政大學術集成


Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/49678


Title: 人壽保險公司之資產配置迷思
Asset allocation puzzle in Taiwan life insurance industry
Authors: 許雅鳳
Contributors: 張士傑
許雅鳳
Keywords: 資產負債管理
策略性資產配置
擬似動態規劃法
asset liability management
strategic asset allocation
quasi-dynamic programming
Date: 2008
Issue Date: 2010-12-08 16:31:15 (UTC+8)
Abstract: 本研究著重於分析發行大量長年期利率敏感型契約、高財務槓桿比例的人壽保險業中公司經理人之投資決策,發現台灣壽險業亦存在Canner et al.(1997)提出之資產配置迷思,亦即風險性資產中債券與股票之比率於不同壽險公司間有差異,與共同基金分離理論中陳述之風險態度不同之投資人所持有之債券與股票比率應相同不相符。本文嘗試以Sorensen(1999)提出之擬似動態規劃法(Quasi- dynamic Programming)最適化到期之效用函數,試算經理人於股票及不同到期固定收益債券之最適持有比例。且詳細探討不同風險偏好及投資期限對於壽險公司投資組合之影響。將業主權益之最適投資策略加上負債之複製投資組合成為策略性資產配置結果,並將其與目前台灣壽險公司之資產配置做比較。研究結果顯示:
1.以擬似動態規畫法求得之最適投資組合於不同風險態度下皆為長期債券以及股票。當經理人之風險趨避程度增加時,投資於股票之比例會減少、投資於債券之比例會增加。
2.比較台灣壽險公司之債券與股票配置比例與本研究之結果發現,本資公司之風險態度較外資公司積極,本資公司應提高其債券之持有比例。
本研究最後以Bajeux-Besnainou et al. (2001)提出之資產配置迷思解釋說明本資公司與外資公司持有之債券與股票比率之所以不同非因資產配置迷思之存在,本資公司與外資公司於風險性資產中持有之債券與股票比率是相同的,但因風險態度較為趨避之公司,投資於風險性資產比率下降、提高避險部位之配置,導致整體之股票與債券比率增加。
關鍵字:資產負債管理、策略性資產配置、擬似動態規劃法。
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Description: 碩士
國立政治大學
風險管理與保險研究所
96358008
97
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0096358008
Data Type: thesis
Appears in Collections:[Department of Risk Management and Insurance] Theses

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