本研究之宗旨在於探究中國大陸對亞洲區域內國家的金融市場影響程度之變化。由過去的各國股市日報酬率資料間相關程度與政策改變間的影響結果，來觀察是否未來在兩岸政策更開放下會使中國大陸對台灣的影響程度上升，進而使國際間投資組合的風險分散效果下降。本研究自DataStream選取台灣、香港、中國大陸、泰國、印尼、新加坡、馬來西亞、菲律賓、日本以及美國等十國的股價指數日資料，以對數轉換為日報酬率後年化加以分析。選取時間自1991年7月15日(中國大陸上海證券交易所股價指數公開後)至2008年12月31日。本研究選用的方法為使用風險值(VaR; Value at Risk)的概念來取代傳統的標準差，衡量以該十國所分別組成的各投資組合風險值變動情形；以及由風險值所衍生出的Diversification Benefit與Incremental VaR的結果。發現到僅由亞洲區域國家內組成的投資組合風險分散效果逐漸下降；且效果並不如有納入區域外國家(如美國)的投資組合。接著本研究將Gaussian Copula模型放入VaR中以增加對極端值的捕捉能力，結果發現本研究所選用的指數加權移動平均法所求得之相關係數已可有效反應出各國之間的相依程度，即加入Copula的效果有限。另外藉由Copula所求得之相關係數顯示，台灣、香港對中國大陸之間的相依程度已逐漸上升，並開始出現超越美國之現象，其中又以2005年為上升趨勢的起點。最後本研究以向量自我迴歸模型(VARs)來驗證2005年前後中國大陸股市對其他亞洲區域國家的影響力是否存在結構性的改變；並再佐以變異數拆解之方法來觀察2005年前後各國家之間自發性衝擊對彼此之間的影響程度變化。研究結果發現，透過VARs可證明中國大陸對亞洲區域各國的影響力在2005年後轉變為顯著；僅對美國不存在此一現象。另外變異數拆解的結果也顯示各國之間的相依程度在2005年後有明顯的上升，中國大陸對各國的影響程度亦然。透過本研究之結論，在未來兩岸將簽訂金融監理備忘錄使整合關係提升的環境下，需提醒投資人整合關係的上升將使得以之為標的之投資組合風險分散效果下降，需作為投資策略之考量。 / The object of this research is to find out the trend of dependence and correlation between China and other Asian countries. Based on past information about the relationship between equity markets’ correlation and changes in policies, this research can make suggestions to the foreseeable future of Taiwan and China whose relationship will be more solid due to new policy. The data of this research are gathered from DataStream, which includes Taiwan, Hong Kong, China, Thailand, Indonesia, Singapore, Malaysia, Philippines, Japan and United States. Selected from 1991/07/15 (when the Shanghai SE Composite went public) to 2008/12/31, this research calculates the annualized daily return using natural logarithms of two consecutive daily index prices. This research uses Value at Risk (VaR) to measure the risk exposure of portfolios formed by ten countries, and extends to the use of Diversification Benefit and Incremental VaR. The results found out that the diversification effects of portfolio which includes only Asian countries are decreasing and inferior to the effects when cross region countries are included. The second study of this research is to combine Gaussian Copula Model with VaR to capture the effects of extreme values. Empirical results found out that the VaR using Exponentially Weighted Moving Average method is good enough for analyzing Asian stock markets. The correlation in Copula model suggests that the dependence between Taiwan and China had increased since 2005 and has the increasing trend which might overwhelm the dependence between Taiwan and United States. Final research is about using Vector Autoregressions Model (VARs) to testify is there exist any structural change of dependence before and after 2005, and using Variance Decomposition to observe the relationships between these ten countries. The results found out that there exist structural change in 2005, the post-2005 periods shows that for Asian countries the effect from China are significant and greater than pre-2005 periods.

科学研究費補助金 研究種目:基盤研究(B)(2) 課題番号:09480074 研究代表者:渡辺 豊英 研究期間:1997-1999年度

在這份研究中，我們提出一個類分散式神經網路框架，此框架為高頻交易系統研究下之子專案。在系統中，我們透過資料探勘程序發掘財務時間序列中的模式，其中所採用的資料探勘演算法之一即為類神經網路。我們實作一個在分散式平台上訓練類神經網路的框架。我們採用Apache Spark來建立底層的運算叢集，因為它提供高效能的記憶體內運算（in-memory computing）。我們分析一些分散式後向傳導演算法（特別是用來預測財務時間序列的），加以調整，並將其用於我們的框架。我們提供了許多細部的選項，讓使用者在進行類神經網路建模時有很高的彈性。 / In this research, we introduce a distributed framework of artificial neural network (ANN) as a subproject under the research of a high-frequency trading (HFT) system. In the system, ANNs are used in the data mining process for identifying patterns in financial time series. We implement a framework for training ANNs on a distributed computing platform. We adopt Apache Spark to build the base computing cluster because it is capable of high performance in-memory computing. We investigate a number of distributed backpropagation algorithms and techniques, especially ones for time series prediction, and incorporate them into our framework with some modifications. With various options for the details, we provide the user with flexibility in neural network modeling.

