | 費率自由化
資金成本
資本資產定價模型
Fama-French三因子模型
完備資訊方法
deregulation
cost of capital
capital asset pricing model
Fama-French three-factor model
full-information industry beta method |
| Date: | 2008 |
| Issue Date: | 2010-12-08 16:39:04 (UTC+8) |
| Abstract: | 本研究目的欲探討實施費率自由化第一及第二階段後之情形，即在2006年第二階段實施後，台灣產物保險公司及各險種個別之資金成本，以檢視兩階段自由化實施後是否顯著影響國內產險業。而資金成本為公司每段期間內應支付資金提供者之期望報酬，故以此可做為日後公司經營之參考指標。研究期間為2002年至2008年，分別由一因子模型及多因子模型解釋台灣產物保險業之資金成本，及系統風險(β)的變化是否會影響其資金成本之變動。利用資本資產定價模型(Capital Asset Pricing Model, CAPM)及Fama-French三因子模型(Fama-French Three-Factor Model, FF3F)求得公司資金成本，再透過完備資訊方法(The Full-information Industry Beta Method, FIB)了解不同險種間之系統風險及資金成本。實證結果顯示：
1. 無論在整體產險公司或是不同險種間，由FF3F模型所估計之資金成本均高於由CAPM模型所估計之資金成本。說明CAPM模型無法反映公司規模及財務危機因子(淨值市價比因子)之溢酬，而造成資金成本之低估。
2. 經CAPM模型及FF3F模型之估計，顯示台灣產險業之資金成本均低於國外產險業之資金成本，如美國。說明台灣產險業於資本市場之融資成本較低，造成其資本效率偏低，投資人變相縱容產險公司從事高風險性資產之投資。
本研究由台灣實證資料，顯示現行產險業資金取得成本低，導致其資本效率偏低，且投資人無法由市場資訊檢視其保險本業是否根據成本之考量來定價，故主管機關應於費用完全自由化後，加強產險業經營之監理，導正產險市場經營模式，避免因核保循環(underwriting cycle)而影響公司財務穩健。
關鍵詞：費率自由化、資金成本、資本資產定價模型、Fama-French三因子模型、完備資訊方法。 |
| Reference: | 中文部分
1. 張士傑(2008)，「費率自由化監理指標：資本結構、資金成本與核保利潤」，《風險與保險雜誌》，第17期，頁2-9。
2. 張士傑、黃雅文、詹淑卿(2008)，「產物保險公司之核保績效：台灣市場1999-2003之實證研究」，《保險經營與制度》，第7卷，第1期，1-19。
3. 藍順得(2008)，「企業鑑價制度與發展趨勢」，《證券櫃檯雙月刊》，第136期，頁19-21。
4. 曾武仁(2007)，「費率自由化與市場競爭秩序」，《核保學報》，第15卷，頁217-229。
5. 王美晴(2007)，「金控公司下金融業之權益資金成本」，未出版碩士論文，國立中正大學財務金融研究所。
6. 陳柏燿(2005)，「從費率自由化之實施剖析台灣汽車險之未來」，未出版碩士論文，國立政治大學經營管理碩士學程風險管理組。
7. 財政部保險司(2002)，「產險費率自由化時程計畫」，台財保字第0900074088號函。
英文部分
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| Description: | 碩士
國立政治大學
風險管理與保險研究所
96358023
97 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0096358023 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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