近年來由於亞洲金融風暴的肆虐，產生經濟不景氣，使得失業的問題逐漸受到社會所關注，本論文企圖以三個時間序列方法：1.單變量ARIMA模型；2.轉換函數(TF)模型；3.向量自迴歸(VAR)模型來建立台灣地區的失業率時間序列預測模型。資料則是利用台灣地區民國75年1月至民國87年12月的失業率月資料作實證預測分析，為了知道資料是否來自時間趨勢模型，測試是否經過差分消掉一部份的記憶會發生預測的誤差，所以先以多步(multi-step)預測和一步(one-step)預測的方法計算出民國88年1月至88年12月預測值，而預測評估準則則採用(1)MAPE、RMSPE、MPE及泰爾不等係數(THEIL)；(2)變化方向誤差與趨勢變化誤差兩大方向來做預測比較。最後將算出的12期預測值與行政院主計處整體統計資料庫中所得到的失業率實際值利用預測評估準則做比較，結果發現一步預測法較多步預測法準確；而向量自迴歸模型(VAR)在大部份的預測期數上有較小的MAPE、RMSPE、MPE及THEIL值，因為此VAR模型考慮了在變數之間的共整合現象，有助於模型的預測，所以有較好預測的能力；反而是較複雜的ARIMA模型及轉換模型預測能力稍差一點。 / In this thesis, we plan to construct three time series models to forecast the Taiwan unemployment Rate. These time series models are ARIMA model、transfer function (TF) model and Vector Autoregressive (VAR) model. The data set consists of monthly observations for the period 75:1-87:12 for unemployment rate. We want to know if the data came from time trend model. First, we use multi-step forecasting and one-step forecasting to calculate 12 forecasted values from 88:01-88:12. Then We compare the prediction performance of these two methods by using：(1) MAPE、RMSPE、MPE and Theil’s Inequality Coefficient (THEIL)；(2) Direction of Change Error and trend Change Error etc. It is found that one-step forecasting is more correct than multi-step forecasting and the forecasting performance of VAR model is improved by explicitly taking account of cointegration between the variables in the model，so VAR model has lower MAPE、RMSPE、MPE and THEIL for most horizons. However，the more parsimonious ARIMA and transfer function models have higher MAPE、RMSPE、MPE for most horizons.

人口政策是政府的重要政策之一，而總人口數則是政府制定政治、經濟、社會及文化發展計畫之主要參考依據，因此如何準確地預測未來的總人口數就成為政府相關部門重要的課題。 本論文試圖為台灣地區總人口數建立時間數列預測模式。我們考慮下列模式：單變量自我迴歸整合移動平均介入模式、時間數列迴歸模式、轉換函數介入模式與指數平滑法，其中轉換函數介入模式中所考慮的投入變數包括育齡婦女總生育率、粗出生率及粗死亡率。我們同時以平均絕對百分誤差 (MAPE) 、根均方百分誤差 (RMSPE) 來評估各模式的預測能力，結果顯示以育齡婦女總生育率為投入變數的轉換函數介入模式最佳，而以粗出生率為投入變數的轉換函數介入模式次之，若以這兩個模式進行未來十年總人口數之預測，並與行政院經建會人力規劃處所作的人口預測中推計值比較，其平均絕對百分誤差分別為0.138%，0.156%，顯示時間數列預測模式有相當佳的預測能力。 / In this thesis, we plan to construct various time series models for the total population in Taiwan. The following time series models are considered: ARIMA intervention model, time series regression model, transfers founction intervention model and exponential smoothing method. The input variable considered in the transfer function intervention model include total fertility rate, crude birth rate and crude death rate. We also compare the prediction performance of these models by using mean absolute percentage error (MAPE) and root mean square percentage error (RNSPE). It turns out that the transfer function intervention model with total fertility rate as input is the best model. While the transfer function intervention model with crude birth rate as input ranks the second best. Finally we forecast the total population of the next ten years by using the above two best models and compare with the middle population projection by Manpower Planning Department in Executive YUAN-Council for Economic Planning and Development. The mean absolute percentage error are 0.138% and 0.165% respectively. This result justifies that the time series model has excellent predictive ability and should be considered for total population prediction.

