1980年代，由於利率自由化的衡擊，引發美國資本市場劇烈變革，在面對同業及其他金融機構如銀行或證券業者之競爭壓力下，壽險公司不僅在承保組合(underwriting portfolio)有明顯地改變，更採積極投資策略以獲取高收益。因此，資產負債管理始漸漸受到壽險公司之重視。事實上，市場自由競爭下，壽險公司承保業務獲利空間銳減，資金游離之情形嚴重，加上投資風險增高與賦稅制度之變革，面對總資金成本上揚之困境，壽險公司財務清償能力(solvency)實已堪慮。在保險市場混亂低迷之背景下，美國保險監督官(National Association of Insurance commissioner, NAIC)發展出風險基礎資本額(Risk-Based Capital)以強化過去預警系統在自有資本(surplus management)之缺失。

觀察美國保險市場之模式，隨著資本市場與監理機關對保險公司清償能力之重視單純之財務報表和自有資本管理已不符合時代需求，一個包含現金流量與利率風險的資產負債管理才是一個真正有效的工具。因此，本文提出壽險公司應從平均存續期間分析(duration analysis)、流動性管理(liquidity and cash flowmanagement)與資本或盈餘管理(surplus management)三大方向著手，以在監理限制、公司資金成本、股東權益報酬與保戶權益間尋求一個最適經營規模。本篇論文之主要重點在於提出盈餘平均存續期間(surplus duration)之理論模型，以澄清資產平均存續期間相等於負債平均存續期間即規避利率風險之觀念。此外，本研究與國外文獻最大之不同點在於具體提出計算壽險公司負債平均存續期間(liability duration)，以提供實務界作參考。同時，亦針對資產項目作假設，透過盈餘平均存續期間模型求算出國內27家壽險公司之盈餘平均存續期間，以瞭解國內壽險公司資產負債管理之續效，並針對不同規模大小之壽險公司提出建議。最後本論文透過實證結果瞭解壽險公司資產負債管理對公司股東權益報酬率(return on equity, ROE)影響之程度。

本文除自資本結構之角度探討壽險公司價值(firm value)、自有資本或盈餘(buffer fund)、財務清償能力與資產負債管理之互動關係外，並以實證結果驗證理論。筆者選取適合本研究之國內27家壽險公司(包括本國15家、外商12家)為研究樣本。以股東權益報酬率為應變數(dependable variable)以作為衡量壽險公司價值之指標。自變數(independent variable)選取則有盈餘平均存續期間、流動性比率、RBC風險指數與財務槓桿(financial leverage)四個變數，經由複迴歸分析選取三種不同模型加以比較分析，以驗證本文理論部份。

由本論文之實證結果顯示，盈餘平均存續期間、流動性比率比及財務槓桿比率確實對股東權益報酬率有顯著之顯響。而RBC風險指數由於受到國內樣本之扭曲而呈不顯著之情況。本文亦以選擇權賣權(put option)之觀點解釋資產負債管理與股東權益以及公司商譽(charter value)與股東執行賣權之關係，以解釋實驗結果，並提供後續研究者新的研究方向。

一、中文部份
l 、中華民國八十四年度人壽保險業務統計年報，台北人壽保險商業同業公會編印?民國八十五年七月。
2 、壽險簡訊第91 期, 台北人壽保險商業同業公會編印?氏國八十二年十二月。
3 、壽險簡訊第114 期，台北人壽保險商業同業公會編印，民國八十四年十一月。
4 、壽險簡訊第118 期，台北人壽保險商業同業公會編印?氏國八十五年三月。
5 、壽險簡訊第123 期?台北人壽保險商業同業公會編印，民國八十二年八月。
6 、台灣壽險業個人壽險年度經驗死亡率及解約失效率研究報告，台北人壽保險商業同業公會編印，民國八十三年。
7 、台灣壽險業個人壽險經驗蒐集、整理及經驗死亡率計算方法，台北人壽保險商業同業公會編印，民國八十三年。
8 、台灣地區金融統計月報，中央銀行經濟研究處，民國八十二年七月、八月。
9 、李忠錦，期間分析應用於壽險業資產負債管理之研究，國立政治大學保險研究所未出版碩士論文，民國八十一年六月。
10、吳志遠，保險公司財務風險管理現金流量模擬模型及類神經網路之應用，國立台灣大學財務金融研究所未出版碩士論文，民國八十四年五月。
11、吳家宏，免疫理論庭、用於壽險業資產負債管理之研究，國立政治大學保險研究所未出版碩士論文，民國八十四年六月。
12、陳俊男，選擇權定價模式應用於衡量產險公司權益價值及破產機率之研究，國立政治大學保險研究所未出版碩士論文，民國七十九年六月。
13、黃浩平，影響台灣上市公司益本比與市場價值因素之研究，國立政治大學企業管理研究所未出版碩士論文，民國八十五年六月。
14、張國樑，台灣地區上市公司股權結構與公司價值關係之研究，國立中興大學企業管理研究所未出版碩士論文，民國八十三年六月。
15 、楊蕉霙，所有權結構與公司價值間關係之研究，國立中山大學企業管理研究所未出版碩士論文，民國七十九年六月。
16 、郭瑞基，公司成長機會現值與權益價值暨風險關係之研究，東吳大學會計研究所未出版碩士論文，民國七十九年六月。
17 、徐瑞鴻，產物保險公司財務安全評估之研究，國立政治大學保險研究所未出版碩士論文，民國八十二年元月。
18 、陳庭文，公司成長、融資政策與公司價值之相關性研究--以台灣地區上市製造業為例，私立大業工學院事業經營研究所未出版碩士論文，民國八十三年六月。
19、鄭立仁，壽險業最適風險資本與現金流量模擬之比較研究，國立台灣大學財務金融學研究所未出版碩士論文，民國八十五年六月
20 、蔡長興，人壽保險公司財務控制與公司價值之研究，逢甲統計與精算研究所未出版碩士論文，民國八十五年六月。

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