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題名:壽險新契約成長率季節性異常現象之研究
書刊名:風險管理學報
作者:陳玲慧
作者(外文):Chen, Lin-hui
出版日期:2000
卷期:2:1
頁次:頁25-38
主題關鍵詞:壽險新契約月效應單根檢定GARCH模型殘差項Life insurance new policyMonth-of-the-year effectUnit root testGARCH
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:1
  • 共同引用共同引用:5
  • 點閱點閱:23
     台灣地區的人壽保險業自民國五十一年核准成立以來,及至民國八十三年對世界各國開放保險市場,在政府積極領導及壽險業之諸多前輩努力之下,終也能隨著國內經濟起飛的腳步,締造了足以傲人的佳績。人壽保險業之業績首重新契約之成長,本論文以壽險新契約為研究標的,探討一年之中,單月壽險新契約總金額與其變動率是否有季節性異常現象。即探討壽險新契約總金額與其變動率是否有月效應存在。得到結論如下:(一)將單月壽險新契約總金額與其變動率兩時間數列分別作常態性檢定,發現兩者均不為常態分配。(二)將單月壽險新契約總金額與其變動率兩時間數列分別作單根檢定,發現單月壽險新契約總金額為非定態時間數列,而一階差分後,其變動率則呈現為定態序列。(三)GARCH模型之Q檢定顯示殘差項具有序列相關。由GARCH(1,1)所得結果發現,四月和八月之a值均顯著不等於零,表示的確有月效應存在。
     Via the use of GARCH (Generalized Autoregressive Conditional Heteroskedasticity) model,this paper examines the seasonality enigma of the life insurance market in Taiwan by testing the month-of –the-year effect. The life insurance market in Taiwan was not opened to foreign business until 1987. Thanks to the government and the pioneers of this industry, the life insurance market in Taiwan is highly prosperous today. In this study the data period covers Jan. 1979 through Dec. 1997. The results indicate the life insurance policies growth rate exhibits significant time dependence, April and August phenomena. Thus , the life insurance market in Taiwan displays the month-of-the-year effect.
期刊論文
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圖書
1.台北市人壽保險商業同業公會。人壽保險業務統計年報。  延伸查詢new window
 
 
 
 
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