本文首先利用證券設計的原理來探索臺灣發行海外可轉換公司債的動機同時也探討這些發行公司究竟該不該積極地管理其債券風險 / The thesis first examines the rationales of Taiwanese Euroconvertibles.Then, the foreign exchange hedging issue is explored for the issuers.

本文希望藉著K.T Arasu, D.Jungnickel, A.Pott推廣Wilbrink定理的方法去尋找Wilbrink等式的推廣式在p^k∥n,k≧4的推廣式和其應用。 / In this thesis we formulate and provide rigorous proofs of Wilbrink's theorem and it's variations due to Arasu, A.Pott and D.Jungnickel. some questions on further generalizations of Wilbrink's theorem are discussed; known generalization are study in A.Pott's dissertation.

Jiang (1997) 首先提出多變量d轉換與其性質。利用多變量d轉換，我們可以定義新式的特徵函數，並且稱它們是多變量d特徵函數。在這篇論文中，我們將使用多變量d特徵函數來證明在普通的條件下，Dirichlet隨機向量的線性組合會分配收斂（converge in distribution）到一個對稱的分配。此外，當給定一個分配函數的多變量d特徵函數，我們將建構一個方法來決定此分配函數。另一方面，我們將證明多變量d特徵函數擁有很多類似傳統的特徵函數的性質。 / A multivariate d-transformation and its properties were first given by Jiang (1997). By means of the multivariate d-transformations, we can define new kinds of characteristic functions and call them multivariate d-characteristic functions. In this thesis, we will use the multivariate d-characteristic function to show that the linear combinations of Dirichlet random vectors, under regularity conditions, converge in distribution to a spherical distribution. Moreover, We will construct a method for constructing the distribution function with a given multivariate d-characteristic function. In addition, we will show that the multivariate d-characteristic function has many properties which are similar to those of the traditional characteristic function.

證券詐欺訴訟因果關係要件之舉證問題，涉及實體法上規範要件種類之判定及詮釋、訴訟法上舉證必要性所要求之程度、客觀舉證責任轉換必要性之類型考量因素，以及反證證明度之評估等問題。 美國法院就證券詐欺訴訟之因果關係要件，係藉助傳統侵權行為法將因果關係區分為事實上因果關係（Causation in Fact）及法律上因果關係（Legal Causation）之概念(前者據以判斷責任成立與否，後者則用以界定責任之範圍)，創設了交易因果關係（Transaction Causation）及損失因果關係（Loss Causation），分別建立證明標準。個案操作上，交易因果關係及損失因果關係之舉證法則，不拘泥於傳統侵權行為之法律操作，均容有法律政策考量及彈性處理之空間。 反觀我國，在通說所採相當因果關係理論及因果關係二階論之下，原存在責任成立及責任範圍之不同論理層次；再者，基於證券集中交易市場有異於傳統面對面之交易型態，因果關係要件之認定較為不易，其證據評價及客觀舉證責任之分配，實牽動實體法上規範目的及法律政策之拿捏，而非單純機械式之套用。近年雖已有法院參採美國實務所發展之詐欺市場理論及效率市場假說，推定交易因果關係存在，惟此種「推定」在實體法及證據法上之論理基礎何在？法官因應證券詐欺訴訟之特殊性，又如何拿捏證據評價之程度，或於何種情況下得調整客觀舉證責任分配，以緩和規範理論或特別要件說下，一般舉證責任分配所造成之不公平，或作為一種落實實體法政策及管制目的之手段？本文研究之目的，即在於透過美國法與我國法之分析研究，嘗試就下列若干問題提出評估及具體建議： 一、我國民事訴訟法第277條但書納入詐欺市場信賴推定之可行性 二、美國證據提出責任獨立移轉與我國主觀舉證責任依附於客觀舉證責任移轉有何本質上之差異 三、證券詐欺訴訟因果關係要件舉證責任減輕之具體類型 四、原告就因果關係要件是否得以較低蓋然性經驗定律建立表見證明 五、區分交易因果關係與損失因果關係之必要與實益 六、美國Dura Test於因果關係要件舉證責任之意義 七、我國民事訴訟法第222條結合美國Dura Test適用之可行性

可轉換公司債兼具了選擇權以及債券的性質，價值又會受到股價之影響，以傳統的方法定價十分不易。由於蒙地卡羅模擬能解決定價問題上狀態變數或許為多維度及路徑相依的問題，Kind 與Wilde 在2004 年提出以蒙地卡羅模擬對可轉債定價，且以最小平方迴歸法估計繼續持有價值，並在僅考慮轉換及還本兩種選擇權及沒有違約風險之下，以數值範例呈現單一迴歸模式無法適當估計繼續持有價值。然而，他們並未進行實證。本研究乃以民國99 年台灣發行的可轉債為研究對象，除考慮發行時的合約條件外，另加上信用評等的考量以將違約機率透過現金流量套入定價過程中，並分別以兩段迴歸及單一迴歸估計繼續持有價值以結合蒙地卡羅模擬，實證結果顯示就可轉債之起始定價的偏差比而言，兩段迴歸得到的結果優於單一迴歸。惟在兩段迴歸之下，超過八成的可轉債其模擬價格依然高於市場價格。實證結果也顯示價性(moneyness)及擔保狀況與定價的偏差有關。 / Convertible bonds (CBs) possess features of both bonds and options, and their prices are affected by the underlying stocks, which make the pricing problem an uneasy task for traditional methods. Since Monte Carlo simulation can handle the problems of path-dependence and multivariate dimensions faced by pricing, Kind and Wilde (2004) suggested to price CBs via least-squares Monte Carlo simulations (LSM), which estimate the continuation values by least squares regression. They also demonstrated that a single regression line could not appropriately estimate the continuation value even only conversion and redemption were allowed and the CB was free of default. So the idea of piecewise regression was recommended to improve the estimation process. However, they didn’t apply piecewise regression to real data. Therefore, piecewise regression together with Monte Carlo simulation were employed to investigate the pricing issue of Taiwan’s CBs. CBs issued on 2010 were selected, besides reviewing the contents of CB’s contracts, default risks based on credit ratings were taken into account to evaluate the discounted cash flows in the pricing procedure. Comparing the estimated model prices of LSM with initial selling prices, the mispricing rates of single regression model and piecewise regression model were obtained for further analysis. Result shows that the modified piecewise regression method performs better in mispricing rate. However, similar to previous findings, 80% of the estimated model prices based on piecewise regressions are still higher than market prices. It also shows that moneyness and guaranteed condition will relate to mispricing rate.

退休金是退休人未來生活的依靠，確保在退休後能得到適足的退休給付，政府在退休金上實施保證收益制度，此制度為最低保證利率與投資報酬率連結。本文探討退休金給付標準為確定提撥制，當退休金的投資報酬率是根據其連結之股價指數的表現來計算時，股價指數報酬率的模型假設為馬可夫調控跳躍過程模型，考慮市場狀態與布朗運動項、跳躍項的跳躍頻率相關，即為Elliot et al. (2007) 的模型特例。使用1999年至2012年的道瓊工業指數與S&P 500指數的股價指數對數報酬率作為研究資料，採用EM演算法估計參數及SEM演算法估計參數共變異數矩陣。透過概似比檢定說明馬可夫調控跳躍過程模型比狀態轉換模型、跳躍風險下狀態轉換模型更適合描述股價指數報酬率變動情形，也驗證馬可夫調控跳躍過程模型具有描述報酬率不對稱、高狹峰及波動叢聚的特性。最後，假設最低保證利率為固定下，利用Esscher轉換法計算不同模型下型I保證之確定提撥制退休金的評價公式，從公式中可看出受雇人提領的退休金價值可分為政府補助與個人帳戶擁有之退休金兩部分。以執行敏感度分析探討估計參數對於馬可夫調控跳躍過程模型評價公式的影響，而型II保證之確定提撥制退休金的價值則以蒙地卡羅法模擬並探討其敏感度分析結果。 / Pension plan make people a guarantee life in their retirement. In order to ensure the appropriate amount of pension plan, government guarantees associated with pension plan which ties minimum rate of return guarantees and underlying asset rate of return. In this paper, we discussed the pension plan with defined contribution (DC). When the return of asset is based on the stock indices, the return model was set on the assumption that markov-modulated jump diffusion model (MMJDM) could the Brownian motion term and jump rate be both related to market states. This model is the specific case of Elliot et al. (2007) offering. The sample observations is Dow-Jones industrial average and S&P 500 index from 1999 to 2012 by logarithm return of the stock indices. We estimated the parameters by the Expectation-Maximization (EM) algorithm and calculated the covariance matrix of the estimates by supplemented EM (SEM) algorithm. Through the likelihood ratio test (LRT), the data fitted the MMJDM better than other models. The empirical evidence indicated that the MMJDM could describe the asset return for asymmetric, leptokurtic, volatility clustering particularly. Finally, we derived different model's valuation formula for DC pension plan with type-I guarantee by Esscher transformation under rate of return guarantees is constant. From the formula, the value of the pension plan could divide into two segment: government supplement and employees deposit made pension to their personal bank account. And then, we done sensitivity analysis through the MMJDM valuation formula. We used Monte Carlo simulations to evaluate the valuation of DC pension plan with type-II guarantee and discussed it from sensitivity analysis.

