周國端臺灣大學：財務金融學研究所葉昶志Yeh, Chang-ChihChang-ChihYeh2007-11-282018-07-092007-11-282018-07-092004http://ntur.lib.ntu.edu.tw//handle/246246/60842本篇論文延伸 Grosen 與 Jorgensen 於1999年發表之分紅保單訂價模型，探討代理成本對於分紅保單定價之影響。藉由修改原始模型中資產之假設，認為保險公司中，經理人之投資行為並非完全具有效率。發行分紅保單將會影響公司經理人之決策行為，進而發生代理成本。本文運用數學模型，支持 Krishnaswami 與 Poitter (2001)之實證研究結果：發行分紅保單雖然減少保戶與股東間的代理成本，但卻會大幅惡化保戶與經理人間之利益衝突。This paper attempts to fill a gap in the existing literature by extending the analysis in Grosen and Jorgensen (1999) about the fair pricing model of participating policies to introduce the agency cost of overinvestment and underinvestment. Differ from the original model, here the investment strategy of company is assumed inefficient. Managers’ behavior, which is projected on the investment results directly, will be affected by the bonus generated last period. We formally demonstrate how participating policies exacerbate the shareholder-manager incentive conflict. Moreover, our results support Krishnaswami and Poitter’s research which suggests that participating policies would be more likely in firms where the costs of policyholder-manager incentive conflicts dominate the costs of shareholder-policyholder incentive conflicts.1. Introduction 1 2. Model 5 2.1. Standard Model of Grosen and Jorgensen (1999) 5 2.1.1. The Asset Side of the Balance Sheet 6 2.1.2. The Liability Side of Balance Sheet 7 2.1.3. Monte Carlo Simulation - Standard 9 2.2. Dynamic Investment Model – Considering Agency Costs 15 2.2.1. Overinvestment strategy 15 2.2.2. Underinvestment Strategy 16 2.2.3. Monte Carlo Simulation – Dynamic Investment 18 3. Numerical Results 24 4. Conclusion 36 Reference 38310539 bytesapplication/pdfen-US代理成本分紅保單agency costparticipating policiesthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60842/1/ntu-93-R91723073-1.pdf