Reference: | 高渭川與謝秋華,(2016)。保險會計變革-IFRS 4 Phase II保險合約衡量模型之影響。會計研究月刊,364,104-113 高渭川與謝秋華,(2016)。保險會計變革-IFRS 4 Phase II對我國保險業之影響。會計研究月刊,365, 118-129 曾雅微,(2018)。SMITH-WILSON模型利率曲線建構方式探討,國立政治大學風險管理與保險研究所碩士論文,台北市 黃泓智、余清祥、楊曉文與黃彥富,(2006)。隨機投資模型與長期負債投資避險策略之研究,證券市場發展季刊,8卷2期,1 – 40 翁振益,(2007)。多屬性決策,收錄於決策分析:方法與應用,張保隆等(編),台 北:華泰文化, 57-105 翁秉謙,(2017)。IFRS 9與IFRS 17下壽險公司資產配置分析,國立政治大學風險管理與保險研究所碩士論文,台北市 鍾昀珊,(2016)。國際會計準則IFRS 4 Phase II對壽險業負債衡量影響之探討, 國立政治大學風險管理與保險研究所碩士論文,台北市 劉韜,(2018)。新會計制度下壽險公司之資產配置,國立政治大學風險管理與保險研究所碩士論文,台北市 Bawa, Vijay S., and Eric B. Lindenberg, (1977), Capital market equilibrium in a mean-lower partial moment framework, Journal of Financial Economics, 5, 189-200. Bollerslev, T., (1986), Generalized Autoregressive Conditional Heteroscedasticity, Journal of Econometrics, Vol.31, pp.307-327 Engle, R. F., (2002), Dynamic conditional correlation: A simple class of Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model, Journal of Business and Economic Statistics, Vol.20(3), pp.339-350. European Insurance and Occupational Pensions Authority, (2018), Risk-free interest rate term structures Report on the Calculation of the UFR for 2019, EIOPA Granger, C.W.J. (1969), Investigating Causal Relation by Econometric Models and Cross Spectral Methods, Econometrica, 37, 424-438 Hardy, M. R., (2001), A Regime Switching Model of Long Term Stock Returns, North American Actuarial Journal, Vol. 5, No. 2, pp. 41-53. Hardy, M. R., (2003), Investment Guarantees; Modeling and Risk Management for Equity Linked Life Insurance, New York: Wiley. Hardy, M R, (2006), An Introduction to Risk Measures for Actuarial Applications. Hardy, M R, Freeland R K and Till M, (2006), Validation of Long-Term Equity Return Models for Equity-Linked Guarantees, North American Actuarial Journal, 10(4), number 4, 28-47 IFRS 17 Insurance Contracts, IASB Lewis, C.D. (1982) Industrial and Business Forecasting Methods. Butterworths Publishing, London, 40. Milliman Management consulting company, IFRS17 coverage units for CSM amortisation, (2018), Milliman John C. Cox, Jonathan E. Ingersoll, Jr. and Stephen A. Ross, (1985), A Theory of the Term Structure of Interest Rates, Econometrica, Vol. 53, No. 2, pp.385-407 Markowitz, H.M, (1952), Portfolio Selection, The Journal of Finance, 7 (1): 77–91 Mandelbrot, B. B., (1963), The Variation of Certain Speculative Prices, The Journal of Business 36, No. 4, 394-419 Robert F. Engle, (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica. 50 (4): 987–1008. Shannon, C.E. (1948), A Mathematical Theory of Communication. Bell System Technology Journal. 27, 623-656. Vasicek, O. (1977). An equilibrium characterization of the term structure. Journal of Financial Economics. 5 (2): 177–188. Wilkie, A. D., (1986), A stochastic Investment Model for Actuarial Use, Transactions of the Faculty of Actuaries, 39, 341-403. Wilkie, A. D., (1995), More on a Stochastic Asset Model for Actuarial Use, British Actuarial Journal, Vol. 1, No. 5, 777-964. |