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從能力觀點探討製造業服務化趨勢−以扣件產業為例 / An exploration of servitization from the capability perspective – cases of the fastener industry王閔泰, Wang, Min Tai Unknown Date (has links)
如製造業欲實行製造業服務化概念,第一步總是最難決定。因此,這項研究的目的是提供台灣扣件產業對於製造業服務化概念,一個實際採行內容分析。本研究採用動態能耐和作業性能耐為主要兩大構面的一個研究框架,這是由Gebauer等人在2012)所發展的分析框架。本研究探討企業如何在開始抓住機遇,感測機遇和重新配置企業資源。這項研究希望能發現有關企業如何運營再結構化組織企業能耐以支撐企業戰略。對作業面能耐,重點在於企業文化,績效評估系統,人力資源,創新過程和組織結構。
動態能耐和作業性能耐作為本研究中的框架。動態能力可以分為三個部分,感知和形狀的機會和威脅,抓住機遇,通過加強和重新配置企業的無形資產和有形資產,以保持競爭力。在這項研究中,發現是該產品為導向的製造商只有在創建關鍵資源的價值和再分配融入企業文化。此外,產品為導向的生產廠家應建立在製造業和非製造業部門的評估程序。在另一方面,以結果為導向的製造商重新分配所有資源的組織中為他們的客戶提供卓越的使用體驗,還建立了一套服務面和非服務面衡量績效指標系統。此外,結果為導向的製造業會執行的品牌建立和通路經營的,支持企業戰略。此外,台灣扣件產業能夠了解自身擁有的能耐之餘,並知悉如何踏實地實行製造業服務化。
有兩個理由說明這項研究的標的,選擇台灣扣件產業。首先,扣件產業在台灣擁有完整從上下游完整供應鏈。其次,其中在台灣一些扣件製造廠商已經成功執行製造業服務化,以加強於非價格競爭的競爭力。研究結果可分為,從能耐的角度具體探討執行內容,產品導向的服務以及結果為導向的服務之間的實際經驗。此外,這項研究指出兩種類型的產品服務化系統之間的相似與相異的能耐。
然而,這項研究的限制是,它僅選擇扣件產業。未來的研究方向可能會選擇其他行業的情況下,試圖找出這些行業中,對於製造業服務化,所需要能耐的相似性及長期觀察下,能耐擁有是否改變。 / As manufacturer adopts servitization to add value by adding services on their current value chain, the first step is always the hardest one. Thus this research aims to offer Taiwanese fastener industry insights to develop servitization. Moreover, it studies and recognizes what the key capabilities are that companies should have. This research uses the dynamic capability and operational capability, which were developed by Gebauer et al (2012) as the analytic framework. This research explores how enterprises initiate in seizing opportunities, sensing opportunities and reconfiguring corporate resources from dynamic capability perspective. Within the interview, this research hopes to discover findings on how business operations support corporate strategy. The research interview focuses on corporate culture, performance measurement systems, human resources, innovation process and organizational structures of operational capability perspective.
There are two reasons why this research is focused on Taiwan’s fastener industry. Firstly, the fastener industry in Taiwan has a complete supply chain from upstream to downstream with an industry cluster. Secondly, some traditional industries such as fastener industry have adopted servitization to enhance the competitiveness for non-price competition. The results of the interviews include the capabilities that servitized companies have with the capability framework. Furthermore, the findings include practical experiences between product-oriented service and result-oriented service from capability perspective. This research also identifies the differences and similarities capabilities between two types of product-service system.
Dynamic capability and operational capability are used as a framework within this research. Dynamic capability can be divided into three parts, to sense and shape opportunities and threats, to seize opportunities, and to maintain competitiveness through enhancing and reconfiguring the business enterprise’s intangible and tangible assets. During this research, the findings were that that product-oriented manufacturers only integrate corporate culture in value creation and reallocation of the key resources. In addition, product-oriented manufacturers should establish procedures for evaluation on manufacturing and non-manufacturing departments. On the other hand, the result-oriented manufacturers re-allocate all resources among the organization for a superb usage experience for their customers and also establish a set of service and non-service performance indicators for measurement systems. Additionally, the result-oriented company executes brand building and operates channels to support corporate strategy. Also, the Taiwanese fastener industry can ensure their own company's capabilities and understand how to perform servitization practically.