本論文首先介紹臺灣老人的居住安排基本概況。接著，以交換理論與家庭價值觀，分析居住安排的轉換。同時，從經濟因素與需要因素的推拉作用以及家庭價值觀與交換理論，分析老人「移與子女居」和「子女回居」。再接著，應用相同樣本探討年歲增長與居住安排的關係，分析一群老人從初老經過中老到老老三個階段的居住安排。最後，以人與環境一致模式、基本生活需求滿足假說，分析老人居住安排滿意與否的改變。 以往討論老人居住安排的轉換，大多以家庭價值觀解釋，強調感情因素，當老人有最大需要時，例如，健康惡化或從有偶變成無偶，更可能發生轉換為與子女同住。但現代化社會，經濟因素轉趨重要，可能需要以交換理論補強。因此，本論文使用我國行政院衛生署與密西根大學合作之「臺灣地區中老年身心社會生活狀況長期追蹤調查」縱斷面調查資料，進行老人居住安排轉換的分析研究，觀察居住安排轉換行為，以檢視這兩種觀點對於居住安排轉換的解釋力。又，以往的相關研究大多以靜態變數為解釋變數，本論文貢獻主要在於以動態的變數－相關變數前後期的變化－為解釋變數，檢視其對老人居住安排轉換的影響。結果發現：以家庭價值觀或以交換理論解釋老人居住安排的轉換，都獲得部分支持；但沒有足夠的證據支持健康惡化或從有偶變無偶是影響老人轉換為與子女同住的關鍵因素；相反地，與交換理論相關的重大經濟決策權的改變變得比較重要，造成更可能發生轉換為不與子女同住或與子女同住。隱含著家庭價值觀對老人居住安排轉換的影響逐漸式微，而交換理論的影響力則越來越強，可彌補以家庭價值觀解釋之不足。 本論文亦使用縱斷面調查資料，以相關變數前後期的變化為解釋變數，檢視臺灣老人從不與子女同住變成「移與子女居」及「子女回居」的影響因素。結果隱含老人正向經濟因素的轉變更可能發生「子女回居」，需要因素及負向經濟因素的轉變則更可能發生「移與子女居」，而且沒有證據足認健康狀況轉差是影響轉換為與子女同住的關鍵因素。 有別於以往許多老人居住安排的文獻常將65歲以上的人當作一個群體，或有的橫斷面研究使用不同樣本，抑或即使以縱斷面研究亦使用不同樣本，進行老化研究，本論文利用相同樣本縱斷面研究分析老年人在初老、中老、老老階段的居住安排，回答「隨著年齡的增長，老人與子女共住的比例是呈U型或直線下降的關係？」、「老化對居住安排有何影響？」的問題。研究結果顯示隨著年齡的增長，老人與子女共住的比例呈直線下降。本論文發現一些因素在某階段有顯著影響，而在其他階段未發現有顯著影響，此即與老化有關；除此，對三個階段的居住安排均發生顯著影響的因素，其影響程度亦隨著年齡的增長而有不同，均為預測老人各階段居住安排決定的良好指標。 本論文為檢視究竟何因素影響老人居住安排滿意與否之改變，使用縱斷面調查資料，應用人與環境一致和基本生活需求滿足之理論基礎，以動態的變數－相關變數前後期的改變－為解釋變數，檢視其影響。結果發現：以人與環境一致或基本生活需求滿足，解釋居住安排滿意與否之改變，都獲得部分支持，同時，「愛屋及烏」假說亦獲得支持。顯示居住安排滿意與否之改變，主要歸因於環境與個體間之一致及合適與否。 總結而言，老人隨著年歲增長，居住安排從滿意變為不滿意者的比例增加，健康狀況亦呈直線下降，但不與子女同住的比例遞增，與子女同住的居住安排則呈直線下降，許多影響因素已顯示老人由家庭照護的傳統價值日漸式微。無論老人採行何種居住安排，理應以提高居住安排滿意度，提昇老人福祉為依歸。此際，除了由政府提出有效對策以為改善之外，老人宜自求多福，例如，改善居住環境、移居良好醫療環境，家庭重大決策放手由子女承擔，多多參與社交性或拜訪親友、鄰居的活動，快樂邁向成功老化。 / This dissertation, firstly, introduces the basic overview of living arrangements of the elderly in Taiwan. Then, it analyzes the transitions in living arrangements among elderly of family values and exchange theory, meanwhile, it also analyzes “moving to be with children” and “returning to the nest” from needs factors and economic factors as well as family values and exchange theory. Then, it uses a panel study to examine the living arrangements of young-old, old-old, and oldest-old. Finally, it applies a theoretical basis of person-environment congruence and basic-needs content to analyze the changes in satisfaction with living arrangements of the elderly. The value placed on family was often used to explain the influence on living arrangements transitions in previous literature. Yet economic factors have become important in modern society, therefore we need to use exchange theory to strengthen the explanation on transitions. This dissertation, therefore, attempts to compare these two explanations through analyzing transitions, and to examine the effects of these two viewpoints on transitions. Using a longitudinal data source, the Survey of Health and Living Status of the Elderly in