應用馬可夫鏈模型探討台灣保險公司 之企業營運週期

CCUR > College of Business > Department of Banking & Finance > Thesis > Item 987654321/33517

Please use this identifier to cite or link to this item: https://irlib.pccu.edu.tw/handle/987654321/33517

Title:	應用馬可夫鏈模型探討台灣保險公司之企業營運週期 Applying Markov Chain Model to Study Business Operation Cycle ofInsurance Companies in Taiwan
Authors:	楊承儒
Contributors:	財務金融學系
Keywords:	吸收性馬可夫鏈轉移機率保險公司 absorbing markov chain transition probability insurance company
Date:	2016-06
Issue Date:	2016-08-11 11:12:11 (UTC+8)
Abstract:	2008 年美國發生的次級房貸造成雷曼兄弟的破產，牽動著全球金融經濟，並造成美國國際集團(AIG)必須放棄在南山人壽的經營權，從台灣撤出超過95%的股權，以挽救總公司瀕臨破產的窘境。而全球金融市場的變化，改變台灣的保險市場，造成保單預定利率降低，使得保費結構提高，但保險公司的資本利得與營業收入卻相對降低且承擔的風險增加，所以保險公司必須更加謹慎的管理。因此，我們從投資人的觀點上，透過瞭解並分析保險公司的經營狀況，藉以獲得之利益加以探討。企業以不同的營運方式產生出不同的樣貌，本研究參考Anthony and Ramesh (1992)與 Daft (2004)提出對企業生命週期的衡量區分五個指標，樣本選取台灣本國保險公司在 2006 到 2014 年共 9 年的財務資訊。本篇論文的研究方法透過吸收性馬可夫鏈(absorbing markov chain)的轉移矩陣(transition matrix)來計算保險公司的各經營階段。藉由實證保險公司營運階段分布情形與轉移機率之估算，區分企業為何種階段的比率與經營時間的長短，供投資人做決策的判斷，以減少投資時所產生的風險。 Back to 2008, there was an important event of bankruptcy of Lehman Brothers from issuing low quality mortgage back security. This create a number of following issues which have been affected both global and foreign local financial market and economy including Taiwan. For Taiwan effect, it triggered American International Group (AIG) withdraw more than 95% stake in Nan Shan Life Insurance Company. However, from the event of Nan Shan Life Insurance, the insurance companies rise risk premium but capital gains and operating income of insurance companies is still relatively lower, not covered the higher risk. So, the company must be careful of operations. In this study, we follow the point of view of investors to understand the insurance company’s operating condition and make analysis by applying absorbing Markov chain model to estimate transition matrix of different business operation (Anthony and Ramesh, 1992; Daft, 2014) to different life-cycle stages of financial activities during 2006-2014. This study will help investor and managers as reference for decision-making.
Appears in Collections:	[Department of Banking & Finance ] Thesis

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