However, this research focuses on the contents of capabilities that the companies initiate for servitization. The restriction of this research is that it only chooses the fastener industry. Future research directions may choose other industries as cases and try to find out similarities of capabilities for servitization among those industries.
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關稅訊息的總體效果 / Macroeconomic Effects of News on Tariff劉至誠, Liu, Chih Cheng Unknown Date (has links)
本文建構一個小型開放的經濟體系,價格具有僵固性的 DSGE 模型來探討提早釋出的關稅調降訊息所造成總體經濟面的影響。在政府簽訂貿易協定來降低關稅的訊息藉由媒體釋出時,同時民眾具理性預期的假設下,家計單位會因這樣的訊息而改變對未來的預期,在關稅還未實際調降時便改變行為決策。我們研究在不同的協商可能結果: (1)談判破裂,貿易協定未如預期簽訂。(2)談判成功,但貿易協定簽訂的結果比當初訊息所透露的降得更多或較少。(3)談判成功,並完全實現當初訊息的內容。(4)簽訂的時間高於預期,導致實行的時間延期。從結果中我們發現,提早釋出的關稅訊息會抑制民眾的消費和投資,在短期會立即造成需求面的負向衝擊。而降低關稅所帶來的市場活絡,會等到真正調降的時後才出現。所以越早釋出關稅調降的訊息,會造成經濟體系所需付出“等待政策實行的成本”越大。 / There is global trend of economic integration across the world by removing the trade barrier. While the free trade agreements normally include the tariff reduction, the negotiations of the agreement may take a long time, and in some cases, the negotiation may fail. Therefore, the tariff reduction’s effects on the economy can be different if it is realized as expectation or not. With a small open economy DSGE model, this paper examines the effects of news preannouncement on tariffs. With the assumption of rational expectation, households will change their expectation when the news of tariff decrement is preannounced. However, whether or not the news on tariffs can be realized as expectation will lead to different dynamics. In this study, we consider various plausible scenarios: (1) If negotiation fails, thus the news on tariff reduction is not realized (2) If negotiation succeeds, but the amount of actual decrement is more or less than people originally expected. (3) Negotiation succeeds and the content of news is fully
realized. (4) Negotiation succeeds, but it takes more time than expected to be realized, thus the policy implementation is postponed. Our study reveals that the news preannouncement restrains consumption and investment before the negotiation is completed, and leads to a negative impact on the economy in the short run. The benefits of the tariff decrement appear if the policy is
actually implemented as expected. However, the economy suffers more if the negotiation takes too much time after the news is released.