Taiwan, produced by the Department of Health (Taiwan) and the University of Michigan, a binomial logit model is used to observe the behavior of transitions. The contribution of this dissertation mainly lies in taking the dynamic variables, the changes of related variables between baseline and follow-up, as independent variables to examine the influence on the transitions. Empirical results show that both family value and exchange theory cause the living arrangements transitions, but lack evidence to prove that a senior’s health deterioration or the loss of a spouse was the major determinant of the transition to live with children. Contrarily, transitions of living arrangements are more likely to occur when a senior changes her/his role as the economic decision-maker into the non economic decision-maker of the household or vice versa. That implies the influence of family values on transitions is decreasing, and the influence of exchange theory is increasing. This dissertation also uses a longitudinal data source and takes the changes of related variables between baseline and follow-up as independent variables to examine what factors are associated with “moving to be with children” and “returning to the nest” among those living apart from children at baseline of Taiwanese seniors. Empirical results imply that “returning to the nest” is more likely to occur when a senior’s positive economic factors are changed; while “moving to be with children” is more likely to occur when a senior’s needs factors and negative economic factors are changed, and lacking evidence to prove that health deterioration was the major determinant of the transition to live with children. Most previous research on elderly living arrangements examined all people aged 65 and over as a whole. Some cross-sectional studies on aging employed different samples, as did some longitudinal studies. This dissertation examines the living arrangements of young-old, old-old, and oldest-old in Taiwan. A panel study was used to answer the following questions: Is the proportion of coresidence with increased age U-shaped or decreased linearly? What influence does aging have on living arrangements? Analytical results show that the proportion of coresidence decreased linearly among the same samples for the young-old, old-old, and oldest-old. Empirical results show that some factors were significant at some stages, while not significant at other stages, that is, they were affected by aging. Additionally, some factors related to living arrangements for all three age groups, and their effects differed with increased age. All of them are good indicators in predicting the determinants of elderly living arrangements for the three groups. This dissertation also uses a longitudinal data source, applies a theoretical basis of person-environment congruence and basic-needs content, and takes the dynamic variables, the changes in related variables between the baseline and follow-up, as independent variables to examine the determinants of changes in satisfaction with living arrangements of the elderly. Empirical results indicate that both person-environment congruence and