楊曉文 研究領域 學術與社會服務 ( 現任 ) 現職 : 國立中央大學財務金融系特聘教授國立中央大 NN IP 野村投信金融研究發展中心主任電話 : ext or 66250

Transcription

1 楊曉文 現職 : 國立中央大學財務金融系特聘教授國立中央大 NN IP 野村投信金融研究發展中心主任電話 : ext or 傳真 : syang@ncu.edu.tw 研究室 : 管理學院二館 I1-807 學歷 英國 Heriot-Watt University 精算博士 美國 University of Iowa 精算科學碩士 研究領域 精算 : 保險精算 退休金精算風險管理 : 風險資本適足性 資產風險 長壽風險金融商品創新 : 附保證投資型保險 反向抵押貸款商品 年金保險 結構債投資 : 資產配置 退休金投資 責任投資 學術與社會服務 ( 現任 ) 國立中央大學校務基金管理委員會委員 (2014 年 ~) 國立中央大學投資管理小組委員 (2015 年 ~) 台灣退休基金協會監事 (201705~) 台灣風險與保險學會理事 (2012~) 財團法人保險安定基金諮詢委員 (201507~) 國保精算審查小組委員 (2017/10/ /9/30) 金融服務業聯合總會境外結構型商品審查委員 1

2 期貨與選擇權學刊編輯委員 (2018/01/01~2020/12/31) 中華民國精算學會紀律委員會委員保險專刊暨保險實務與制度編輯委員財產保險業精算人員考試命題主委 (2016~) 社團法人臺灣理財顧問認證協會審題委員 (2017~) 國立政治大學商學院風險管理與保險研究中心研究員 CARDIF 銀行保險研究發展中心研究員 保險業永續發展研究中心研究員國立政治大學風險管理與保險系兼任教授 經歷 國立中央大學財務金融系系主任 (2010/ /07) 美國威斯康辛大學精算風險管理及保險系訪問學者 (2013/ /07) 美國 Fulbright 資深訪問研究學者 (2013/ /07) 澳洲新南威爾斯大學國際研究小組訪問學者財團法人保險安定基金董事 (2011/ /04) 財團法人保險安定基金接管委員會委員 (2011/ /04) 財團法人保險安定基金新預警專案諮詢委員 (2015/08~2016/07) 金融監督管理委員會保險局投資型保險審查委員 (~2016/04) 亞太風險管理與保險學會理事中華民國壽險公會諮詢顧問中華民國期貨公會期貨信託基金風險控管委員保險代理人保險經紀人及保險公證人國家考試試務委員 (2017) 台大管理論叢 年金政策 : 設計 管理與改革 專刊主編 (2017) 美國風險與保險學會 Patrick Brockett & Arnold Shapiro 精算期刊論文獎召集人 ( ) 總統府年金改革國是會議代表 (2017/01) 國立政治大學風險管理與保險系兼任副教授 2

3 國立台灣大學財務金融研究所兼任助理教授東吳大學財務工程與精算數學系副教授 助理教授淡江大學保險系助理教授 講師英國 Britannia Life Insurance Company, Actuarial Dept., Summer Internship 國泰人壽數理部科員 研究獎勵 2015~ 國立中央大學特聘教授 2014 國立中央大學傑出研究獎勵 2013 國立中央大學傑出研究獎勵 2013 國科會優秀年輕學者獎勵 2013 美國 Fulbright 資深訪問研究學者 2013 國科會出國短期研究補助 2012 國立中央大學傑出研究獎勵 2011 國立中央大學傑出研究獎勵 期刋論文 1. Jennifer L. Wang, Hong-Chih Huang, Sharon S. Yang, Yen-Chih Chen and Mark, Hui-Heng Cheng (2017) Pension Reform and Building a Sustainable Pension System in Taiwan, Taiwan Economic Forecast and Policy, Forthcoming. (EconLit) (TSSCI) (In Chinese) 2. Huang, Jr-Wei and Sharon S. Yang, (2017) Detecting Causality and Long-Run Equilibrium Relationships of Mortality Rates across Countries for Developing Mortality-linked Securities, Academia Economic Papers, 45(2): (EconLit) (TSSCI) 3. Wang, Chou-Wen, Sharon S.Yang, Jr-Wei Huang (2017) Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance, Quantitative Finance, Forthcoming. (SSCI) ( 國科會財務領域 A- 級期刊 ) 3

4 4. Yang, Sharon S., Jr-Wei Huang, Chuang-Chang Chang (2016) Detecting and Modeling the Jump Risk of CO2 Emission Allowances and Their Impact on the Valuation of the Option on Futures Contracts, Quantitative Finance, 16(5): (SSCI) ( 國科會財務領域 A- 級期刊 ) 5. Chuang-Chang Chang, Sharon S. Yang, Tzu-Yu Huang and Jr-Wei Huang (2016), The Valuation of Temperature Derivatives: The Case for Taiwan, Journal of Financial Studies, 24(2), (TSSCI) 6. TianShyr Dai, Sharon S. Yang and Liang-Chih Liu (2015), Pricing Guaranteed Minimum/Lifetime Withdrawal Benefits with Various Provisions under Investment, Interest Rate and Mortality Risks, Insurance Mathematics and Economics, 64:364:379. (SSCI) ( 國科會財務領域保險精算 ATier2 級期刊 ) 7. Wang, Chou-wen, Sharon S. Yang and Hong-Chih Huang (2015) Modeling Multi-Country Mortality Dependence and Its Application in Pricing Survivor Index Swaps A Dynamic Copula Approach, Insurance: Mathematics and Economics, 63: (SSCI) ( 國科會財務領域保險精算 ATier2 級期刊 ) 8. Sharon S. Yang and Yawen Huang (2015), A Simulation Study of Risk Measure and Dynamic Financial Analysis for Flood Insurance: An Example of Taiwan Keelung River District, NTU Management Review, 25( 2): (TSSCI) 9. Sharon S. Yang and Yu-Yun Yeh, (2015), Analysis of the Efficient Frontier for Life Settlements in the Presence of Longevity Risk, Journal of Financial Studies, 23(1):1-29. (TSSCI) 10. Vivian S. Jeng and Sharon S. Yang (2015), A new look at the dynamic interrelationship between growth and profitability in the Chinese property liability insurance industry, Academia Economic Papers, 42(3): (EconLit) (TSSCI) 11. Yu-Lieh Huang, Jeffrey Tzuhao Tsai, Sharon S. Yang, Hung-Wen Cheng, (2014), Price bounds of mortality-linked security in incomplete insurance market, Insurance: Mathematics and Economics, 55: (SSCI) ( 國科會財務領域保險精算 ATier2 級期刊 ) 12. Joseph J. Tien and Sharon S. Yang, (2014), The Determinants of Life Insurer s Growth for a Developing Insurance Market: Domestic vs. Foreign Insurance Firms, The Geneva Papers on Risk and Insurance - Issues and Practice, 39:1-24. (SSCI) ( 國科會財務領域保險精算 B+ 級期刊 ) 4

5 13. Sharon S. Yang and TianShyr Dai, (2013), A Flexible Tree for Evaluating Guaranteed Minimum Withdrawal Benefits under Deferred Life Annuity Contracts with Various Provisions, Insurance: Mathematics and Economics, Insurance Mathematics and Economics, 52(2), (SSCI) ( 國科會財務領域保險精算 ATier2 級期刊 ) 14. Sharon S. Yang and Chou-wen Wang, (2013), Pricing and Securitization of Multi-country Longevity Risk with Mortality Dependence, Insurance Mathematics and Economics, 52(2): (SSCI) ( 國科會財務領域保險精算 ATier2 級期刊 ) 15. Wang, Chou-wen and Sharon S. Yang, (2013), Pricing Survivor Derivatives with Cohort Mortality Dependence under the Lee-Carter Framework, Journal of Risk and Insurance, 52: (SSCI)( 國科會財務領域保險精算 ATier1 級期刊 ) 16. Tang, Chun-Hua and Sharon S. Yang, (2012), Valuation of Rate of Return Guarantees under a Defined Contribution Pension Plan Considering the Choice of Retirement Age, Journal of Financial Studies, 20(1): (In Chinese)(TSSCI) 17. Yang, Sharon S., (2011), Securitization and Tranching Longevity and House Price Risk for Reverse Mortgage Products, The Geneva Papers on Risk and Insurance - Issues and Practice, 36: (SSCI)( 國科會財務領域保險精算 B+ 級期刊 ) 18. Ho, Hwai-Chung, Sharon S. Yang and Feng-I Liu, (2010), Evaluating Quantile Reserve for Equity-Linked Insurance under a Stochastic Volatility Model: Long-Memory vs. Short-Memory, ASTIN Bulletin, 40(2): (SSCI)( 國科會財務領域保險精算 A- 級期刊 ) 19. Wang, Jennifer L., Hong-chih Huang and Sharon S. Yang, and Jeffrey T. Tsai (2010), An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach, Journal of Risk and Insurance, 77( 2): (SSCI)( 國科會財務領域保險精算 A Tier1 級期刊 ) 20. Yang, Sharon S., Jack C. Yue and Hong-chih Huang (2010), Modeling Longevity Risks using a Principal Component Approach: A Comparison with Existing Stochastic Mortality Models, Insurance Mathematics and Economics, 4 (1): (SSCI) ( 國科會財務領域保險精算 A Tier2 級期刊 ) 21. Yang, Sharon S. and Hong-chih Huang, (2009), The Impact of Longevity Risk on the Optimal Contribution Rate and Asset Allocation for Defined Contribution Pension Plans, The Geneva Papers on Risk and Insurance - Issues and Practice, 34 (4): (SSCI)( 國科會財務領域保險精算 B+ 級期刊 ) 5

6 22. Yang, Sharon S. and Chun-Hua Tang(2009), A Study of the Impact of Investment strategies on Guaranteed Cost and Income Replacement Ratio under Taiwan New Labor Pension Plan, Journal of Financial Studies, 17(1): (In Chinese)(TSSCI) 23. Yang, Sharon S., Meng-Lan Yueh and Chun-Hua Tang(2008), Valuation of the Interest Rate Guarantee Embedded in Defined Contribution Pension Plans, Insurance Mathematics and Economics, 42: (SSCI)( 國科會財務領域保險精算 A Tier2 級期刊 ) 24. Wang, Jennifer L. and Sharon S. Yang (2008), Pricing and Implementation of Longevity Bonds in Taiwan, Asia-Pacific Journal of Risk and Insurance, 3 (1): ( 國科會財務領域保險精算 B 級期刊 ) 25. Huang, Hong-chih, Jack C.Yue, and Sharon S. Yang (2008), An Empirical Study of Mortality Models in Taiwan, Asia-Pacific Journal of Risk and Insurance, 3 (1): ( 國科會財務領 域保險精算 B 級期刊 ) 26. Jennifer L. Wang, Sharon S.Yang, H.C. Huang and Yung-Tsung Lee(2008, Analysis of Switch Option under New Labor Pension Plan, Journal of Financial Studies, Forthcoming 15:1, (In Chinese)(TSSCI) 27. Sharon S. Yang, Hong-chih Huang, Li-Jong Huang(2006), Investment Strategy Solvency and Fair Pricing for Participating Policies, NTU Management Review,17:1, (In Chinese) (TSSCI) 28. Yang, Sharon S. and Tan, Daniel C.(2006), Valuation of Guaranteed Annuity Options, Review of Securities of Futures Market, 17:4, 43-86(TSSCI) 29. Hong-Chih Huang, Jack C. Yue, Sharon S. Yang and Yen-Fu Huang(2006), A Study of Stochastic Investment Model and Investment Strategies for Long-term Liabilities, Review of Securities and Future Markets, 18:2, (In Chinese)(TSSCI) 30. Jennifer L. Wang, Sharon S.Yang, H.C. Huang(2006), Analysis of Income Replacement Ratio under New Labor Pension Plan, The Fifth Issue of Taiwan Labor Law Association. (In Chinese) 31. Sharon S. Yang and Hsiao-Hsu Chang(2005), A Study of Capital Requirement and Risk Evaluation for Variable Annuity with Minimum Rate of Return Guarantee, Journal of Risk Management, 7:3, (In Chinese) 32. Sharon S. Yang(2004), Annuitization Choice and Defined Contribution Individual Account, Annual Issue of Pension Association, (In Chinese) 6

7 33. Sharon S.Yang, Hong-Chih Huang and Yu-Hung Cheng(2004), Measuring Guaranteed Risk for Investment-linked Insurance: An Introduction of Coherent Risk Measure and Its Application, Journal of Insurance, 20:2, (In Chinese) 34. Wilkie, A.D., H.R. Waters and Sharon S. Yang (2003), Reserving, Pricing and Hedging for Policies with Guaranteed Annuity Options, British Actuarial Journal, 9, (Best paper award) ( 國科會財務領域保險精算 B 級期刊 ) Conference Papers or Presentation 1. Sharon S. Yang* and Jr-Wei Huang (2017/07), Systematic Risk of Housing Price and Risk Analysis for Home Equity Conversion Mortgage Portfolio, 21th International Congress on Insurance: Mathematics and Economics, July 3-5, Vienna. (NSC H MY3) 2. 楊曉文,2016/12, 長壽風險對年金改革的影響, 年金改革研討會, 中研院經濟所 3. Liu, I-Chien, Sharon S. Yang, Chou-Wen Wang, 2016/12, Valuation and Hedging of Guaranteed Lifetime Withdrawal Benefits / Guaranteed Minimum Withdrawal Benefits in Presence of Longevity Risk, 台灣風險與保險學會第十屆年會暨學術研討會, 台灣大學. 4. Sharon S. Yang* and Hong-Chih Huang(2016/09), Discussion on the Natural Hedging Strategy under Longevity Risk, 12th International Longevity Risk and Capital Markets Solutions Conference, (NSC H MY3) 5. Sharon S. Yang*, 2016/07, Discussion of Mortality Modeling Issue on Longevity Hedging, Asia Pacific Risk and Insurance Association Annual Meeting, 成都, China. (Panelist) 6. Sharon S. Yang* and Jr-Wei Huang (2016/01), Housing Price Dependence Structure and Its Impact on Pricing and Measuring Risk for HECM Reverse Mortgages, Western Risk and Insurance Association 50th Annual Meeting, Jan. 3-6, Maui, Hawaii. 7. Sharon S. Yang*, Jr-Wei Huang, 2015/12, Causality and Long-Run Equilibrium Relationships of Mortality Rates across Countries and Their Implication on Hedging Longevity Risk, 台灣風險與保險學會第九屆年會暨學術研討會, 政治大學. 8. Sharon S. Yang*, Hong-Chih Huang, Yu-Yen Yeh, 2015/09, Analysis of Optimal Hedging Strategies for Dealing Longevity Risk and Catastrophic Mortality Risk, Eleventh International Longevity Risk and Capital Markets Solutions Conference, (NSC H MY3) 7

8 9. Sharon S. Yang*, Jack C. Yue, Yu-Yen Yeh, 2015/06, Modeling Longevity Risk in Emerging Market: Mortality Homogeneity or Mortality Heterogeneity, 2015 Insurance Risk & Finance Research Conference (IRFRC), Singapore. 10. Sharon S. Yang*, Chang-Chung Chang, Jr-Wei Huang, 2014/12 Modeling Temperature Behaviors: Application to Weather Derivative Valuation, Taiwan Risk and Insurance, 台灣風 險與保險學會第八屆年會暨學術研討會, 逢甲大學. 11. Sharon S. Yang* and Yu-Yun Yeh, Pricing Joint-Life Reverse Mortgage and Non-Recourse Provisions Considering Mortality Dependence: a Copula Approach, 台灣風險與保險學會第 八屆年會暨學術研討會, 逢甲大學. 12. Sharon S. Yang*, Hong-Chih Huang, Jin-Kuo Jung, 2014/09, Basis Risk and Optimal longevity hedging framework for Insurance Company, Tenth International Longevity Risk and Capital Markets Solutions Conference, (NSC H MY3) 13. Sharon S. Yang, Hong-Chih Huang, Fen-Ying Chen*, 2014/09, Pricing Inflation-Linked Longevity Bonds Considering Interest Rate and Longevity Risk in the HJM Framework, Tenth International Longevity Risk and Capital Markets Solutions Conference,(NSC H MY3) 14. Sharon S. Yang*, Jack C. Yue, Pei-Wen Hsieh, 2014/09, Mortality Compression and Its Impact on Managing Longevity Risk, Tenth International Longevity Risk and Capital Markets Solutions Conference 15. Sharon S. Yang*, Yu-Yun Yeh, 2014/07, Pricing Joint-Life Reverse Mortgage and Non-Recourse Provisions Considering Mortality Dependence: a Copula Approach, Actuarial Research Conference Yang, Sharon S., Hong-Chih Huang, Chouwen Wang (2013,09), Modeling Multi-Country Mortality Dependence and Its Application in Pricing Survivor Swaps: A Dynamic Copula Approach, 9 th International Longevity Risk and Capital Markets Solutions Conference, Sep. 6-7, Beijing, China. 17. Chen, Fen-Ying, Hong-chih Huang, Sharon S. Yang (2013,09), Modeling Infectious Mortality Risk with Application to Mortality Security Pricing, 9 th International Longevity Risk and Capital Markets Solutions Conference, Sep. 6-7, Beijing, China. 18. Yang, Sharon S. and Hung-Yi Huang (2013, 07), The Impact of Ownership Structure on the Dynamics of Growth and Profitability: an Example of U.K. Non-Life Insurance Industry, 8

9 Annual Conference of the Asia-Pacific Risk Management and Insurance Association, July 28-31, New York, U.S Chang, Chuang-Chang, Yang, Sharon S., Jr-Wei Huang and Tzu-Yu Huang (2013,06), The Valuation of Temperature Derivatives: The Case for Taiwan, The Second International Agricultural Risk, Finance and Insurance Conference, June 16-18, Vancouver, British Columbia, Canada. 20. Yang, Sharon S., Jr-Wei Huang and Hui-Shan Wei (2012,11), Discussion of the EUA and Energy Commodity Relationship under the Dynamic Conditional Correlation Model, 6th International Congress on Taiwan Risk and Insurance Association, November 24, Jhongli, Taiwan. 21. Yang, Sharon S., Chuang-Chang Chang and Jr-Wei Huang (2012,06), Long Memory in Temperature: Detection, Modeling, and Application to Weather Insurance, 16th International Congress on Insurance: Mathematics and Economics, June 28-30, Hong Kong. 22. Yang, Sharon S., Ting-Pin Wu and Yu-Yun Yeh (2012,06), Valuation Inflation-linked Annuity using an HJM Model, 16th International Congress on Insurance: Mathematics and Economics, June 28-30, Hongkong. 23. Yang, Sharon S. and Tian-Shyr Dai (2012,06), A Flexible Tree for Evaluating Guaranteed Minimum Withdrawal Benefits with a Surrender Option under a Stochastic Interest Rate Environment, 16th International Congress on Insurance: Mathematics and Economics, June 28-30, Hongkong. 24. Yang, Sharon S. and Tian-Shyr Dai (2012, 01), A Flexible Tree for Evaluating Guaranteed Minimum Withdrawal Benefits for Deferred Life Annuities Contracts with a Surrender Option, Western Risk and Insurance Association 46th Annual Meeting, Jan. 4-7, Konan, Hawaii. 25. Yang, Sharon S. and Chi-Wei Huang(2011,09), Panel Co-integration Analysis of the Short-Run and Long-Run Relationships for a Multi-Country Mortality Index, 7 th International Longevity Risk and Capital Markets Solutions Conference, Sep. 8-9, Frankfurt, Germany. 26. Yang, Sharon S., Jack C. Yue, Yu-Yun Yeh(2011, 01), Coherent Mortality Modeling of Period and Cohort Effects for a Group of Populations, (Funding by Society of Actuaries)(The 2010 living to 100 and Beyond Symposium) 27. Yang, Sharon S.(2010, 17), Pricing Reverse Mortgage Insurance and Non-Recursion Provision under ARMA-GARCH-Lévy Processes, 中國統計學會年會, 中央大學, 中壢 9

10 28. Yang, Sharon S. and Chi-Hung Lee (2010, 12), Pricing Reverse Mortgage for Dependent Lives using a Copula Approach, 台灣風險與保險學會第四屆年會暨學術研討會, 淡江大 學, 台北 29. Yang, Sharon S.(2010,09), Pricing Securitization and Tranching Longevity and House Price Risk for Reverse Mortgages, 6 th International Longevity Risk and Capital Markets Solutions Conference, Sep. 9-10, Sydney, Australia. 30. Chang, Chuang-Chang, Sharon S. Yang and Chih-Wei Huang( ), Pricing No-Negative-Equity-Guarantee for Equity Release Products under a Dynamic Jump GARCH Model, 14th International Congress on Insurance: Mathematics and Economics, June 17-19, 2010, University of Toronto. 31. Tieng, J. and Sharon S. Yang( ), The Determinants of Life Insurer s Growth in Taiwan: Domestic v.s. Foreign Insurance Firms, 第五屆中國保險教育論壇, 廈門大學, 廈門 32. Yang, Sharon S., Jack C. Yue, Yi-Ping Chang, Yu-Yun Yeh ( ), Modeling Coherent Mortality Forecasts using the Framework of Lee-Carter Model, The 5 th International Longevity Risk and Capital Markets Solutions Conference, New York. (Sep , 2009) 33. 楊曉文和唐俊華 (2009.6), 退休年齡選擇下確定提撥退休金制度收益率保證之評價, 2009 台灣財務金融學會年會暨國際學術研討會, 國立中央大學, 中壢 34. 楊曉文和劉議謙 ( ), Valuation of Guaranteed Minimum Withdrawal Benefits for Insurance Products, 台灣風險與保險學會第二屆年會暨國際學術研討會議程, 國立高雄 第一科技大學, 高雄 35. 楊曉文 ( ), 商品設計 模型風險與附保證投資型保險風險評估之模擬分析, 廈 門第四屆海峽西岸經濟區建設論壇, 廈門 (12/15-16, 2008) 36. Yang, Sharon S., Jack C. Yue, Hong-chih Huang ( ), Modeling Longevity Risk: An Empirical Study and Applications, Risk Seminar, National Chengchi University.(Oct. 14, 2008). 37. Yang, Sharon S., Jack C. Yue, Hong-chih Huang ( ), Modeling Longevity Risk: An Empirical Study, The 4 th International Longevity Risk and Capital Markets Solutions Conference, Amsterdam. (Sep , 2008) 38. Yang, Sharon S., Hong-chich Huang and Yung-Tsung Lee ( ), Managing Longevity Risk via Optimal Asset Allocation Strategy under a Defined Contribution Pension Plan, 12 th APRIA ANNUAL CONFERENCE, SYDNEY (JULY 6 9, 2008). 10

11 39. Yang, Sharon S., Yi-Pi Chang and Yu-Yun Yeh ( ), A Residual Bootstrapped Analysis of Lee-Carter Model in Mortality Forecasting, 12 th APRIA ANNUAL CONFERENCE, SYDNEY (JULY 6 9, 2008). 40. Jack C. Yue, Yang, Sharon S., and Hong-chich Huang ( ), Lee-Carter Model with Jumps, "Living to 100: Survival to Advanced Ages" Symposia, Society of Actuaries, Florida, USA. (Funding by Society of Actuaries)(The 2008 living to 100 and Beyond Symposium on line monograph.) 41. Lin, Chung-Gee, Sharon S. Yang and Kan-Heng Lee( ), Valuation of Equity Indexed Annuities Embedded Options under Stochastic Volatility Settings, the First Annual Meeting of Taiwan risk management and Insurance Association, Feng-chia University, Taiwan. 42. Ho, Hwai-Huang, Sharon S. Yang and Fang-I Liu ( ), The Effect of Long-memory Stochastic Volatility on Analysis of Confidence Interval for VaR Measure, the First Annual Meeting of Taiwan risk management and Insurance Association, Feng-chia University, Taiwan. 43. Liao, Hsien-hsing, Sharon S. Yang, Yi-hsin Huang(2007.7), The Design of Securitization for Longevity Risk: Pricing under Stochastic Mortality Model with Tranche Technique, the 11 th Annual APRIA Conference, Taipei, Taiwan. 44. Huang, H-C., Sharon S. Yang, Jennifer L. Wang, Jeff T. Tsai,(2007.7), An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach, The 3 rd longevity Symposium., Taipei, Taiwan. 45. Yang, Sharon S, Meng-Lan Yueh, Chun-Hua Tang (2007.7), Pricing and Hedging the Embedded Interest-Rate Guarantees under a Defined Contribution Plans, the 11th International Congress on Insurance: Mathematics and Economics, Piraeus, Greece. 46. Lin Chung-Gee, Sharon S. Yang and Kan-Heng Lee (2007.6), Valuation of Equity Indexed Annuities Embedded Options under Stochastic Volatility Settings, 2007 兩岸學術交流研討, Soochow University, Soochow City, China. 47. Yang, Sharon S., Huang, H.C.and Lee, Yung-Tsung (2006.8), Longevity Risk and Optimal Asset Allocation for a Defined Contribution Pension Plan, Asia-Pacific Risk Management and Insurance Association, 10 th Annual Conference, Tokyo. 48. 楊曉文 黃泓智 黃麗容 (2006.6), 投資策略 清償能力與分紅保單公平定價之研究, 保險與風險國際研討會, 政治大學, 台北 11

12 49. 黃泓智 余清祥 楊曉文 許鳴遠 (2006.5), 台灣人口死亡率模型之探討 :Reduction Factor 模型的實證研究,2006 年臺灣人口學會學術研討會 二十一世紀的臺灣人口與 社會發展, 政治大學, 台北 50. 楊曉文 余清祥 黃泓智 何正羽 (2006.5), 高齡人口 Gompertz 死亡率推估模型之 建構與應用,2006 年臺灣人口學會學術研討會 二十一世紀的臺灣人口與社會發展, 政治大學, 台北 51. 楊曉文 唐俊華 (2006.5), 勞退新制下收益率保證交換選擇權價值之評價 : 考慮處分 效果, 第三屆保險精算與統計學術研討會, 真理大學, 台北 52. 楊曉文 唐俊華 (2006.5), 勞退新制下收益率保證交換選擇權價值之評價 : 考慮處分 效果,2006 台灣財務金融學會年會暨財務金融保險不動產學術研討會, 世新大學, 台 北 53. Yang, Sharon S. and Tang, Daniel C.( ), The Design and Pricing for Bermudan-Style Guaranteed Annuity Options, 2005 International Conference on Business and Finance, Tamkang University, Tamsui Campus & Lanyang Campus, December 16~ 王儷玲 楊曉文 黃泓智 (2005.6), 勞退新制下個人帳戶制與年金保險制之所得替代率分析, 勞工退休金條例研討會議程, 台北大學, 台北 55. Yang, Sharon S. and Huang, H-C(2005.6), Optimal Contribution Rate and Asset Allocation for Defined Contribution Pension Plan Incorporating Longevity Risk, Risk Management and Insurance Conference, The Fifth Risk Management Theory Seminar, National Cheng-Chi University, Taipei. 56. 楊曉文和張孝旭 (2005.6), 勞退新制下變額年金保險之收益率保證風險評估與資本適足性之研究,2005 兩岸學術交流研討會, 蘇州大學, 大陸蘇州 57. 楊曉文和田峻吉 ( ), 司資產成長與公司規模之實證研究 : 以台灣壽險公司為 例,2005 國際危險與保險研討會, 淡江大學保險系, 台北 58. Huang, H-C, Yang, Sharon S. and Lee, E-T ( ), The Use of Stochastic Simulation to Modeling and Valuation of Guarantees with Investment-linked Contracts, 附保證給付投資 型保險準備金與最適資本研討會, 政治大學風險管理與保險系主辦, 台北 59. Yang, Sharon S.(2004.6)A Stochastic Mortality Model and Its Application in Analyzing Mortality Risk for Guaranteed Annuity Options, 國際風險與保險管理大會, 台北 12

13 60. 楊曉文 (2003.7), 同調風險衡量值在保證給付投資型保險風險管理上之應用,2003 國際危險與保險研討會, 淡江大學保險系, 台北 科技部研究計畫 年度科技部專題研究計畫, 風險聚集與跨區風險相關架構下反向抵押貸款商品定價及風險評估, 計畫主持人 [MOST H MY3] 年度國科會專題研究計畫, 保險公司及退休金制度長壽風險避險策略之研究, 計畫主持人 [NSC H MY3] 年度國科會專題研究計畫, 退休基金投資及避險策略: 波動度指數特性分析, 模型建構與 VIX 衍生商品之評價, 計畫主持人 [NSC H MY3] 年度國科會專題研究計畫, 長壽風險模型之建構與應用, 計畫主持人 [NSC H MY3] 年度國科會專題研究計畫, 能源價格與能源衍生性商品之探討, 共同計畫主持人 年度國科會專題研究計畫, 保險業之風險管理與市場一致性評價方法之研究, 計畫主持人 [NSC H MY2] 7. 九十六學年度國科會專題研究計畫, 分區分級颱洪災害保險制度下風險衡量與合理保費之分析, 計畫主持人 [ Z ] 8. 九十五學年度國科會專題研究計畫, 分區分級颱洪災害保險制度下風險衡量與合理保費之分析, 計畫主持人 [NSC Z ] 9. 九十四學年度國科會專題研究計畫, 確定提撥制下之最適投資策略: 同調風險衡量的方法, 計畫主持人 [NSC H ] 10. 九十三學年度國科會專題研究計畫, 分紅保單之財務精算研究, 計畫主持人 [NSC H ] 11. 九十二學年度國科會專題研究計畫, 投資型保險保證給付收費定價之研究: 隨機現金流量預測, 計畫主持人 [NSC H ] 12. 九十一學年度國科會專題研究計畫, 風險測量值在保證給付權益連結保險準備金提存之應用 計畫主持人 [NSC H ] 13

14 政府及產業研究計畫 年度保險安定基金, 保險安定基金之提撥 合理規模 運用與管理之研究, 協同計畫主持人 (106/06/16-107/04/15) 年度行政院金融監督管理委員會保險局, 保險業資金運用之監理政策研究, 協同計畫主持人 (106/05/01-106/12/10) 年度保險安定基金, 建立我國保險業清償能力與財業務監理指標與分析模型之實證研究, 協同計畫主持人 年度保險事業發展中心, 經濟資本- 經濟情境產出之研究 年度行政院金融監督管理委員會保險局, 壽險業簽證報告覆閱, 協同計畫主持人 (104/05-104/10) 年度行政院金融監督管理委員會保險局, 壽險業簽證報告覆閱, 協同計畫主持人 (103/05-103/10) 年度行政院金融監督管理委員會保險局, 壽險業簽證報告覆閱, 協同計畫主持人 (102/05-102/10) 年度行政院金融監督管理委員會保險局, 壽險業簽證報告覆閱, 協同計畫主持人 (101/05-101/10) 年度內政部, 不動產逆向抵押貸款制度風險預測及可貸乘數, 協同計畫主持人 (101/4-101/10) 年度勞工保險局, 國民年金保險費率精算及財務評估, 協同計畫主持人 (100/10-101/07) 年度行政院金融監督管理委員會保險局, 壽險業簽證報告覆閱, 協同計畫主持人 (100/06-100/10) 12. 九十九年度銓敘部退撫司, 公務人員退撫制度採行雙層制之制度設計及成本分析研究, 協同計畫主持人 (99/06-99/12) 13. 九十九年度行政院金融監督管理委員會保險局, 壽險業簽證報告覆閱, 協同計畫主持人 (99/06-99/10) 14. 九十九年度教育部, 國立大學法人化退撫制度規劃及精算研究案, 協同計畫主持人 (99/01-99/06) 15. 九十八年度勞工保險局, 國民年金保險費率精算及財務評估, 協同計畫主持人 (98/10-99/07) 14

15 16. 九十八年度財團法人保險事業發展中心, 長壽風險對壽險業之經營影響及因應策略 報告, 共同計畫主持人 (98/07-98/12) 17. 九十八年度銓敘部退撫司, 先進國家公務人員退撫制度之研究, 研究員 (98/07-98/12) 18. 九十八年度行政院金融監督管理委員會保險局, 壽險業簽證報告覆閱, 協同計畫主持人 (98/06-98/10) 19. 九十八年度臺灣證券交易所, 金融服務業薪酬制度連結績效與風險之研究, 共同計畫主持人 (98/04-98/09) 20. 九十八年度財團法人保險事業發展中心精算處, 分紅保險商品市場及清償能力監理規範研究 報告 (98/01-98/02) 21. 九十七年度行政院金融監督管理委員會保險局, 投資型保險監理之研究, 共同計畫主持人 (97/011-98/06) 22. 九十七年度行政院金融監督管理委員會保險局, 壽險業簽證報告覆閱, 計畫協同主持人 (97/06-97/10) 23. 九十六年度銓敘部退撫司委託, 確定提撥帳戶下賦稅優惠設計之研究, 計畫協同主持人 (96/12-97/07) 24. 九十六年度行政院金融監督管理委員會保險局, 附保證給付投資型保險商品監理之研究, 計畫主持人 (96/08-97/02) 25. 九十六年度行政院金融監督管理委員會保險局, 壽險業準備金適足性採隨機模式檢測- 各國監理規範之研究及研擬我國監理規範之建議, 計畫主持人 (96/04-97/01) 26. 九十六年度行政院金融監督管理委員會保險局, 壽險業簽證報告覆閱, 研究員 (96/06-96/10) 27. 九十五年度行政院金融監督管理委員會保險局, 因應高齡化社會保險商品發展及其監理與相關稅賦配套之研究, 計畫研究員 ( 95/08-95/12) 28. 九十五年度保險事業發展中心, 檢討壽險特別準備金相關問題 專案小組, 計畫協同主持人 (95/03-95/08) 29. 九十四年度行政院金融監督管理委員會保險局, 利率變動環境下人身保險商品發展策略之研究, 計畫協同主持人 (94/11-95/07) 30. 九十四年度行政院金融監督管理委員會銀行局, 金融控股公司建立集團內交易風險管理機制之研究, 計畫協同主持人 (94/10-95/05) 15

16 31. 九十三年度銓敘部退撫司, 公務人員退休制度兼採節約儲蓄制之可行性研究, 計畫研究 員 (93/06-93/12) 專案審查經歷 ( 近年 ) 保發事業發展中心, 年度人身保險新契約責任準備金利率自動調整精算公式 檢視專案會議 (2016/08, 2017/09) 勞動部 新 舊制勞工退休基金及勞工保險基金 106 年度第 1 次國內投資 ( 絕對報酬類型 ) 委託經營業務, 計畫審查委員 (2017/03) 郵局 郵政壽險通路制度 研究案期中 期末審查委員 (2016/10, 2017/04) 保險事業發展中心, 健康保險定價- 廣義線性模型 GLM 的應用, 計畫審查委員 (2017/02) 保險安定基金 強化保險業國外投資之匯率風險管理與監理機制之研究 研究案期中 期末審查委員 (2016/07, 2017/01) 保險局 建立評估保險業所面臨國內外利率短期波動模型風險之模型 研究案期中 期末審查委員 (2011/12, 2012/04) 16