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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/24710

    Title: 個人壽險新契約成長率季節性異常現象之研究
    Authors: 郝充仁;Hao, Chung-Jen;周林毅;Chou, Lin-Yhi
    Contributors: 淡江大學保險學系
    Keywords: 人壽保險;單根檢定;一般化自我迴歸型式的異質條件變異數模型;TGARCH模型;保險契約;EGARCH模型;壽險新契約保險金額成長率;Life Insurance;Unit Root Test;Garch Model;Tgarch Model;Insurance Contract;Egarch Model;New Life Insurance Policy Amount Growth Ratio
    Date: 2002-06-09
    Issue Date: 2009-11-30 18:33:42 (UTC+8)
    Abstract: 台灣地區個人人壽保險[簡稱人壽保險或壽險]新契約保險金額成長率經歷民國76年開放外商進入本國保險市場及民國87年停售高利率保險單的因素,呈現大幅度成長。而本研究主要目的乃在於檢定一年中各月份成長率均等於零及各月份成長率為零。本研究結果發現:(1)每年人壽保險銷售旺季皆為三月份,而銷售淡季皆為一月份、二月份、七月份及十月份,其中國曆七月份更接受該月份成長率為零的虛無假設,此乃與中國人「春節」與「鬼月」習俗有關。(2)台灣地區人壽保險新契約保險金額成長率於民國89年12月份成長幅度最大(90.55%),而民國71年12月份成長幅度次之(66.22%),此乃與高利率保險單停售及健康保險受到重視有關。(3)EGARCH模型檢定結果發現我國人壽保險新契約保險金額成長率有明顯的不對稱效果,再者係數λ值為小於0且顯著,而ζ值介於0與-1之間[-l<ζ
    The purpose of study is to analysis auto-regress andheteroscedasticity in time series of Taiwan new life insurance policyamount in 1979-2000. The analysis is based on GARCH, TGARCH and EGARCHmodel. The paper has four outcomes. First, the life insurancepromotion at March is very easy. And consumer has large desire to buyit. But China people believe unfortunate in July at lunar calendar. Sothat consumer will not buy life insurance. Second, the new policyutmost growth ratio is 90.55%, the number about of high rate (interestrate) policy cancel sell and the people more important to healthinsurance. Third, Amount of new life insurance growth ratio hasasymmetry volatility. At last, the GARCH and EGARCH Model can catchall growth ratio volatility, but TGARCH model can not catch all growthratio volatility because diagnose test conclude is one order haveauto-correlation.
    Relation: 實踐大學90學年度第四屆管理學院學術及實務研討會論文集上冊,頁 I-A1-1-16
    Appears in Collections:[保險學系暨研究所] 會議論文

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