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引發專利訴訟的影響因素-以動態競爭AMC觀點分析ITC案件為例 / The Factors Initiating Patent Litigation- Analysis from AMC perspective of Competitive Dynamics by ITC cases易先勇, Yi, Hsien Yung Unknown Date (has links)
專利訴訟一直以來是台灣廠商邁向國際市場的一大挑戰,除了建構完整的智財管理能力外,若能事先預測訴訟發動的時間點與條件,不僅能避免對手的干擾風險,更能取得打下市場的先機。面對可能的侵權風險,競爭對手會在何時、何種條件下採取訴訟手段,是本文探討的焦點。本文以美國國際貿易委員會(International Trade Commission, ITC)有關智慧財產權之337條款調查案作為研究對象,配合台灣上市公司的名單找出交集廠商,分析、歸納台灣廠商在ITC案件中的訴訟趨勢,並進一步挑選出五家個案公司,觀察其與主要競爭對手間彼此的角力過程。藉由動態競爭觀點中的察覺(Awareness)-動機(Motivation)-能力(Capability)之AMC三環透視法解析訴訟發生的條件。本文的研究結果指出,個案公司與競爭對手發生訴訟戰的時間點,多半出現在彼此市佔率的成長即將出現交叉或已出現交叉之時;另一方面,搶食代工客戶或穩固訂單等需求,也會構成廠商採取訴訟打擊的條件之一。本文進一步在這樣的基礎上提出「專利侵權」指標的概念,希望能為預測專利訴訟的發生提供一個觀察基礎。 / Patent litigation is one of the difficulties facing by Taiwanese companies expanding their international market share. As a result, to tell when or under what kind of circumstances will litigations happen become an essential mission for intellectual property management. Therefore, this thesis uses case records of 337 investigations from US International Trade Commission as sample, combined with listed company of Taiwan Stock Exchange in order to select the intersection of the two. Choosing from the intersection, this thesis picks up five different companies and further analyzes the conditions under which they faced their ITC litigations. Research result indicates that most ITC cases are initiated while these companies have surpassed main competitors’ market share or nearly so. Moreover, to initiate litigations in ITC as means of stabilizing their connections with OEM/ ODM customers or merely as interference to other companies’ connections with their OEM/ ODM customers are all common reasons why patent litigations are adopted.
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匯率轉嫁之時間變動特性-台灣實證研究 / Time-varying nature of exchange rate pass-through for Taiwan沈睿宸, Shen, Juei Chen Unknown Date (has links)
過去實證研究顯示,匯率轉嫁程度並非一成不變,而是具有隨時間變動的特性。因此,有別於過去文獻大多採用滾動相關係數,本文則是使用Engle(2002)提出的動態條件相關係數模型,估計台灣於1982年至2014年間匯率變動與進口價格變動間的動態條件相關係數;並以其做為匯率轉嫁的代理變數,進而探討台灣匯率轉嫁的時間變動趨勢。我們的實證結果顯示,不論是用滾動相關係數還是動態條件相關係數,台灣的匯率轉嫁都明顯具有隨時間變動的特性。雖然5年期與10年期的滾動相關係數均在1997年前後分別呈現上升與下降的趨勢,動態條件相關係數則無類似的現象。然而,由於滾動相關係數容易受到滾動視窗樣本大小或滾動視窗有無包含極端值的影響,使得此方法較無法看出匯率轉嫁變動的準確時間點,而動態條件相關係數模型則可避免此問題。此外,本文實證發現,通膨環境與匯率波動是造成台灣匯率轉嫁隨時間變動的主要因子,對匯率轉嫁皆有顯著的正向影響。在排除1986年匯率轉嫁與進口滲透率呈現短暫負向關係的資料後,進口滲透率與匯率轉嫁的正向關係變為顯著,而進口滲透率也成為影響匯率轉嫁的原因之一。 / According to past empirical studies, it is believed that exchange rate pass -through (ERPT) has the time-varying nature. In this paper, we apply the Dynamic Conditional Correlation (DCC) model of Engle (2002), rather than the rolling correlation coefficient prevalently used by other studies, to analyze the time trend of ERPT for Taiwan. We estimate the dynamic condition correlation between the changes of exchange rate and the changes of import price using monthly data from 1982 to 2014 and use this correlation as a proxy for the degree of ERPT. Our empirical results show that ERPT for Taiwan, whether measured by the DCC or the rolling correlation coefficient, has a significant time- varying nature. In addition, both 5-year and 10-year window rolling correlation coefficient increase before 1997 and decline after 1997, which does not show in the DCC. However, the rolling correlation coefficient does not provide precise timings in the changes in ERPT, because of the dependence on the size of windows and whether or not outliers exist in the window. In contrast, the DCC does not have this kind of problem. Another important empirical result of this paper is that the inflation environment and the exchange rate volatility are main factors which explain the time-varying ERPT, and both of them have positive relation with ERPT. Moreover, the import penetration becomes positively significant after excluding data which shows temporary negative impact of the import penetration on ERPT in 1986.
