Applying Markov Chain Model to Study Business Operation Cycle of Insurance Companies in Taiwan

• Main Authors: Yang, Cheng-Ru, 楊承儒
• Other Authors: Yang, Fu-Ju
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/76691598307125129637

碩士 === 中國文化大學 === 財務金融學系 === 104 === Back to 2008, there was an important event of bankruptcy of Lehman Brothers from issuing low quality mortgage back security. This create a number of following issues which have been affected both global and foreign local financial market and economy including Taiwan. For Taiwan effect, it triggered American International Group (AIG) withdraw more than 95% stake in Nan Shan Life Insurance Company. However, from the event of Nan Shan Life Insurance, the insurance companies rise risk premium but capital gains and operating income of insurance companies is still relatively lower, not covered the higher risk. So, the company must be careful of operations. In this study, we follow the point of view of investors to understand the insurance company’s operating condition and make analysis by applying absorbing Markov chain model to estimate transition matrix of different business operation (Anthony and Ramesh, 1992; Daft, 2014) to different life-cycle stages of financial activities during 2006-2014. This study will help investor and managers as reference for decision-making.