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    题名: 利率風險對公司經營之影響:台灣壽險市場之實證研究
    作者: 李明黛
    贡献者: 陳彩稚
    李明黛
    关键词: 平均存續期間
    利率風險
    壽險公司
    duration
    interest-rate risk
    life insurance company
    日期: 2002
    上传时间: 2016-05-09 16:30:52 (UTC+8)
    摘要:   近年來台灣的市場利率持續下滑,可能造成保險公司無法實現對被保險人之高預定利率的保單給付承諾,利率風險已經成為壽險公司是否能繼續經營之重要關鍵。壽險公司如未能衡量利率變動風險而貿然推出保單,將對財務造成極大的負擔,不但會影響公司清償能力,亦會對社會造成衝擊,因此壽險公司應先衡量現在及未來將面臨多大的利率風險,做適當資產負債管理,以避免將來失卻清償能力。
      本研究利用財務上平均存續期間(duration)觀念與Barney(1997)所提出之K值來衡量利率風險,以民國87-89年財務報表資料,實證研究利率風險會對那些經營指標產生影響,以喚起業界對於利率風險之重視。研究結果發現:
      1.利率風險對於壽險公司之投資報酬率、股東權益報酬率有顯著的影響,並且呈負相關。
      2.利率風險對於壽險公司之流動比率無顯著相關;與負債比率有顯著之正相關。
      3.利率風險對於新契約保費成長率、保單繼續率無顯著影響,顯示國內並無明顯之逆中介情況。
      4.壽險公司可藉由投資較長期之公債、公司債及減少保單貸款、不動產投資與固定資產項目之利率敏感度,以增加壽險公司之獲利性。
      The interest rates have been decreasing recently. Under this circumstance, it might be difficult for insurance companies to gain sufficient investment returns to fulfill the commitment of insurance policies. The interest-rate risk has become one of the critical factors for the solvency of life insurance companies. Therefore, life insurance companies should evaluate the impact of interest-rate risk and perform asset-liability management to prevent insolvency.
      This study applies the concept of duration and K value (Barney 1997) to measure interest-rate risk and its impact on the operations of life insurance companies in Taiwan. The empirical analysis is conducted based on the financial data of life insurance companies in Taiwan during the period of 1998-2000. The empirical findings are listed as follows:
      1.Interest-rate risk has a significantly negative impact on both investment return and ROE..
      2.Interest-rate risk does not have significant impact on current ratio of the life insurance companies, but it is positively related to debt ratio.
      3.Interest-rate risk does not have significant impact on either new contract growth rate or policy renewal rate, which indicates that the process of disintermediation does not happen in life insurance industry in Taiwan.
      4.By investing in the long-term government bonds and corporate bonds and reducing the interest-rate sensitivity of policy loans、investment on real estates and fixed assets , life insurance companies may be able to increase their profits.
    參考文獻: 一、中文文獻
    1. 王致怡,商業銀行利率風險的評估,國立台灣大學國際企業學研究所碩士論文,民國83年
    2 .中華民國人壽保險商業同業公會,壽險簡訊,中華民國人壽保險商業同業公會編印,第145期,民國88年。
    3. 李惠錦,期間分析應用於壽險業資產負債管理之研究,國立政治大學保險研究所碩士論文,民國82年
    4. 呂明珠,利率變動對台灣上市銀行股票報酬及獲利之影響,國立台灣大學財務金融研究所碩士論文,民國82年
    5. 周國端,利率變動風險對台灣壽險公司獲利影響之實際研究,台灣大學財務金融研究所國科會計畫,民國87年
    6. 施淑芳,壽險公司資產負債管理對公司價值影響之研究,國立政治大學保險研究所碩士論文,民國86年
    7. 玲木辰紀著,王桂春譯,日產生命保險公司之經營倒閉,風險管理季刊,第二期,P21-28
    8. 陳忠勤,利率變動對銀行價值影響之研究,國立中央大學企業管理研究所碩士論文,民國81年
    9. 張菊枝,企業年金資產負債管理之研究,國立政治大學保險研究所碩士論文,民國84年
    10. 張啟濱,利率變動對壽險公司營運之影響,私立逢甲大學保險學研究所碩士論文,民國89年
    11. 黃淑芳,上市保險公司股票報酬之利率敏感性─台灣市場之實證,私立逢甲大學保險學研究所碩士論文,民國88年
    12. 黃必祥,利率波動對我國銀行獲利能力影響之研究,成功大學企業管理學研究所碩士論文,民國86年
    13. 葉澤菁,壽險業經營績效衡量指標之研究,私立逢甲大學保險學研究所碩士論文,民國89年
    14. 歐雪竹,台灣壽險業利率風險之研究,逢甲大學保險研究所碩士論文,民國90年
    15. 楊瓊音,利率風險對銀行獲利能力影響之探討,國立成功大學企業管理學研究所碩士論文,民國81年
    16. 羅致帆,上市公司長短期利率風險之研究,國立台灣大學國際企業研究所碩士論文,民國89年
    二、英文文獻
    1.Babbel,D.F. and Klock,D.R.,1994, ”Measuring the Interest Rate Risk of Insurer Liabilities”,Insurance Risk Management and Public Policy”, pp.49-73
    2. Barney,L.D.,1997,”The Relation Between Capital Structure,Interest Rate Sensitivity, and Market Value in the Property-Liability Industry :Comment”,The Journal of Risk and Insurance,64(4):pp.733-738
    3.Bierwag,G.O.,Georage G.,Kaufman and Alden Toevs(1983),”Duration: Its Development and Use in Bond Portfolio Management Financial Analysts Journal,July-August,PP.15-35
