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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/46894


    Title: 人口統計、風險溢酬與壽險公司/退休基金的風險管理
    Other Titles: Demographics, Risk Premiums and Risk Management in Life Insurance Companies and Pension Funds
    Authors: 繆震宇
    Contributors: 淡江大學保險學系
    Date: 2009
    Issue Date: 2010-04-15 15:29:47 (UTC+8)
    Abstract: 本研究透過分解人口結構的構成探討人口變數對於整體股票市場報酬率的 影響,研究對像包含已開發國家與新興市場,藉以瞭解不同經濟體的整體股票市 場報酬受到人口因素的影響程度,此研究的發現一方面可以增進我們對於風險溢 酬的瞭解,對於後續的保險與退休基金研究具有非常大的啟發性。 摘要(計劃2) 本研究探討死亡率同時對於壽險公司的負債與資產價值產生影響的情形 下,保險公司在極大化股東價值下之投資、承保與資本投入決策,並且本文考慮 了壽險公司的資本適足率要求,使得壽險公司之各項決策能夠符合股東之利益且 符合監理單位之規範。 摘要(計劃3) 本研究嘗試為我國退休基金建立規避人口風險的投資策略,首先以我國與美 國的資料找出影響個別股票報酬率的人口風險因子,再利用零人口風險與人口風 險免疫兩個策略建立投資組合,最後評估這些投資策略的投資績效。 Abstract(project 1) In this paper, we use international data to find the relation of demographics and capital markets. Demographic change is decomposed into variety of components. Thus we can go inside to find which one will affect risk premium of capital markets. The finding will enlighten further insurance and pension researches. Abstract(project 2) Asset and liability value are correlated with mortality rate is assumed in this paper. The investment decision, underwriting decision and capital decision are three risk management tools to hedge demographic risks for life insurance companies.We investigate these decisions to maximize shareholder value under RBC constraint. Abstract(project 3) This study tries to find investment strategies to avoid and hedge demographic risks for pension funds. We use Taiwan and American data to get the risk premium for demographic risks. Zero demographic risk strategy and demographic risk immunization strategy are employed to defined contribution and defined benefit pension plans. Finally, performance of these two strategies is evaluated.
    Appears in Collections:[風險管理與保險學系] 研究報告

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