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時間數列模型應用於合成型抵押擔保債務憑證之評價與預測 / Time series model apply to price and predict for Synthetic CDOs張弦鈞, Chang, Hsien Chun Unknown Date (has links)
根據以往探討評價合成型抵押擔保債務憑證之文獻研究,最廣泛使用的方法應為大樣本一致性資產組合(large homogeneous portfolio portfolio;LHP)假設之單因子常態關聯結構模型來評價,但會因為常態分配的厚尾度及偏斜性造成與市場報價間的差異過大,且會造成相關性微笑曲線現象。故像是Kalemanova et al.在2007年提出之應用LHP假設的單因子Normal Inverse Gaussian(NIG)關聯結構模型以及邱嬿燁(2007)提出NIG及Closed Skew Normal(CSN)複合分配之單因子關聯結構模型(MIX模型)皆是為了改善其在各分劵評價時能達到更佳的評價結果
,然而過去的文獻在評價合成型抵押擔保債務憑證時,需要將CDS價差、各分劵真實報價之資訊導入模型,並藉由此兩種資訊進而得到相關係數及報價,故靜態模型大多為事後之驗證,在靜態模型方面,我們嘗試使用不同概念之CDS取法以及相對到期日期數遞減之概念來比較此兩種不同方法與原始的關聯結構模型進行比較分析,在動態模型方面,我們應用與時間序列相關之方法套入以往的評價模型,針對不同商品結構的合成型抵押擔保債券評價,並由實證分析來比較此兩種模型,而在最後,我們利用時間序列模型來對各分劵進行預測。
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在常微分方程下利用二次逼近法探討人口成長模型問題 / On the Parabola Approximation Method in Ordinary Differential Equation - Modelling Problem on The Population Growth李育佐, Li,Yu Tso Unknown Date (has links)
在人口統計領域中,早期習慣將人口變化視為時間的函數,企圖以Deterministic Function來刻劃,例如:1798年Malthus提出的Malthusian Growth Model ;1825年Gompertz提出的Gompertz Model以及1838年Verhulst主張以Logistic Function描述人口成長。而近年來則是傾向於逐項分析各種因素的隨機性模型,例如:1983年Holford加入世代的APC模型;1992年Lee 和Carter提出的Lee-Carter死亡率模型以及2003年Renshaw與Haberman提出改善Lee-Carter死亡率模型的Reduction Factor模型。
人口變化主要分成自然增加與社會增加,而自然增加是為出生扣掉死亡,社會增加則為移入扣掉移出。首先,本文先不考慮遷移的部分,各別以出生與死亡人口的變化為研究對象,視其變化為一隨時間變動的動態系統,以常微分方程來刻劃。由台灣地區人口統計資料顯示,出生率或死亡率都有逐年下降的趨勢,而且隨著時間而變化加劇的傾向,使得以往使用的模型不易捕捉變化,因此我們提出「二次逼近法」,從出生、死亡人數對時間的變化率與曲度利用數值分析的方式來估計出生與死亡數,進而從中找出在此動態系統背後隱藏的規則。而後再同時考慮其他各種變項,以偏微分方程來刻劃,最後即可建立台灣地區人口變化模型。 / In early population statistics, the population changes were regarded as a function of time so that people tended to
describe the variations by deterministic functions. For instance, Malthus proposed the Malthusian Growth Model in 1798; Gompertz presented Gompertz Model in 1825; Verhulst advocated using logistic function to describe an increase in population. In recent years, people tend to use the stochastic forecast method to analyse every factor term by term. For instance, the Age-Period-Cohort (APC) Model which was proposed by Holford in 1983; Lee and Carter proposed the Lee-Carter Mortality Model in 2003; and Renshaw and Haberman proposed the Reduction Factor Model in 2003 that improve the Lee-Carter Mortality Model.