basic-needs content partially cause changes in satisfaction with living arrangements, and the “love me, love my dog” hypothesis is also fulfilled. This dissertation suggests that changes in satisfaction with living arrangements are mainly attributed to the congruence or fit between the environment and the individual. Summarily, the proportion of dissatisfaction with living arrangements increases as age increases, the condition of health worsened linearly and the proportion of living with children is decreased with increased age, many factors have been implied the influence of traditional values on family care is decreasing. No matter what kind of living arrangement the elderly adopted, they should improve the living arrangement satisfaction, and enhance the welfare. At this time, beyond the improvements through effective measures of the government, the elderly should fend for themselves by improving the living environment, moving to a good medical environment, transferring the power of decision-making to children, and more involving in sociability or visiting relatives, friends and neighbors. And then they achieve successful aging happily.

本研究利用兩種時間關聯之操作式制約行為作業探討韁核的行為功能，一為區辨性增強低頻反應作業（簡稱DRL作業），另一為固定時距作業（簡稱FI作業）。本研究以神經毒素鵝膏蕈酸（ibotenic acid）破壞韁核的方式來測試大白鼠受試在上述行為作業之不同歷程的影響效果，包含習得歷程、行為表現階段以及已習得後轉換得酬賞之反應標準等三個階段。實驗一的結果顯示破壞韁核對於DRL作業的習得歷程具有明顯的影響，其影響效果在DRL短時距作業中造成無法以有效率的壓桿反應模式獲得酬賞；反之，破壞操弄的效果並不影響FI長與短時距作業的習得歷程。實驗二的結果顯示破壞韁核並不影響已習得的DRL作業與FI作業的行為表現，兩項作業的實驗組受試皆能維持穩定的行為反應模式且與控制組無明顯差異。實驗三對已習得的DRL行為進行時距參數的轉換（含調高及降低兩部份），結果顯示破壞韁核之操弄並未明顯的影響這項轉換新的時距之作業要求，但實驗組受試的確比控制組較遲緩達到新的時距要求。綜合而言，本研究以專屬性較高的神經毒素破壞韁核，用較多元指標的行為分析方式探討韁核的行為功能；其結果發現韁核參與DRL行為內含的區辨學習與對於錯誤偵測的負向迴饋，這些功能是需要透過韁核與其他中腦及邊緣系統的組織互動。 / This study examined the function of habenula (Hb) by two kinds of operant conditioned behavior tasks based on temporal contingency, including the differential reinforcement of low-rate responding (DRL) task and fixed-interval (FI) task. The effects of Hb lesion induced by neurotoxin ibotenic acid were examined at the different stages of operant conditioned behavior, including acquisition, performance, and transition stages. The results showed that bilateral lesions of Hb did not affect the locomotor activity and the basic lever-pressing. In Experiment 1, Hb lesion group had less reinforced responses and lower peak time indicating the deficits of acquisition of the DRL task. In contrast, the same lesion manipulation on the FI task did not produce any difference between the lesion group and the control group. The data of Experiment 2 showed that Hb lesion did not significantly affect the learned behavior maintained on DRL-10s or FI-30s schedule. In Experiment 3, Hb lesion produced a subtle, but not significant, impairment on behavioral transition from a learned interval to a newly-set interval (upward or downward). The lesioned subjects made a slower transition than the controls. In conclusion, these data suggest that the function of habenula is involved in discrimination learning and error detection for acquiring DRL behavior. However, it is likely that these Hb functions have to rely upon dynamic relationship between Hb and other midbrain limbic systems.