壽險公司資產配置之研究－ 以A人壽為例; Analyzing Asset Allocations of Life Insurers, Based on ‘A Life Insurance’ Experience

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/60843

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Title:	壽險公司資產配置之研究－以A人壽為例;Analyzing Asset Allocations of Life Insurers, Based on ‘A Life Insurance’ Experience
Authors:	陳建儒;Chen,Chien-Lu
Contributors:	財務金融學系在職專班
Keywords:	壽險公司;資產配置;風險值;條件風險值;平均數－條件風險值投資組合模型;平均數－變異數投資組合模型;Life Insurance Industry;Asset Allocation;VaR;CVaR;Mean－CVaR Model;Mean－Variance Portfolio Model
Date:	2013-07-15
Issue Date:	2013-08-22 12:04:29 (UTC+8)
Publisher:	國立中央大學
Abstract:	在經營環境及國際金融局勢惡化下，壽險公司如何在兼顧風險下透過不同的資產配置策略，提高投資收益並降低利差損對公司的不利影響是現行壽險公司經營所面對的主要議題。本研究以A人壽為例，利用歷史模擬法在考量法令限制下以平均數－變異數投資組合模型與平均數－條件風險值投資組合模型建構效率前緣，探討不同模型下資產配置的結果。研究結果顯示在壽險公司資產多元化及所持有資產之相關係數不高，投資組合已分散風險之情況下，平均數－變異數投資組合模型與平均數－條件風險值投資組合模型所產生的最適投資組合相當類似；而壽險公司之配置因考量負債面進行配置，不易因市況做大幅度調整，因此造成現行之資產配置與效率前緣上投資組合配置之差異，而該壽險公司現行之投資組合位於二模型所建構效率前緣之右下角，也就表示若適當的進行投資組合調整在維持與現行投資組合之相同期望報酬下，可降低投資組合之風險或在維持與現行投資組合相同風險下，可提高期望報酬率。 In today’s difficult economic environment and worsening international financial situation, life insurance companies face a major challenge: how to use different asset allocation strategies to increase investment returns and limit the adverse effects of narrowing interest rate spreads, all while accounting for risk. Based on the experience of “A Life Insurance”, this study uses historical simulation, taking into account legal limitations, to define the efficient frontier through the Mean-Variance and Mean-CVaR Portfolio Models and explores different asset allocations under different models. . The study finds that optimal portfolio allocations are similar under the Mean-Variance and Mean-CVaR Portfolio Models if the insurance company’s assets are diversified and their correlation coefficient is not high, i.e. their investment portfolio has already diversified risk. Because a life insurer must take into account liabilities when it allocates assets, it cannot easily make major portfolio adjustments in response to market changes. This results in differences in asset allocations in its existing portfolio and the efficient frontier portfolio. Plotted on a graph, the life insurer’s portfolio allocation is to the lower right of the efficient frontiers generated by the two models, indicating that appropriate adjustments in the portfolio could have positive benefits. If the expected rate of return of the existing portfolio is kept the same, portfolio risk could be lowered, or, if the existing portfolio’s level of risk is maintained, the expected rate of return could be increased.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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