應用馬可夫鏈模型探討台灣保險公司之企業營運週期

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

2008年美國發生雷曼兄弟破產與二次房貸等問題，牽動著全球金融經濟，並造成美國國際集團必須放棄在南山人壽的經營權，從台灣撤出超過95 %的股權，以挽救總公司瀕臨破產的窘境。企業以不同的營運方式產生出不同的樣貌，本文參考Anthony & Ramesh（1992）與Daft（2004）提出對企業生命週期的衡量區分五個指標，樣本選取台灣本國保險公司在2009到2013年共5年的財務資訊。此篇論文的研究方法透過吸收性馬可夫鏈（Absorbing Markov Chain）的轉移矩陣（Transition Matrix）來計算保險公司的各經營階段。本研究預期保險公司營運階段分布情形與轉移機率之估算，區分企業為何種階段的比率與經營時間的長短，供投資人做決策的判斷，以減少投資時所產生的風險。

Back to 2008, there was an important event of bankruptcy of Lehman Brothers from issuing low quality mortgage back security. This 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. In this study, 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 & Ramesh, 1992; Daft, 2004) to different life-cycle stages of financial activities during 2009-2013. This study will help investor and managers as reference for decision-making.