Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/83345


Title: 保險法中股票投資限制與估計風險之探討
Authors: 郭榮堅
Kuo, Jung-Ching
Contributors: 余清祥
蔡政憲

郭榮堅
Kuo, Jung-Ching
Keywords: 投資限制
保險法
估計誤差
效率前緣
股票
limit of investment
the law of insurance
error of estimation
efficient fronter
stock
estimation risk
Date: 2000
Issue Date: 2016-03-31 16:37:18 (UTC+8)
Abstract: 假設真實輸入參數可以事先預知,實際上,透過平均數-變異數的投資組合量化模式,效率前緣將會往右下方移動。這也意謂倘若保險公司的投資策略有達到效率前緣的情況下,保險法146條的投資上限將使得保險公司的投資報酬率降低,以及投資風險增加。給定投資上限反而降低保險公司的投資績效。然而真實輸入參數並無法事先預知,因此根據過去的經驗資料以及主觀判斷來估計輸入參數將是作為取代真實參數的作法。而估計誤差的存在將勢難避免。同時平均數-變異數模式所決定的投資組合會過度投資在高估投資報酬率以及低估投資風險的股票上,因此估計誤差的影響將是不容忽略。並且保險公司在追求資產極大化的同時,有其必要兼顧到估計誤差的影響。
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Description: 碩士
國立政治大學
風險管理與保險研究所
85358013
Source URI: http://thesis.lib.nccu.edu.tw/record/#A2002002025
Data Type: thesis
Appears in Collections:[風險管理與保險學系] 學位論文

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