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    Title: 台灣壽險業國外投資與績效之長期追蹤分析
    The longitudinal approach to analyzing the foreign investment and performance for the life insurance industry in Taiwan
    Authors: 黃全利
    Contributors: 鄭宗記
    黃全利
    Keywords: 長期資料
    長期資料分量迴歸
    國外投資
    投資績效
    longitudinal data
    quantile regression for longitudinal data
    foreign investment
    investment performance
    Date: 2011
    Issue Date: 2012-10-30 10:58:22 (UTC+8)
    Abstract: 自2003年起隨著台灣壽險業國外投資比率不斷提高，至2010年底國外投資比率已達34.47%，因此為了探討壽險業國外投資與績效並了解相關因素之影響，本研究檢視壽險公司之市占率和各險種保費收入比率與國外投資比率之間的關係，同時亦檢視美國政府十年期公債殖利率與投資報酬率之間是否具有正向關係。另一方面，探討已公開發行公司是否因需揭露財務報表而與未公開發行公司之間在國外投資比率和投資績效上有所差異。
    本文以2004年至2008年台灣25家壽險公司的長期資料（longitudinal data），分析總合（pooled）、固定效果(fixed effects)和隨機效果（random effects）迴歸模型，並檢視模型之適合性檢定。另因反應變數之密度估計具長尾之特性，所以亦使用Koenker（2004）和Geraci and Bottai（2007）提出的長期資料分量迴歸（quantile regression for longitudinal data）分析作為探討。實證結果顯示，若壽險公司的市占率愈高，則其資產配置於國外的比重亦相對地提高，且壽險和年金險比率與國外投資比率之間呈現顯著地正相關；此外，公開發行公司的國外投資比率顯著高於未公開發行公司。在投資績效方面，美國政府十年期公債殖利率與投資報酬率之間為顯著的正相關。
    長期資料分量迴歸分析實證結果顯示，當使用Koenker（2004）提出之方法時，則一般（ordinary）分量迴歸在50%、75%和90%條件分量下，隨著樣本期間年度的增加，壽險業的國外投資報酬率相對地上升；在10% 和25% 條件分量下，壽險公司市占率與國外投資報酬率之間是顯著的正相關。而使用Geraci and Bottai（2007）提出之隨機效果分量迴歸方法時，在50%條件分量下，國外投資比率與國外投資報酬率之間為顯著地正相關，再者匯率風險將降低台灣壽險業國外投資的意願，然而實行避險策略是有益於投資績效的提升。
    The foreign investment ratio for the life insurance industry in Taiwan has risen constantly since 2003 and reached 34.47% in 2010. In order to explore foreign investment and performance, and understand the impact of relevant factors in the life insurance industry, this study examines the relationship between the market shares of life insurance companies, types of premium income ratio and the foreign investment ratio. Simultaneously, this study also examines the relationship between the 10-year US Treasury Bond Yield Currency and investment return.On the other hand, we explore whether the difference between the publicly traded companies and non-publicly traded companies on the foreign investment ratio and the investment performance.
    In this dissertation, we analyze 25 Taiwanese life insurance companies between 2004 and 2008 using the pooled, fixed effects and random effects regression model. Due to the distribution of the response variable is characterized by the long tail, we explore the use of the quantile regression for longitudinal data by Koenker(2004)and Geraci and Bottai(2007). The empirical results show that the more market share of life insurance companies, the higher foreign investment ratio and there is significantly positive correlation between the life insurance, annuity ratio and the foreign investment ratio. In addition, the publicly traded company`s foreign investment ratio is significantly higher than non-publicly traded company. In terms of investment performance, it’s significantly positive correlation between the U.S. 10-year Treasury Bond Yield Currency and return on investment.
    The empirical results about quantile regression for longitudinal data show that the return on foreign investment relatively enhance for the life insurance industry with the increase of the year during the sample period under the 50%,75% and 90% conditional qauntile when using the ordinary quantile regression proposed by Koenker(2004). There is significantly positive correlation between the market share and the return on foreign investment under the 10% and 25% conditional qauntile. When using the method proposed by Geraci and Bottai(2007), there is significantly positive correlation between the foreign investment ratio and the return on foreign investment under the 50% conditional qauntile. Furthermore, exchange rate risk will reduce the foreign investment willingness of the life insurance industry in Taiwan. However, the implementation of the hedging strategy is beneficial to enhance investment performance for the life insurance industry.
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    Description: 碩士
    國立政治大學
    統計研究所
    99354020
    100
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0099354020
    Data Type: thesis
    Appears in Collections:[Department of Statistics] Theses

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