保險詐欺是自有保險制度以來就有的問題，世界各國都被這個問題所困擾。因為沒有受到廣泛的宣傳及討論，加上執法機關的忽視、抗拒提供調查機能及加強追訴，所以在1980年代以前沒有被當作重大問題予以重視，一般民眾完全不知它的嚴重性，把它當作「沒有被害人的犯罪（victimless crime）」。然而保險詐欺隨時都在發生，而且範圍及程度日益擴大，已堪稱為「溫和的巨災（quiet catastrophe）」，不但影響個人經濟負擔，且破壞社會安定，因此本文就如何防制保險詐欺加以探討。 保險詐欺直接衝擊的是保險公司的經營穩定性與安全性，對保險公司而言是經營上的風險，因此從風險管理的角度，分析保險公司的實務運作，探討運用各種風險管理對策防制保險詐欺的可行性。經本文研究發覺以風險管理模式可以防制保險詐欺或減輕保險詐欺的損失，各種風險管理對策運用如下： （一） 風險自承原則：對規模小、影響層面小的保險詐欺案件，列為「堪忍的詐欺」，予以承受，以節省相關的查證經費。 （二） 風險規避原則：建立「防範保險詐欺查核表」，在進行核保、理賠作業時嚴格查核，積極避開保險詐欺風險。 （三） 風險分散原則：針對損失頻率低、損失幅度大的案件採取同業共保的方式；對損失頻率高、損失幅度小的案件採取約定自負額方式承保，以分散風險。 （四） 風險轉嫁原則：約集保險同業成立相互保險組織，把保險詐欺所帶來的風險移轉給相互保險組織。 保險詐欺基本上是犯罪行為，要消弭犯罪行為可以藉由對犯罪環境加以有效管理、設計或操作，以及降低犯罪機會達到目的。本文研究發現推動「詐欺管理生命週期理論」的嚇阻、預防、察覺、緩和、分析、政策、偵查、追溯等措施，及「情境犯罪預防理論」的增加犯罪困難度、提升犯罪風險、降低犯罪報酬、削弱犯罪動機等措施，喚起全民共同防制保險詐欺的意念，可以壓制保險詐欺之發生。 嚴謹的法令規範是防制犯罪的根本，經由本文的探討發覺保險詐欺的盛行，除了民眾法治觀念差以外，現行法令不周全，讓歹徒有機可乘及執法單位強制力不足，亦是原因之一。修訂保險法及刑法，對於防制保險詐欺有很大的效益。 / “Insurance Fraud” has been an issue, by which the countries all over the world are perplexed, since there exists the system of insurance. By 1980’s, not much attention has been paid to this issue which deemed a victimless crime and the public does not realize how serious the problem is due to the lake of broad propaganda and the ignorance, being rejected to offer the function, and being refused to strengthen prosecution by the law enforcement agency. Nevertheless, insurance fraud happens all the time and has already been called the “quiet catastrophe” because the range and severity caused keep expanding day by day. Resulting from, not only the financial burden of the individual is influenced, but the social stability is destroyed as well. Therefore, this paper probed into “how to prevent Insurance Fraud”. Since Insurance Fraud would strike the financial stability and security of an insurance company, it becomes kind of risk on company’s management. This paper would be analyzing the practical operation of an insurance company and trying to find out the feasibility of Insurance Fraud Prevention by using various kinds of risk management countermeasures. By which, this paper discovers the losses caused by insurance fraud could be prevented and/ or reduced. The followings are those risk management countermeasures studied and applied: A. The principle of “Risk Retention & Reduction”: Sorting out those cases by loss amount scale. Smaller ones are classified & named as “Admitted Fraud”, and settled without verification in order to save the related expenses for investigation. B. The principle of “Risk Avoidance or Hedging”: Setting up “Checking List of Insurance Fraud”, by using which to actively avoid the risk of insurance fraud while carrying on the operations of underwriting and claim handling. C. The principle of “Risk Sharing & Diversification”: Co-insuring with peer companies for those accounts with the characteristic of low frequency & high severity in terms of loss exposure. As to other accounts, appointing an appropriate policy deductible level to disperse the risk of Insurance Fraud. D. The principle of “Risk Transference or Shift”: Establishing the pooling system or organization to transfer the risk of Insurance Fraud to the peer companies. Basically, Insurance Fraud is a criminal offence, which could be eliminated and / or reduced by way of methods of management, design, and operation on the crime environment. It is found that the occurrence of Insurance Fraud could be depressed by: A. Promoting measures of “The Fraud Management Lifecycle Theory”, such as deterrence, prevention, detection, mitigation, analysis, policy, investigation, prosecution etc., and B. Executing the countermeasures of “The Situational Crime Prevention Theory” such as increasing perceived efforts, increasing perceived risks, reducing anticipated reward, removing excuses etc., and C. Arousing the public the thought of fighting Insurance Fraud mutually. A rigorous legal system is the base of preventing criminal offence. As discovered and presented by this paper, reasons why the Insurance Fraud has been prevailing are not only because of a poor sense of legal compliance of the public, but also the un-thoroughness of the current legal system resulting in offering ruffians opportunities to take advantages from Insurance Fraud and the in-sufficient power of prosecution of the law enforcement agency. Therefore, to revise the insurance law and criminal law would be greatly workable for preventing Insurance Fruad.

粉体の微粒子化に伴い，固液分離操作の中でも高精度かつ多量処理が可能なろ過の重要性はますます高まっている．しかしながら，微粒子スラリーのろ過抵抗は非常に大きく，所望の処理能力を得られないことが多い．本論文では，ろ過操作設計におけるろ材抵抗，スラリー凝集・分散状態，ケークろ過抵抗の予測に関して数値シミュレーションを利用した検討を行うことで，微粒子スラリーのろ過抵抗の低減に有用な知見を得ることができた． / 著者名の「吉」は「土」の下に「口」の置き換え / 博士(工学) / Doctor of Philosophy in Engineering / 同志社大学 / Doshisha University