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    题名: 期間分析應用於壽險業資產負債管理之研究
    DURATION ANALYSIS IS APPLIED TO ALM FOR LIFE INSURANCE
    作者: 李惠錦
    LEE, PHOEBE
    贡献者: 吳家懷
    DAVID C. WU
    李惠錦
    PHOEBE LEE
    关键词: 期間
    免疫
    盈餘比
    利率風險
    投資周期
    Duration
    Immunization
    Surplus Ratio
    C-3 Risk
    Planning Period
    日期: 1993
    上传时间: 2016-04-29 16:38:13 (UTC+8)
    摘要: 本論文共分七章、二十七節，內容如下：　第一章　前言。對研究動機、
    參考文獻: 一、書籍
    1.古瀨政敏撰著賴建業譯述美國壽險公司之新經營策略財團法人保險事業發展中心出版民國八十一年一月
    2.李家泉著實用壽險數理作者自行出版民國七十八年七月增訂九版
    3.施文森著保險法總論作者自行出版民國七十九年九版
    4.施文森著保險法論文第二集作者自行出版民國七十七年增訂四版
    5.袁宗蔚著保險學三民書局民國七十五年十六版
    二、期刊
    6.王塗城著利率自由化與資產負債管理信用合作民國75 年1 月
    7.吳家懷口述金融機構資產負債管理中華民國精算學會會報第十三期第二冊民國七十九年九月刊第16 輯民國78 年6 月
    8.殷乃平著人壽保險的資產負債管理保險專刊
    9.張火旺著析論利率期限結構企銀季刊民國七十五年四月
    10.羅際堂主講曾國烈整理資產負債管理存款保險資訊季刊民國78 年3 月
    11.資產負債管理專輯台北市銀月刊第十八卷第七期
    英文部份
    一、書籍
    1.Frank J. Fabozzi C.F.A. " The Handbook of Fixed Income Securities", Business One Irwin, 1991
    2.Gerald O. Bierwag, "Duration Analysis" BALLINGER PUBLISHING COMPANY, 1987
    3.Jordan, "Life Contingencies " ,2nd Edition THE SOCIETY OF ACTUARIES, 1975
    4.Livingston G. Douglas , C.F.A., "Yield Curve Analysis" ,New York Institute of Finance 1988
    5.Robert A. Haugen “Modern Investment Theory” Prentice-Hall, Englewood Cliffs,1986
    6.Robert B. Platt, " Controlling Interest Rate Risk “ , JOHN WILEY & SONS, 1986
    7.Stephen G. Kellison “ The Theory of Interest “,RICHARD D.IRWIN,INC 1970
    二、期刊
    8.Babbel, David F . , “ It Pays to practice ALM “ Best`s Review (Prop/Casualty), May 1991
    9.Bierwag, G. O., "An Immunization Strategy Is a Minimax Strategy", Jrnl of Finance, May 1979
    10.Bierwag, G.O., “ Duration and Bond Portfolio Analysis: An Overview “ Jrnl of Financial & Ouantitative Analysis, Nov. 1978
    11.Bierwag, G.O., “ Immunization, Duration, and the Term Structure of Interest Rates", Jrnl of Finacial & Quantitative Analysis, Dec. 1977
    12.Gold, Jeremy, “ Technical Notes: Longing for Duration", Financial Analysts Jrnl, Nov/Dec.1988
    13. James A. Tille y ,”The Matching of Assets and Liablities ", Transaction of Society of Actuary (T . S.A.) Vol:XXXII,1980
    14.Lamm-Tennant, Joan, "Asset/Liability Management for the Life Insurer: Situation Analysis and Strategy Formulation",Jrnl of Risk & Insurance, Sep. 1989
    15. Landskroner, Yoram, "How Variable Interest Rates Affect Bank Duration and Immunization" Financial Analysts Jrnl, Jul/Aug . 1989
    16. Lawrence Fisher, "Coping With the Risk of Interest-Rate Fluctuations Returns to Bond - holders form Naive and Optimal Strategies " Jrnl of Business, 1973
    17 . Merlin F . Jetton, "Interest Rate Scenarios", T.S.A. Vol: XL, 1988
    18. Paul R. Milgrom, "Measuring the Interest rate Risk", T.S.A. Vol: XXXII , 1985
    19 . Reilly, Frank K., "The Many Uses of Bond Duration", Financial Analysts Jrnl, Jul/Aug.1980
    20. Roman L . Weil, "Macaulay`s Duration: An App reciation", Jrnl of Business, 1973
    21. Willard T. Carleton, "Estimation and Uses of the Term Structure of Interest Rates", Jrnl of Finance, Sep . 1976
    三、會議記錄
    22.Toronto Meeting of the Society of Actuaries Oct . 20-23, 1991
    23.New Orleans Meeting: Discussion of the Preliminary Report of the Committee on
    Valuation and Related Problems , 1979
    四、精算考試之study Note
    24.Course I-443U, "Cash Flow Analysis Techniques " 1989
    25.Donna R. Claire, Course I-443U, "Description of New York Regulation 126", 1988
    26.James M. Geyer, Course I-340, "Valuation of Assets and Liabllities in a Volatile
    Interest World", 1989
    27.Martin L. Leibowitz, Course 220, "Optimal Cash Flow Matching", 1985
    28.Robert H. Stapleford, Course 220, "Introduction to the Formation of Investment Strategy For Life Insurance Companies and Pension Plans", 1988
    五、論文
    29. David C. Wu, "C - 3 Reserve and Immunization Theory", U. of Wisconsin, 1981
    (此係吳家懷老師之碩士論文)
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    G80358012
    資料來源: http://thesis.lib.nccu.edu.tw/record/#B2002004121
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

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