人壽保險公司之績效歸因模型分析

Abstract

本研究以Plantinga（2010）對退休金基金所提出之績效歸因模型應用於臺灣的壽險公司，並檢定每單位負債下，壽險公司的資產負債配置不匹配是否會影響到公司的投資收益；以及檢定在公司規模及壽險公司負債成本兩因素做為控制變數之下，資產負債不匹配程度是否會影響到壽險公司的投資報酬率的部分，得到以下結果：\n（一） 在2007年至2012年間，每單位負債下，壽險公司的資產負債配置不匹配會影響到公司的投資收益，且影響為負。\n（二） 壽險公司的盈餘資產積極投資報酬率，與其負債成本間有顯著的正向相關；和公司規模間有正向相關；而與資產負債不匹配程度無明顯的相關性。\n（三） 壽險公司的名目資產積極投資報酬率，與其資產負債不匹配程度有正向相關，但並不非常顯著；而與公司規模無明顯的相關性；與負債成本相關性之間的關係，亦不是非常顯著。\n此研究應用Plantinga（2010）的內部績效衡量的模型，其以每單位負債表示報酬率，更能清楚看出，若在不增加自有資本的前提下，每個績效歸因對公司負債的影響大小，可以做為業界之參考。\n\n關鍵字：資產配置、內部績效、追蹤資料、資產負債不匹配程度

This research of pension fund is conducted based on Plantinga’s (2010) performance attribution model and applied to insurance companies in Taiwan; The research tested how insurance companies investment return per unit of liability and investment rate of return would be affected would be affected under the circumstance of asset-liability-mismatch based on two variables: company size and cost of capital. \nThe result is shown below:\n（i） Under unit liability, the asset-liability allocation has negative effect \non the return of insurer during 2007 to 2012.\n（ii） There is a significant positive relationship between insurer’s cost of liability and surplus asset active return rate; positive relationship between insurer’s liability scale and surplus asset active return rate; no significant relationship between asset-liability mismatch level and \nsurplus asset active return rate.\n（iii） There is a positive but not significant relationship between asset-liability mismatch level and nominal asset active return rate; no significant relationship between insurer’s liability scale and nominal asset active return rate; no significant relationship between insurer’s cost of liability and nominal asset active return rate, either.\nThe research, which is based on Platinga’s (2010) internal performance measurement model, demonstrates the degree of influence on company’s liability disregard of any capital injection. The result can be used as industry reference. \nKey words：asset-liability allocation, internal performance measurement model, asset-liability mismatch level, panel data