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系統識別號 U0002-1006200514230500
中文論文名稱 人壽保險的兩篇研究
英文論文名稱 Two Essays on Life Insurance
校院名稱 淡江大學
系所名稱(中) 產業經濟學系碩士班
系所名稱(英) Department of Industrial Economics
學年度 93
學期 2
出版年 94
研究生中文姓名 劉思敏
研究生英文姓名 Ssu-Min Liu
學號 692510703
學位類別 碩士
語文別 中文
口試日期 2005-05-31
論文頁數 28頁
口試委員 指導教授-胡登淵
委員-楊曉文
委員-繆震宇
中文關鍵字 人壽保險  Minimum LM 單根檢定  金融發展  Bounds Testing Approach 
英文關鍵字 life insurance  Minimum LM Unit Root Test  Financial Development  Bounds Testing Approach 
學科別分類 學科別社會科學經濟學
中文摘要   本論文由兩方面研究人壽保險,第一篇對人壽保險相關數列進行單根檢定,以確認該數之性質;第二篇則探討金融發展與人壽保險需求及其他影響需求之因素間的關係。
  第一篇:Granger 和 Newbold (1974) 研究指出於迴歸模型中採非定態之時間序列,可能出現假性迴歸的問題。過去分析臺灣地區人壽保險需求之文獻多利用時間序列資料,郝充仁與周林毅 (2001) 於文中指出往昔文獻應用傳統計量方法並利用時間序列做迴歸分析時,多有假性迴歸 (spurious regression) 的困擾,為免除此困擾,吾人可進行單根檢定 (unit root test) 確認時間序列是否具有單根,若時間序列具有單根則表示其為非定態數列。但Perron (1989) 提出結構性改變的存在會造成我們誤判該時間序列有單根,故在此吾人應用Lee 和 Strazicich (2003) 提出Minimum Lagrange Multiplier (LM) 單根檢定,該檢定納入兩個結構性改變存在並可藉由資料內生地決定。最後由檢定結果發現總和個人人壽保險新契約保額、總和個人人壽保險初年度保費收入、個人人壽保險新契約價格、平均每人國民所得數列都為具有單根。
  第二篇:隨著臺灣經濟環境改善與政府放寬保險市場的管制,保險市場發展愈形蓬勃,民眾對人壽保險契約的需求也更為殷切。而近年來政府對金融市場的干預減少,促使金融市場發展更盛,增加了消費者理財選擇。金融市場發展提供人們更多元的理財標的,可能降低人們對壽險的需求,然而,隨著金融市場發展,壽險產品也更加多元化,則可能提昇人們對壽險的需求,因此有待進一步檢定與分析。鑑此,本研究將探討金融市場發展程度如何影響消費理財選擇中個人人壽保險契約一項。吾人利用Pesaran等 (2001) 發展之Bounds Testing Approach,試圖探究個人人壽保險需求與金融發展以及其它決定因素間的長期均衡關係。運用此方法可免除進行共整合檢定 (cointegration test) 前所有變數皆為整合數列的假設,因此,也就無須進行單根檢定 (unit root test) ,以免除單根檢定的檢定力 (power) 普遍不高的顧慮。資料來源主要為壽險季刊,資料期間為1982年第3季至2003年第4季,共86筆季資料。本文實證結果無法支持金融市場發展程度的增加使得個人人壽保險需求減少的假說。
英文摘要 Essay 1:Granger and Newbold (1974) showed that when nonstationary time series are used in a regression model this may cause spurious regression. Hao and Cuou (2001) proposed that the literatures of the demand for life insurance in Taiwan which use time series data have spurious regression problem. To solve the problem, one should detect the time series whether it contains a unit root or not. But Perron (1989) showed the failure to allow for a structural break leads to a bias. Hence, this study use the endogenous two-break LM unit root test derived in Lee and Strazicich (2003). Finally, the empirical results show that personal life insurance coverage of new contracts, personal life insurance premium income, the price of life insurance and per capita national income are with unit roots.
Essay 2:The insurance market in Taiwan grows rapidly during the past decade because of the economic growth and less regulation governing the market. The financial market booms in recent years as well and the innovation of various financial products provides diverse channels of investment. The life insurance may become one of the components of portfolio. This study explores whether the financial development affects the consumption of life insurance. The development of financial market provides various choices of investment for consumers, and this may decrease consumers’ demand for life insurance. With the development of financial market, various kinds of life insurance products, nonetheless, appear for diverse needs, and this may increase consumers’ demand for life insurance. This study, hence, tests the relation between consumers’ demand for life insurance and the financial development. It uses the bounds testing approaches developed by Pesaran et al. (2001) to analyze the level relationship between the demand for personal life insurance and the financial development and other demographic and economic determinants in Taiwan. It can be applied irrespective of whether the regressors are I(0), I(1) or mutually integrated, and this avoids carrying out unit root tests which are complained about the low power. The time-series data are collected from various issues of Life Insurance Quarterly and span over the period from 1982 Q3 to 2003 Q4. The evidence can’t support the hypothesis that the development of financial market decreases consumers’ demand for life insurance.