The population changes equal to nature and social increase, where the nature increase is the difference between birth and death population, and the social increase is the difference between immigrants and emigrants. First, we focus on natural increase rather than social increase. Moreover, we use ordinary differential equation to decribe the variation as a dynamic system over time. From the data obtained from the Ministry of Interior Taiwan, we know that the fertility and mortality has been decreasing, and the change is getting more violent year by year. Under the consideration that previous models are not able to accurately present the changes of birth and death, we proposed "second-order (or parabola) approximation method." From the variation rates and curvatures of birth and death population, we estimated the population size. Furthermore, we want to find the rule in the dynamic system. Later we will consider other factors simultaneously, and describe them by partial differential equation. Finally, the population model is constructed.
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直接與間接投資商用不動產風險與績效衡量 / The evaluation of investment risk and performance of commercial real estate market徐偉棋 Unknown Date (has links)
投資決策時,除了關注資產的報酬外,更不可忽略風險。而風險的衡量上,一般常用風險值來衡量投資所面臨的風險,這是由於風險值具有動態管理、量化風險等優點。而國內研究對於不動產風險值的文獻上多以住宅市場為主,對於商用不動產較無著墨,是故本研究欲從不同風險值模型探討投資商用不動產的風險值,並分為直接投資(北市商用不動產)與間接投資(REITs)商用不動產兩個不同次市場。實證結果發現直接投資商用不動產風險值高於間接投資商用不動產。其次,本研究試圖比較靜態與動態風險值模型在估計不動產風險值的行為表現,經回溯測試(Back Testing)檢驗後發現,發現兩個模型衡量不動產風險值時,表現差異性不大。最後,本研究並以夏普績效(Sharp Ratio)來衡量直接投資與間接投資商用不動產的投資績效,研究期間為2007年6月至2009年3月。實證結果發現,直接投資商用不動產在景氣衰退與股市劇跌時具有抗跌性;而間接投資商用不動產則與股市發生同時下跌的現象,此現象可能是我國REITs具有代理問題(Agency Problem)與系統風險(Systematic Risk)等問題所致。因此,本研究建議投資者投資REITs時,應同時考量REITs存在上述的風險與問題,以避免投資上的損失。 / When making investment strategies, aside from considering the return of investment, one cannot ignore the risk factors. In measuring risk, we usually use VaR (Value at Risk) to calculate the risks of investment because, among other reasons, VaR has dynamic and quantifiable advantages. Most of the studies regarding real estate investment risk in Taiwan focus on residential markets; thus, this paper investigates commercial real estate markets using different VaR models to determine the degree of risk, distinguishing further between direct investment markets and indirect investment markets like REITs (Real Estate Investment Trust). The result of this study reveals that direct real estate investment involves higher risks than indirect real estate investment. Furthermore, there was hardly any difference in investment risk when using either static or dynamic VaR models in the computations after using Back Testing. Finally, this study employs Sharp Ratio to calculate commercial real estate investment performance covering the period between June 2007 and March 2009. Direct real estate investment shows firmness during economic downturns or stock market crashes unlike indirect real estate investment like REITs which follows stock market trends. This phenomenon may be due to Agency Problem and Systematic Risk in Taiwan’s REITs market. Therefore this study suggests that when investing in REITs one has to take into account the risks and problems in order to avoid unnecessary investment losses.
