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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/30481


    Title: Interest Rate Risk of Life Insurance Companies
    Authors: 鄭淑芳
    Contributors: 杜化宇
    鄭淑芳
    Keywords: 壽險業利率風險
    Interest risk
    Date: 2004
    Issue Date: 2009-09-12 12:14:27 (UTC+8)
    Abstract: This paper will first explore the effect of interest rate changes on the stock returns of Taiwan-listed life insurance companies. Then, we will examine the sensitivity of Taiwanese life insurance companies to interest rates by assuming and explicitly testing a two-factor model. Surprisingly, we found that stock return of the life insurance companies are not significantly affected by the interest rate movement.

    We will investigate and analyze the reasons why the result is inconsistent with our knowledge. One reason might be due to lack of timely financial reports. We observed that embedded value might be a better financial indicator used to evaluate the interest rate impact on life insurance company financial soundness.
    This paper will first explore the effect of interest rate changes on the stock returns of Taiwan-listed life insurance companies. Then, we will examine the sensitivity of Taiwanese life insurance companies to interest rates by assuming and explicitly testing a two-factor model. Surprisingly, we found that stock return of the life insurance companies are not significantly affected by the interest rate movement.

    We will investigate and analyze the reasons why the result is inconsistent with our knowledge. One reason might be due to lack of timely financial reports. We observed that embedded value might be a better financial indicator used to evaluate the interest rate impact on life insurance company financial soundness.
    Chapter I:Introduction
    Chapter II:Literature Review
    Chapter III:Regression Model
    Chapter IV:Emperical Results and Analysis
    Chapter V:Financial Reports oF Life Insurance Company
    Chapter VI:Introduciton of Embedded Value (EV)
    Chapter VII:Change in EV v.s. Life Insurance Company Stock Returns
    Chapter VIII:Conclusion
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    Description: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    90932703
    93
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090932703
    Data Type: thesis
    Appears in Collections:[經營管理碩士學程EMBA] 學位論文

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