    4. Bierwag,G.O.,Corrado,C.J.,and Kaufman,G.G.,1990,”Computing Durations for Bond Portfolios”,The Journal of Portfolio Management, FALl, pp.51-55
    5. Black,K., and Skipper,H.,1994, Life Insurance, Prentice International Editions ,12th
    6. Chidambaran,N.K., Pugel,T.A.,and Saunders,A.,1997,”An Investigation of the Performance of the U.S.Property-Liability Insurance Industry”, The Journal of Risk and Insurance,64(2):pp.371-381
    7. Chung,Y., and Skipper,H.D.,1987” The Effect of Interest Rate on Surrender Values of Universal Life Policies”, The Journal of Risk and Insurance ,pp.341-347
    8. Count,S.,1996, Management for Solvency and Profitability in Lifeand Health Insurance Companies ,Atlanta ,Ga. :Life Management Institute,LOMA
    9. Doherty,N.A., and Kang,H.B. 1988,”Interest Rates and Insurance Price Cycles”,Journal of Banking and Finance,pp.199-214
    10. Fields,J.A., and Venezian,E.C.,1989,”Interest Rates and ProfitCycles: A Disaggregated Approach”, The Journal of Risk and Insurance,56(2):pp.312-319
    11. Flannery,M.J. and James,C.M.,1984,”The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions”, The Journal of Finance,(4):pp.1141-1153
    12. Hartzell,D.J., Shulman,D.G., Langetieg,T.C., and Leibowitz,M.L.,1998,”A look at Real Estate Duration”,The Journal of Portfolio Management,Fall , pp.16-24
    13. Joseph C. and Craig A.W.,1994,“Interest-Rate Risk is Top Objective”,Bank Management ,November/December, pp.10-17
    14. King,J.,1996,”Measuring Return on Risk-Weightes Assets”,The Bankers Magazine,July/August,pp.45-48
    15. Lamm-Tennant,J.,1989,”Asset/Liability Management for the life Insurer:Situation Analysis and Strategy Formulation”,The Journal of Risk and Insurance,56: pp.501-517
    16. Landskroner,Y., ,1989,”How Variable Interest Rates Affect Bank Duration and Immunization”, Financial Analysts Journal, July/August,pp.77-80
    17. Leibowitz,M.L., Sorensen,E.H., Arnott,R.D., and Hanson,N.H.,1989,”A total Differential Approach to Equity Duration”, Financial Analysts Journal, September-October,pp.30-37
    18. Lesseig,V.P.,and Stock,D.,2000,”Impact of Correlation of Asset Value and Interest Rates upon Duration and Convexity of Risky Debt”, Journal of Business Research, 49:pp.289-301
    19. Messmore,T.E.,1990,”The Duration of Surplus”, The Journal of Portfolio Management”, Winter , pp.19-22
    20. Rhys,H.,and Tippett,M.,1996,”Duration and Interest Rate Risk for Uncertain Cash Flow Streams”, Journal of Business Finance & Accouting,23(1), pp.115-123
    21. Rohlwink,A.,1984,”How asset and liability management improves performance”, The Banker ,March, pp.41-45
    22. Rosenberg,J.L.,1986,”The Joys of Duration”, The Bankers Management ,March/April,pp.62-67
    23. Santomero,A.M. and Babbel,D.F.,1997,”Financail Risk Management by Insurers : An Analysis of the Process”, The Journal of Risk and Insurance”,64: pp.231-270
    24. Silvers,J.B.,1976,”Liquidity,Risk and Duration Patterns in Corporate Financing”,Financial Management, Autumn, pp54-64
    25. Staking,K.B. and Babbel,D.F.,1995,”The Relation Between Capital Structure, Interest Rate Sensitivity, and Market Value in the Property-Liability Industry”, The Journal of Risk and Insurance,62(4):pp.690-718
    26. Vogel,G.L., 1994,”An Analyst’s View of Insurance Insolvency”, Journal of the American Of CLU & ChFC ,MAY, pp.52-58
    27. Way,P.,1997,”The Integrated Approach To Asset And iability Management”,Insurance & Technology, May ,pp44-46
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    88358012
    資料來源: http://thesis.lib.nccu.edu.tw/record/#A2010000234
    数据类型: thesis
    显示于类别:[風險管理與保險學系 ] 學位論文

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