論文目次 第一篇、人壽保險之單根檢定..........................1
壹、緒言............................................1
貳、資料來源........................................2
參、研究方法........................................8
肆、實證結果........................................9
伍、結論...........................................10

第二篇、臺灣地區金融發展與個人人壽保險需求.........11
壹、緒言...........................................11
貳、臺灣金融發展與人壽保險.........................12
參、模型...........................................13
肆、變數意涵及資料來源.............................16
伍、實證結果.......................................20
陸、結論...........................................24
參考文獻...........................................24
附錄...............................................27
參考文獻 第一篇、人壽保險之單根檢定
呂瑞秋,1998,臺灣地區個人壽險需求之分析,行政院國家科學委員會專題研究計畫成果報告,NSC87-2415-H-035-006。
簡美瑟,2000,人壽險需求與共積分析-臺灣地區的實證研究,行政院國家科學委員會專題研究計畫成果報告,NSC89-2416-H-151-002。
張萌旭,2004,結構性改變下單根及共積檢定的兩篇論文,淡江大學產業經濟學系碩士論文,臺北縣淡水鎮。
陳明哲,1996,台灣地區人壽保險需求之實證估計,壽險季刊,第99期,49-55。
陳雲中,1994,人壽保險的理論與實務,臺北市,三民書局。
郝充仁、周林毅,2001,台灣地區人壽保險需求之實證估計,壽險季刊,第122期,38-53。
Granger, C. and P. Newbold, 1974, Spurious Regression in Econometrics, Journal of Econometrics, Vol. 2, 111-120.
Lee, J. and M.C. Strazicich, 2003, Minimum LM Unit Root Test with Two Structure Breaks, The Review of Economics and Statistics, Vol. 85, 1082-1089.
Lumsdaine, R. D. and Papell, 1997, Multiple Trend Breaks and the Unit Root Hypothesis, Review of Economics and Statistics, Vol.79, 212-218.
Perron, P., 1989, The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis, Econometrica, Vol. 57, 1361-1401.
Strazicich, M. C., J. Lee and E. Day, 2004, Are Incomes Converging among OECD Countries? Time Series Evidence with Two Structural Breaks, Journal of Macroeconomics, Vol. 26, 131-145.
Zivto, E. and D.W.K. Andrews, 1992, Further Evidence on the Great Crash, the Oil-price Shock and the Unit Root Hypothesis, Journal of Business and Economic Statistics, Vol. 10, 251-270.
第二篇、臺灣地區金融發展與個人人壽保險需求
呂瑞秋,1998,臺灣地區個人壽險需求之分析,行政院國家科學委員會專題研究計畫成果報告,NSC87-2415-H-035-006。
陳明哲,1996,臺灣地區人壽保險需求之實證估計,壽險季刊,第99期,49-55。
陳彩稚,1996,保險學,臺北市,三民書局。
陳彩稚譯,John R. Ingrisano、Corinne M. Ingrisano著,1999,保險字典,臺北市,廣場文化出版事業公司。
陳雲中,1994,人壽保險的理論與實務,臺北市,三民書局。
郝充仁、周林毅,2001,臺灣地區人壽保險需求之實證估計,壽險季刊,第122期,38-53。
Beck, T. and I. Webb, 2003, Economic, Demographic, and Institutional Determinants of Life Insurance Consumption across Countries, The World Bank Economic Review, Vol. 17, No. 1, 51-88.
Browne, M. J. and K. Kim, 1993, An International Analysis of Life Insurance Demand, The Journal of Risk and Insurance, Vol. 60, No. 4, 616-634.
DeJong, D.N., J.C. Nankervis, N.E. Savin and C.H. Whiteman, 1992, The Power Problems of Unit Root Tests in Time Series with Autoregressive Errors, Journal of Econometrics, Vol. 53, 323-343.
Headen, R.S. and J.F. Lee, 1974, Life Insurance Demand and Household Portfolio Behavior, The Journal of Risk and Insurance, Vol. 41, No. 4, 685-698.
Lewis, F.D., 1989, Dependents and the Demand for Life Insurance, The American Economic Review, Vol. 79, No. 3, 452-466.
Meyer, J. and M.B. Ormiston, 1995, Demand for Insurance in a Portfolio Setting, Geneva Papers on Risk and Insurance Theory, Vol. 20, No. 2, 203-211.
Oskooee, M.B. and R.C.W. Ng,2002, Long-Run Demand for Money in Hong Kong:An Application of the ARDL Model, International Journal of Business and Economics, Vol. 1, No. 2, 147-155.
Outreville, J.F., 1990, Life Insurance Markets in Developing Countries, The Journal of Risk and Insurance, Vol. 57, No. 3, 487-498.
Outreville, J.F., 1996, Life Insurance Markets in Developing Countries, The Journal of Risk and Insurance, Vol. 63, No. 2, 263-278.
Pesaran, M.H. and Y. Shin, 1999, An Autoregressive Distributed Lag Modeling Approach to Cointegration Analysis, In: Strom, S. (Ed.), Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium. Cambridge University Press, Cambridge.
Pesaran, M.H., Y. Shin and R.J. Smith, 2001, Bounds Testing Approach to the Analysis of Level Relationship, Journal of Applied Econometrics, Vol. 16, 289-326.
Thangavelu, S.M. and A.B. Jiunn, 2004, Financial Development and Economic Growth in Australia: An Empirical Analysis, Empirical Economics, Vol.29, 247-260.
Vaughan, E.J. and T.M. Vaughan, 2003, Fundamentals of risk and insurance, 9th edition, New York, Wiley.
Vita, G.D. and A. Abbott, 2002, Are Saving and Investment Cointegrated? An ARDL Bounds Testing Approach, Economics Letters, Vol. 77, 293–299.
Yaari, M.E., 1965, Uncertain Life Time, Life Insurance, and the Theory of the Consumer, The Review of Economic Studies, Vol. 32, No. 2, 137-150.
Zietz, E.N., 2003, An Examination of the Demand for Life Insurance, Risk Management and Insurance Review, Vol. 6, No. 2, 159-191.
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