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財政赤字會造成通貨膨脹嗎?動態追蹤資料的分量迴歸分析 / Is fiscal deficit inflationary? A dynamic panel quantile analysis朱浩榜, Chu, Hao Pang Unknown Date (has links)
經濟理論認為,長期持續的財政赤字將會因貨幣融通而造成通貨膨脹,而且通膨越高的經濟體越容易受到赤字的影響。本文依照Catao and Terrones (2005)的理論模型,以狹義貨幣衡量財政赤字的規模,並據此檢驗1960到2006年間91個國家赤字與通貨膨脹的關係。本文使用Lin (2010)的分量迴歸方法,藉以估計在不同通膨水準下赤字的影響,並且允許兩者之間的動態調整。實證結果發現:當通膨越高,赤字造成的影響將越嚴重;若通膨在低水準,赤字則影響很弱、甚至不會造成任何影響。因此,當通膨越高的時候,維持財政紀律將越能有效達成物價穩定。這層赤字與通膨間關係不會因為考量了其他變數而有所改變。此外,赤字通常在開發中國家影響較強,尤其是在高通膨的時候。最後,在1990到2006年間,卻沒有發現赤字具有任何的通膨效果。 / In economic theory, sustained fiscal deficits might cause inflation by means of money creation, and the economy in a higher inflation level would be more strongly impacted by an increase in deficits. Following the theoretical model of Cat\~{a}o and Terrones (2005), I scaled fiscal deficits by narrow money stock and examined the deficit-inflation relationship in 91 countries from 1960 to 2006. A dynamic panel quantile regression of Lin (2010) was employed, which can estimate the impact of fiscal deficits at various inflation levels and allows for a dynamic adjustment. The empirical results show that fiscal deficits will be more serious as inflation rises, and weakly or not related to inflation if it is at a low level. Therefore, fiscal consolidation would be more effective in price stabilization the higher the inflation. Moreover, the results remain robust while taking other possibly inflation-related factors into consideration. Furthermore, the impact of fiscal deficits on inflation is generally greater in developing countries, particularly when inflation is at a high level. Finally, the inflationary effect of deficits is not detected over 1990--2006.
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混合式的Java網頁應用程式分析工具 / A hybrid security analyzer for Java web applications江尚倫 Unknown Date (has links)
近年來網路應用蓬勃的發展,經由網頁應用程式提供服務或從事商業行為已經成為趨勢,因此網頁應用程式自然而然成為網路攻擊者的目標,攻擊手法也隨著時間不斷的翻新。已經有許多的方法被提出用來防範這些攻擊,增加網頁應用程式的安全性,如防火牆的機制以及加密連線,但是這些方法所帶來的效果有限,最根本的方法應為回歸原始的網頁應用程式設計,確實的找出應用程式本身的弱點,才能杜絕不斷變化的攻擊手法。以程式分析的技術來發現這些弱點是常見的方法之一,程式分析又分為靜態分析和動態分析,兩種分析技術都能有效的找出這些弱點。我們整理了近幾年的網頁應用程式分析技術,多採用靜態分析,然而比較後發現靜態分析的技術對於Java的網頁應用程式的分析,無法達到精確的分析結果,原因在於Java語言所具有的特性,如:變數的多型、反射機制的應用等。靜態分析在處理這些問題具有先天上的缺陷,由於並沒有實際的去執行程式,所以無法獲得這些執行時期才有的資訊。
本研究的重點將放在動態的程式分析技術上,也就是於程式執行期間所進行的分析,來解決分析Java網頁應用程式的上述問題。為了在程式執行期間得到可利用的分析資訊,我們運用了AspectJ的插碼技術。我們的工具會先將負責收集資訊的模組插入應用程式的源碼,並以單元測試的方式執行程式,於程式執行的過程中將分析資訊傳遞給分析模組,利用Java 語言的特性進行汙染資料的追蹤 。另外,我們考慮到以動態分析的方式偵測弱點會因為執行的路徑,導致一些潛在的弱點無法被發現,所以我們利用了線上分析的概念,設計出了線上的污染資料流分析模組,我們的工具結合了上述兩個分析模組所產生的分析結果,提供開網頁應用程式弱點資訊。 / In recent years, development of web application is flourishing and the increasing population of using internet, providing customer service and making business through network has been a prevalent trend. Consequently, the web applications have become the targets of the web hackers. With the progress of information technology, the technique of web attack becomes timeless and widespread. Some approaches have been taken to prevent from web attacks, such as firewall and encrypted connection. But these approaches have a limited effect against these attack techniques. The basic method should be taken is to eliminate the vulnerabilities inside the web application. Program analysis is common technique for detecting these vulnerabilities. There are two major program analysis approaches: static analysis and dynamic analysis. Both these approaches can detect vulnerabilities effectively.
We reviewed several program analysis tools. Most of them are static analysis tool. However, we noticed that it is insufficient to analysis Java program in a static way due to the characteristic of Java language, e.g., polymorphism, reflection and more. Static has its congenital defects in examining these features, because static analysis happens when the program is not executing and lacks of runtime information.
In this thesis, we focus on dynamic analysis of programs, where the analysis occurs when the program is executing, to solve the problems mentioned above in Java web application. In order to retrieving the runtime analysis information, we utilize the instrumentation mechanism provided by AspectJ. We instrument designed module in to the program and gather the needed information and execute the program in a unit testing approach. Our dynamic analysis module retrieves the information from instrumented executing program and utilizes the characteristic of Java to perform the tainted data tracking. We considered the dynamic tracking mechanism will leave some vulnerabilities undiscovered when the program is not completely executed. Hence we adopt the online analysis concept and design an online analysis module to find out the potential vulnerabilities which cannot be detected by dynamically tracking the tainted data. Our analysis tool finally integrates these two analysis results and provides the most soundness analysis result for developers.
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壽險公司現金流量模型之建構 / The Construction for a Cash Flow Model of a Life Insurance Company陳雅雯, Chen,Ya-wen Unknown Date (has links)
本文考量於Excel介面下設計一「壽險公司現金流量模型」,透過保險財管、精算理論的採用與大量隨機模擬亂數的應用,欲建構一結合理論基礎與實務運用的動態財務分析系統雛形。
模型中,資產面的模擬項目共有七項:1.債券與放款:採用CIR或Vesicek兩利率模型供選擇進行利率期間結構生成,以模擬出各到期期限的債券及放款價格。2.股票:以資本資產訂價模型(CAPM)來模擬各類股股票價格的變動與股票投資報酬。3.不動產:使用幾何布朗運動模擬不動產價值與租金收入。4.國外投資:利用幾何布朗運動模擬匯率的變動。5.現金及銀行存款。6.應收款項,考量壞帳情況下,逐年比率攤回殘餘金額。7.其他資產。
負債面採用定期險、終身生死合險與遞延年金險模擬壽險公司業務經營的現金流量情況。藉由資產與負債的整合,可模擬出公司未來十年內各年度的損益情況,讓使用者了解於承受總體經濟各項不確定風險下,壽險公司資產面、負債面與業主權益的現金流量情況。
文末引用個案範例,進行實務操作的說明,示範如何應用本模型來進行最適資產配置決策與敏感度分析,以證明本系統的合理可行性。最後,並對此系統提出檢討與展望,期待後續研究可加入程式語言的應用而建構出一完備的動態財務分析系統。 / The main purpose of this study is to construct a dynamic cash flow testing for the life insurance company by using Excel. Through the adoption of financial and actuarial theories and the application of stochastic method, we want to provide a rudiment analysis framework of life dynamic financial model that combines theoretical basis and practical application.
This analysis framework includes seven categories of assets. The simulation models or related issues for each category will be discussed accordingly. – 1. Bonds and mortgage loans: providing CIR and Vesicek interest rate model for users to generate the interest term structure. 2. Stocks: applying CAPM method to simulate the stock prices and stock returns. 3. Real estate and rental income: using Geometric Brownian Motion to simulate the price of real estate and the rental income. 4. Foreign investment assets: using Geometric Brownian Motion to simulate the movement of exchange rate. 5. Cash and Deposits. 6. Account Receivable: after considering bad loans, we amortize the residual account receivables for a specific period.
On the liability side, we use three types of products - term life, whole life endowment, and deferred annuity - to generate the business profile as well as the cash flows patterns of the life insurance company. By integrating the asset and liability sides of the model, we can simulate the revenue of the company for the following ten years and enable the users to predict the future cash flows under uncertain financial conditions.
Finally, applications of this model are presented as thoroughly as possible to educate the users about how to make the optimal asset allocation decisions and sensitive scenario analysis. The application results show that the model reasonably fits the desired results. Since the model presented here is not a complete DFA model, future researches may consider adding more refined component into the analysis framework like using programming language.
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