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題名 | 壽險公司使用衍生性金融商品決定因素之研究=A Study of Determinants of the Use of Derivatives in Life Insurance Industry |
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作者 | 林惠芳; 張邦茹; 葉寧欣; | 書刊名 | 風險管理學報 |
卷期 | 14:1 2012.06[民101.06] |
頁次 | 頁25-47 |
分類號 | 563.7 |
關鍵詞 | 壽險業; 衍生性金融商品; Life insurance industry; Derivatives; |
語文 | 中文(Chinese) |
中文摘要 | 本研究探討我國壽險公司使用衍生性金融商品的行為及金額,以2006年至2009年間11家壽險公司作為研究對象,研究方法為Tobit Regression、Ordered Probit Regression及Multinomial Logit Regression模型,解釋變數為公司規模、公司槓桿、資產負債期間不配合、再保險比率、分離帳戶資產比率、國外投資比率,亦考量國內壽險公司銷售外幣保單的特性來進行實證研究。實證結果發現,公司規模與國外投資比率是我國壽險業使用衍生性金融商品的重要影響因素,且公司規模愈大、國外投資比率愈高者,使用衍生性金融商品的金額、種類與型態皆愈高。此外,負債期間不配合與使用衍生性金融商品的型態與金額間呈現正相關。 |
英文摘要 | This research is to investigate determinants on the use of derivatives by life insurance companies in Taiwan. The data were collected from 11 life insurance companies for the period from 2006 to 2009 in Taiwan and analyzed by the models of Tobit Regression, Ordered Probit Regression, and Multinomial Logit Regression. The explanatory variables include firm size, leverage, the mismatch of asset and liability durations, ratio of reinsurance, ratio of separate accounts assets, and ratio of foreign investments. The sale of foreign currency policies in insurance companies is also considered in the experimentation research. Results of this study show that both the firm size and ratio of foreign investments greatly influence the companies' decision in using of derivatives. The numbers of the usage of derivatives in life insurance companies are significantly and proportionally related to the firm size and the ratio of foreign investments. In addition, the numbers of types and sum of the derivatives are positively related to the mismatch of liability durations. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。