| 期刊論文1. | Cox, J. C.、Ingersoll, J. E.、Ross, S. A.(1985)。A Theory of the Term Structure of Interest Rate。Econometrica,53(2),385-408。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Santomero, Anthony M.、Babbel, David F.(1997)。Financial Risk Management by Insurers: An analysis of the Process。Journal of Risk and Insurance,64(2),231-270。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Vasicek, Oldrich Alfonso(1977)。An Equilibrium Characterization of the Term Structure。Journal of Financial Economics,5(2),177-188。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Kim, Changki(2005)。Modeling surrender and lapse rates with economic variables。North American Actuarial Journal,9(4),56-70。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | Kuo, Weiyu、Tsai, Chenghsien、Chen, Weikuang(2003)。An empirical study on the lapse rate: The cointegration approach。Journal of Risk and Insurance,70(3),489-508。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | Ahlgrim, Kevin C.、D’Arcy, Stephen P.、Gorvett, Richard W.(2004)。The effective duration and convexity of liabilities of property-liability insurers under stochastic interest rates。Geneva Papers on Risk and Insurance Theory,29,75-108。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Babbel, David F.、Merrill, C.、Panning, W.(1997)。Default risk and the effective duration of bonds。Financial Analysts Journal,53,35-44。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Babbel, David F.、Gold, Jeremy、Merrill, Craig B.(2002)。Fair value of liabilities: The financial economics perspective。North American Actuarial Journal,6,12-27。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | Bierwag, Gerald O.、Corrado, Charles J.、Kaufman, George G.(1992)。Durations for portfolios of bonds priced on different term structures。Journal of Banking and Finance,16,705-714。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 10. | Bierwag, Gerald O.、Fooladi, Iraj J.(2006)。Duration analysis: An historical perspective。Journal of Applied Finance,16,144-160。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 11. | Bierwag, Gerald O.、Kaufman, George. G.(1985)。Duration gaps for financial institutions。Financial Analysts Journal,41,68-71。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 12. | Bierwag, Gerald O., et al.(1981)。The art of risk management in bond portfolio。Journal of Portfolio Management,7,27-36。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 13. | Bierwag, Gerald O.、Kaufman, George G.、Toevs, Alden(1983)。Duration: Its development and use in bond portfolio management。Financial Analysts Journal,39,15-35。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 14. | Briys, Eric、Varenne, Francois de(1997)。On the risk of insurance liabilities: Debunking some common pitfalls。Journal of Risk and Insurance,64,673-694。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 15. | Cooper, Ian A.(1977)。Asset values, interest rate changes, and duration。Journal of Financial and Quantitative Analysis,12,701-723。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 16. | Cornell, Bradford(2000)。Equity duration, growth options, and asset pricing。Journal of Portfolio Management,26,105-111。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 17. | Fisher, Lawrence、Weil, Roman L.(1971)。Coping with the risk of interest risk fluctuations: Returns to bond-holders from naive and optimal strategies。Journal of Business,44,408-431。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 18. | Fooladi, Iraj J.、Roberts, Gordon S.(2004)。Macrohedging for financial institutions: Beyond duration。Journal of Applied Finance,14,11-19。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 19. | Hamelink, Foort, et al.(2002)。A comparison of UK equity and property duration。Journal of Property Research,19,61-80。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 20. | Hayre, Lakhbir、Chang, Hubert(1997)。Effective and empirical durations of mortgage securities。Journal of Fixed Income,6,17-33。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 21. | Hevert, Kathleen T.、McLaughlin, Robyn M.、Taggart, Jr., Robert A.(1998)。Growth options and equity duration。Journal of Portfolio Management,25,43-50。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 22. | Leibowitz, Martin L., et al.(1989)。A total differential approach to equity duration。Financial Analysts Journal,45,30-37。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 23. | Redington, Frank M.(1952)。Review of the principles of life-office valuations。Journal of the Institute of Actuaries,78,286-340。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 24. | Reilly, Frank K.、Wright, David J.、Johnson, Robert R.(2007)。Analysis of the interest rate sensitivity of common stocks。Journal of Portfolio Management,33,85-108。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 25. | Tsai, Chenghsien(2009)。The term structure of reserve durations and the duration of aggregate reserves。Journal of Risk and Insurance,76,419-441。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 26. | Tsai, Chenghsien、Ho, Hsien-Chan、Tsou, Chih-Hua(2002)。Duration analyses on life insurance policies。Journal of Risk Management,4,47-75。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 圖書1. | Bowers, Newton L. Jr.、Gerber, Hans U.、Hickman, James C.、Jones, Donald A.、Nesbitt, Cecil J.(1997)。Actuarial Mathematics。Society of Actuaries。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Bierwag, Gerald O.(1987)。Duration Analysis: Managing Interest Rate Risk。New York。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Babbel, David F.(1995)。Asset-Liability matching in the life insurance industry。The Financial Dynamics of the Insurance Industry \\ Altman, E. I. ; Vanderhoof, I. T. (eds.)。New York。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Doll, Douglas C., et al.(1998)。Fair valuation of life insurance company liabilities。The Fair Value of Insurance Liabilities \\ Vanderhoof, I. T. ; Altman, E. I. (eds.)。New York。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | Nelson, C.、Schaefer, Stephen M.(1983)。The dynamics of the term structure and alternative immunization strategies。Innovations in Bond Portfolio Management: Duration Analysis and Immunization \\ Bierwag, G. O. ; Kaufman, G. G. ; Toevs, A. (eds.)。Greenwich, CT。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | |