楊曉文
Status Full-time
Name 楊曉文
Email
Office Tel No. 81221
Job Title Professor
Year Paper Title
2024 Jr-Wei Huang;Sharon S.Yang*;Hung-Wen Cheng, 2024.09, 'Conditional volatility targeting strategy considering jump effects: Evidence from sustainable ESG equity index, ' Pacific-Basin Finance Journal, pp.Online.(SSCI)(*為通訊作者), vol. 127096, Sep. 2024
2024 Sharon S. Yang;Jr-Wei Huang;Wei-Hsien Li*, 2024.04, 'Institutional investor stewardship and material sustainability information: Evidence from Taiwan, ' Pacific-Basin Finance Journal, pp.published online.(SSCI)(*為通訊作者), vol. 126093, Apr. 2024
2023 Min-Rui Choo*;Wei-Che Tsai;Yu-Jen Hsiao;Sharon S. Yang, 2023.10, 'Financial Literacy and Robo-Advisor Adoption: Evidence from Taiwan, ' 管理評論, Vol.42, No.4, pp.19-42.(TSSCI)(*為通訊作者), vol. 108143, Oct. 2023
2023 黃品舜;封之遠*;楊曉文, 2023.08, 'The Impact of Corporate Social Responsibility on Equity Offerings: Evidence from Taiwan, ' 中山管理評論,.(TSSCI)(*為通訊作者)(本論著未刊登但已被接受), vol. 112125, Aug. 2023
2023 Tian-Shyr Dai;Liang-Chih Liu;Sharon S. Yang*, 2023.07, 'Pricing tenure payment reverse mortgages with optimal exercised prepayment options by accounting for house prices, interest rates, and mortality risk, ' Quantitative Finance, pp.published online.(SSCI)(*為通訊作者), vol. 108130, Jul. 2023
2022 Fen-Ying Chen;Sharon S. Yang*;Hong-Chih Huang, 2022.06, 'Modeling Pandemic Mortality Risk and its Application to Mortality- Linked Security Pricing, ' Insurance Mathematics and Economics, Vol.106, pp.341-363.(SSCI)(*為通訊作者), vol. 438052, Jun. 2022
2022 Hong-Yi Chen*;Chun-Huei Hsu;Sharon S. Yang, 2022.03, 'ESG Momentum Strategies: A Comparison between Taiwanese and Japanese Markets, ' Advances in Pacific Basin Business, Economics and Finance, Vol.10, pp.91-110.(SSCI)(*為通訊作者), vol. 434721, Mar. 2022
2021 朱民芮;蔡維哲;楊曉文*;鄞齊, 2021.09, '以基本面分析強化社會責任投資績效, ' 證券市場發展季刊, Vol.33, No.3, pp.1-42.(TSSCI)(*為通訊作者), vol. 433483, Sep. 2021
2021 Jr-Wei Huang;Sharon. S. Yang*;Chuang-Chang Chang, 2021.08, 'Modeling Housing Price Dynamics and Their Impact on the Cost of No-Negative-Equity- Guarantees for Equity Releasing Products, ' Journal of Real Estate Finance and Economics, Vol.63, pp.249-279.(SSCI)(*為通訊作者), vol. 427064, Aug. 2021
2021 Jr-Wei Huang;Sharon. S. Yang*;Chuang-Chang Chang, 2021.07, 'Model Risk on Risk Analysis for No-Negative-Equity-Guarantees, ' The Journal of Derivatives, Vol.28, No.4, pp.87-110.(SSCI)(*為通訊作者), vol. 427677, Jul. 2021
2021 Fen-Ying Chen*;Sharon S. Yang;Hong-Chih Huang, 2021.03, 'Valuation of Non-Negative-Equity Guarantees Considering Contagion Risk of House Prices under the HJM Interest Rate Model, ' Quantitative Finance, Vol.21, No.9, pp.1551-1565.(SSCI)(*為通訊作者), vol. 430110, Mar. 2021
2020 Hong-Yi Chen;Sharon. S. Yang*, 2020.08, 'Do Investors Exaggerate Corporate ESG Information? Evidence from the ESG Momentum Effect in the Taiwanese Market, ' Pacific-Basin Finance Journal, Vol.63, pp.101407.(SSCI)(*為通訊作者), vol. 427679, Aug. 2020
2020 Sharon S. Yang;Chou-Wen Wang;I-Chien Liu*, 2020.03, 'Analytic Formulae for Valuing Guaranteed Minimum Withdrawal Benefits in a Multi-Asset Framework, ' Journal of Financial Studies, Vol.28, No.1, pp.1-25.(TSSCI)(*為通訊作者), vol. 425115, Mar. 2020
2019 Sharon S. Yang*;Yu-Yun Yeh;Jack C. Yue;Hong-Chih Huang, 2019.12, 'Understanding Patterns of Mortality Homogeneity and Heterogeneity across Countries and their Role in Modelling Mortality Dynamics and Hedging Longevity Risk, ' North American Actuarial Journal, pp.Published online.(EconLit)(*為通訊作者), vol. 425116, Dec. 2019
2019 Sharon S. Yang*;Hong-Chih Huang;Yu-Yun Yeh, 2019.09, 'Optimal Longevity Hedging Framework for Insurance Companies Considering Basis and Mispricing Risks, ' The Journal of Risk and Insurance, Vol.86, No.3, pp.783-805.(SSCI)(*為通訊作者), vol. 425114, Sep. 2019
2018 Jr-Wei Huang;Sharon S. Yang*;Chuang-Chang Chang, 2018.05, 'Modeling Temperature Behaviors: Application to Weather Derivative Valuation, ' Journal of Futures Markets, Vol.38, No.9, pp.1152-1175.(SSCI)(*為通訊作者), vol. 425126, May. 2018
2018 陳芬英*;楊曉文;黃泓智, 2018, 'The Effect of Inflation on the Cost of Inflation-linked Annuities Considering Stochastic Interest Rate and Inflation Rate Models, ' NTU Management Review, pp.29-60.(TSSCI)(*為通訊作者), vol. 425127, 2018
2017 Jr-Wei Huang;Sharon S. Yang*, 2017.06, 'Detecting Causality and Long-Run Equilibrium Relationships of Mortality Rates across Countries for Developing Mortality-linked Securities, ' Academia Economic Papers, Vol.42, No.2, pp.251-278.(TSSCI)(*為通訊作者), vol. 425130, Jun. 2017
2017 王儷玲;黃泓智*;楊曉文;陳彥志;鄭惠恒, 2017, 'Pension Reform and Building a Sustainable Pension System in Taiwan, ' Taiwan Economic Forecast and Policy, Vol.48, No.1, pp.1-39.(TSSCI)(*為通訊作者), vol. 425129, 2017
2017 Chou-Wen Wang;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, Vol.17, No.10, pp.1567-1581.(SSCI)(*為通訊作者), vol. 425128, 2017
2016 Chuang-Chang Chang;Sharon S. Yang;Tzu-Yu Huang;Jr-Wei Huang, 2016.06, 'The Valuation of Temperature Derivatives: The Case for Taiwan, ' Journal of Financial Studies, Vol.24, No.2, pp.21-49.(TSSCI), vol. 425132, Jun. 2016
2016 Sharon S. Yang*;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, Vol.16, No.5, pp.749-762.(SSCI)(*為通訊作者), vol. 425131, 2016
2015 Sharon S. Yang*;Yu-Yun Yeh, 2015, 'Analysis of the Efficient Frontier for Life Settlements in the Presence of Longevity Risk, ' Journal of Financial Studies, Vol.23, No.1, pp.1-29.(TSSCI)(*為通訊作者), vol. 425136, 2015
2015 楊曉文*;黃雅文, 2015, 'A Simulation Study of Risk Measure and Dynamic Financial Analysis for Flood Insurance: An Example of Taiwan Keelung River District, ' NTU Management Review, Vol.25, No.2, pp.83-118.(TSSCI)(*為通訊作者), vol. 425135, 2015
2015 Chou-Wen Wang;Sharon S. Yang*;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, Vol.63, pp.30-39.(SSCI)(*為通訊作者), vol. 425134, 2015
2015 Tian-Shyr Dai;Sharon S Yang*;Liang-Chih Liu, 2015, 'Pricing Guaranteed Minimum/Lifetime Withdrawal Benefits with Various Provisions under Investment, Interest Rate and Mortality Risks, ' Insurance Mathematics and Economics, Vol.64, pp.364-379.(SSCI)(*為通訊作者), vol. 425133, 2015
2014 楊曉文*, 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, pp.1-24.(SSCI)(*為通訊作者), vol. 425139, 2014
2014 楊曉文*, 2014, 'Price bounds of mortality-linked security in incomplete insurance market, ' Insurance: Mathematics and Economics, pp.30-39.(SSCI)(*為通訊作者), vol. 425138, 2014
2014 Vivian S. C. Jeng*;Sharon S. Yang, 2014, 'A new look at the dynamic interrelationship between growth and profitability in the Chinese property liability insurance industry, ' Academia Economic Papers, pp.369-401.(TSSCI)(*為通訊作者), vol. 425137, 2014
2013 楊曉文*, 2013, 'Pricing Survivor Derivatives with Cohort Mortality Dependence under the Lee-Carter Framework, ' Journal of Risk and Insurance, pp.157-169.(SSCI)(*為通訊作者), vol. 425142, 2013
2013 楊曉文*, 2013, 'Pricing and Securitization of Multi-country Longevity Risk with Mortality Dependence, ' Insurance Mathematics and Economics, pp.157-169.(SSCI)(*為通訊作者), vol. 425141, 2013
2013 楊曉文*, 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, pp.231-242.(SSCI)(*為通訊作者), vol. 425140, 2013
2012 楊曉文*, 2012, 'Valuation of Rate of Return Guarantees under a Defined Contribution Pension Plan Considering the Choice of Retirement Age, ' Journal of Financial Studies, pp.91-113.(TSSCI)(*為通訊作者), vol. 425143, 2012
2011 楊曉文*, 2011, 'Securitization and Tranching Longevity and House Price Risk for Reverse Mortgage Products, ' The Geneva Papers on Risk and Insurance - Issues and Practice, pp.648-674.(SSCI)(*為通訊作者), vol. 425144, 2011
2010 楊曉文*, 2010, 'Modeling Longevity Risks using a Principal Component Approach: A Comparison with Existing Stochastic Mortality Models, ' Insurance Mathematics and Economics, pp.254-270.(SSCI)(*為通訊作者), vol. 425147, 2010
2010 楊曉文*, 2010, 'An Optimal Product Mix for Hedging Longevity Risk in Life Insurance Companies: The Immunization Theory Approach, ' Journal of Risk and Insurance, pp.473-497.(SSCI)(*為通訊作者), vol. 425146, 2010
2010 楊曉文*, 2010, 'Evaluating Quantile Reserve for Equity-Linked Insurance under a Stochastic Volatility Model: Long-Memory vs. Short-Memory, ' ASTIN Bulletin, pp.669-698.(SSCI)(*為通訊作者), vol. 425145, 2010
2009 楊曉文*, 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, pp.660-681.(SSCI)(*為通訊作者), vol. 425148, 2009
Project Category Year Project Title Participator Job Title Period Unit
MOST Projects 112 考量ESG重大性及評分差異性在退休基金及保險公司發展ESG永續投資策略之探討(3/3) YANG SHARON S. Principal Investigator 2025.08 ~ 2026.07 National Science and Technology Council
MOST Projects 112 考量ESG重大性及評分差異性在退休基金及保險公司發展ESG永續投資策略之探討(2/3) YANG SHARON S. Principal Investigator 2024.08 ~ 2026.07 National Science and Technology Council
Other Projects 113 退休觀察生態指標專案 HUANG HONG-CHIH,YANG SHARON S. 2024.03 ~ 2024.12
Other Projects 113 千禧世代數位理財行為認知與影響 YANG SHARON S. Principal Investigator 2024.01 ~ 2024.12
MOST Projects 112 考量ESG重大性及評分差異性在退休基金及保險公司發展ESG永續投資策略之探討(1/3) YANG SHARON S. Principal Investigator 2023.08 ~ 2026.07 National Science and Technology Council
Other Projects 112 退休觀察生態指標專案 HUANG HONG-CHIH,YANG SHARON S. 2023.01 ~ 2023.12
Other Projects 112 永續金融產學專案 YANG SHARON S. Principal Investigator 2023.01 ~ 2023.12
Other Projects 112 SDGs(聯合國永續發展目標)投資及退休調查專案 YANG SHARON S. Principal Investigator 2023.01 ~ 2023.12
MOST Projects 110 高齡社會保單貼現創新金融商品在投資及避險效益上之研究(2/2) YANG SHARON S. Principal Investigator 2022.08 ~ 2025.01 National Science and Technology Council
Other Projects 111 全球推動永續金融政策之經驗及效應研析 YANG SHARON S.,HUANG HONG-CHIH Principal Investigator 2022.06 ~ 2023.01
Other Projects 111 退休觀察生態指標專案 HUANG HONG-CHIH,YANG SHARON S. 2022.01 ~ 2022.12
Other Projects 111 ESG/永續金融 YANG SHARON S. Principal Investigator 2022.01 ~ 2022.12
Other Projects 111 影響力投資及退休調查專案 YANG SHARON S. Principal Investigator 2022.01 ~ 2022.12
MOST Projects 110 高齡社會保單貼現創新金融商品在投資及避險效益上之研究(1/2) YANG SHARON S. Principal Investigator 2021.08 ~ 2025.01 National Science and Technology Council
MOST Projects 108 考量監理資本要求下附保終身提領給付商品最適避險與投資策略之研究(3/3) YANG SHARON S. Principal Investigator 2021.08 ~ 2023.08 National Science and Technology Council
Other Projects 110 退休觀察生態指標專案 HUANG HONG-CHIH,YANG SHARON S. 2021.04 ~ 2021.12
Other Projects 110 台灣發展綠色金融之契機與挑戰 YANG SHARON S.,HUANG HONG-CHIH Principal Investigator 2021.01 ~ 2021.06
Other Projects 110 ESG/永續金融 YANG SHARON S. Principal Investigator 2021.01 ~ 2021.12
Other Projects 109 附保證投資型保險商品的設計與評價 HSIEH MING-HUA,TSAI CHENG-HSIEN,PENG JIN-LUNG,YANG SHARON S. 2020.10 ~ 2021.06
MOST Projects 108 考量監理資本要求下附保終身提領給付商品最適避險與投資策略之研究(2/3) YANG SHARON S. Principal Investigator 2020.08 ~ 2023.08 National Science and Technology Council
Other Projects 109 退休觀察生態指標專案 HUANG HONG-CHIH,YANG SHARON S. 2020.04 ~ 2020.12
Other Projects 109 永續金融產學專案 YANG SHARON S.,LIN SHIH-KUEI,CHIANG MI-HSIU,HUANG HONG-CHIH,CHEN HONG-YI Principal Investigator 2020.02 ~ 2020.11
Other Projects 109 「投資型勞退企業年金保險商品」研究案 YANG SHARON S.,HUANG HONG-CHIH Principal Investigator 2020.01 ~ 2020.05
Other Projects 108 GMXB商品風險評估之情境開發 YANG SHARON S.,LIN SHIH-KUEI,HUANG HONG-CHIH Principal Investigator 2019.11 ~ 2020.06
Other Projects 108 國際財務報導準則IFRS17號公報下壽險業的商品策略分析研究案 HUANG HONG-CHIH,TSAI CHENG-HSIEN,PENG JIN-LUNG,YANG SHARON S. 2019.08 ~ 2020.03
MOST Projects 108 考量監理資本要求下附保證終身提領給付商品最適避險與投資策略之研究(1/3) YANG SHARON S. Principal Investigator 2019.08 ~ 2023.08 National Science and Technology Council
MOST Projects 105 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(3/3) YANG SHARON S. Principal Investigator 2018.08 ~ 2020.07 National Science and Technology Council
MOST Projects 106 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(1/3) 楊曉文 Principal Investigator 2017.08 ~ 2018.07 國立中央大學
MOST Projects 105 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(2/3) 楊曉文 Principal Investigator 2016.08 ~ 2017.07 國立中央大學
MOST Projects 104 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(3/3) 楊曉文 Principal Investigator 2015.08 ~ 2016.07 國立中央大學
MOST Projects 104 保險公司及退休金制度長壽風險避險策略之研究(3/3) 楊曉文 Principal Investigator 2015.08 ~ 2016.07 國立中央大學
MOST Projects 103 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(2/3) 楊曉文 Principal Investigator 2014.08 ~ 2015.07 國立中央大學
MOST Projects 103 保險公司及退休金制度長壽風險避險策略之研究(2/3) 楊曉文 Principal Investigator 2014.08 ~ 2015.07 國立中央大學
MOST Projects 102 保險公司及退休金制度長壽風險避險策略之研究(1/3) 楊曉文 Principal Investigator 2013.08 ~ 2014.07 國立中央大學
MOST Projects 102 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(1/3) 楊曉文 Principal Investigator 2013.08 ~ 2014.07 國立中央大學
MOST Projects 99 長壽風險模型之建構與應用 楊曉文 Principal Investigator 2010.08 ~ 2012.07 國立中央大學
MOST Projects 97 保險業之風險管理與市場一致性評價方法之研究 楊曉文 Principal Investigator 2008.08 ~ 2010.07 國立中央大學
MOST Projects 96 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 楊曉文 Principal Investigator 2007.08 ~ 2008.07 東吳大學
MOST Projects 95 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 楊曉文 Principal Investigator 2006.08 ~ 2007.07 東吳大學
MOST Projects 94 確定提撥制下之最適投資策略：同調風險衡量的方法 楊曉文 Principal Investigator 2005.08 ~ 2006.07 東吳大學
MOST Projects 93 分紅保單之財務精算研究 楊曉文 Principal Investigator 2004.08 ~ 2005.07 東吳大學
MOST Projects 92 投資型保險保證給付收費定價之研究：隨機現金流量預測 楊曉文 Principal Investigator 2003.08 ~ 2004.07 淡江大學
MOST Projects 91 風險測量值在保證給付權益連結保險準備金提存之應用 楊曉文 Principal Investigator 2002.08 ~ 2003.07 淡江大學
Country School Name Department Degree Duration
UNITED KINGDOM Heriot-Watt University Actuarial Mathematics 博士 1998.07 ~ 2001.11
U.S.A. 愛荷華大學 統計學類 碩士 1995.08 ~ 1997.05
Experience Category Organization Title Department Job Title Duration
Experience 公教人員保險監理會 委員 2022.01 ~ 2023.12
Experience 中央存款保險 諮詢委員 2021.12 ~ 2023.11
Experience 公務人員退休撫卹基金監理委員會 顧問 2021.07 ~ 2023.06
Experience 期貨交易所結算委員會 委員 2021.01 ~ 2022.12
Experience 軍人保險監理會 委員 2020.10 ~ 2022.09
Experience 金融工程暨會計評價學會 監事 2020.07 ~ 2023.08
Experience 國立政治大學商學院NN IP野村投信金融研究中心 中心主任 2020.01 ~ Up to today
Current NATIONAL CHENGCHI UNIVERSITY Department of Money and Banking 教授 2019.08 ~ Up to today
Experience 元大人壽 獨立董事 2019.06 ~ 2022.05
Experience 期貨交易所 紀律委員會 委員 2019.05 ~ 2020.12
Experience 期貨與選擇權期刊 Associate Editor 2019.01 ~ 2023.12
Experience 財團法人金融消費評議中心 諮詢顧問 2019.01 ~ 2022.12
Experience 社團法人台灣財務工程學會 理事 2018.08 ~ Up to today
Experience 台灣退休基金協會 監事及研究小組執行長 2017.06 ~ Up to today
Experience 財團法人保險安定基金 諮詢委員 2015.07 ~ 2021.06
Experience 金融服務業聯合總會 境外結構型商品 審查委員 2010.01 ~ Up to today
Honor Category Year Award Name Awarding Unit
Inside School 112 國科會研究獎勵 科技部(國科會)
Inside School 111 國科會研究獎勵 科技部(國科會)
Inside School 110 國科會研究獎勵 科技部(國科會)
Inside School 109 資深優良教師(20年) 國立政治大學