學術產出-Theses
Article View/Open
Publication Export
-
題名 台灣保險業另類投資工具風險控制與監理研究
Risk Management and Regulation on Emerging Alternative Investments of Insurance Companies作者 游儷容
Yu, Li Jung貢獻者 蔡政憲
Tsai, Cheng Hsien
游儷容
Yu, Li Jung關鍵詞 風險值
條件風險值
效率前緣
另類資產
保險監理
Value-at-risk
Conditional Value-at-risk
Efficient Frontier
Alternative Investments
Insurance Regulation日期 2016 上傳時間 2-Aug-2016 17:17:09 (UTC+8) 摘要 台灣壽險業的利差損問題持續存在，但若想要進一步開放新投資項目，應先檢視新投資工具之特性以及研究對應之保險監理規範之修訂。本研究針對國外另類投資進行實證分析，考慮風險與報酬之間的抵換關係(Trade-Off)，以Rockafeller and Uryasev (2000)以及Campbell,Huisman and Koedijk (2001)提出之投資組合模型，建立平均值-風險 值(Mean-Value-at-Risk)之 效 率 前 緣 和 平 均 值-條 件 風 險 值(MeanConditional Value-at-Risk)之效率前緣，探討另類投資對投資組合效率的影響，並檢視相關保險監理規範的適宜性。實證結果顯示不同資產類別(Assets Class)之間的相關性低，加入另類投資的標的能夠提升投資組合的效率，因此建議可以開放一些另類投資的項目，或是設定門檻進行監理。
Recently, many insurance companies in Taiwan increased their investments in foreign countries substantially due to the inadequacy of domestic investment markets. Some insurers started or have been preparing to invest in emerging alternative investment tools such as private equity funds and hedge funds. However,there is a trade-off between return and risk. In this study we utilized the methods developed by Rockafeller and Uryasev (2000) and Campbell, Huisman, and Koedijk (2001) to conduct risk-return analyses for the insurance companies who are interested in alternative investments. Our approach extends the traditional Mean-Variance approach by introducing value at risk (VaR) and conditional VaR as risk measures. We found that the correlations among asset classes were low and alternative investments could enhance the investment efficiency of insurance companies. We suggest loosening some regulations accordingly.參考文獻 洪幸資. (2004). 控制風險值下的最適投資組合.國立政治大學金融研究所碩士論文,1-56.張肇育.(2002).不同風險衡量指標下投資效率之分析與探討.國立中正大學財務金融所碩士論文,1-79.黃于軒. (2013). 論私募股權基金之金融監理-以投資策略可能引發之風險為探討中心. 臺灣大學法律學研究所碩士論文, 1-189.Artzner, P., Delbaen, F., Eber, J.-M. and Heath, D.(1997). Thinking coherently, Risk,10, 68-71.Artzner, P., Delbaen, F., Eber, J. M., & Heath, D. (1999). Coherent measures of risk. Mathematical finance, 9(3), 203-228.Alexander, G. J., & Baptista, A. M. (2002). Economic implications of using a meanVaR model for portfolio selection: A comparison with mean-variance analysis. Journal of Economic Dynamics and Control, 26(7), 1159-1193.Campbell, R., Huisman, R., & Koedijk, K. (2001). Optimal portfolio selection in a Value-at-Risk framework. Journal of Banking & Finance, 25(9), 1789-1804.Embrechts, P., Kluppelberg, C., & Mikosch, T. (2013). ¨ Modelling extremal events: for insurance and finance (Vol. 33). Springer Science & Business Media.Fusai, G., & Luciano, E. (2001). Dynamic value at risk under optimal and suboptimal portfolio policies. European Journal of Operational Research,135(2), 249-269.Jorion, P. (1997). Value at risk (pp. 1-4). McGraw-Hill, New York.Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.Pflug, G. C. (2000). Some remarks on the value-at-risk and the conditional alue-atrisk.In Probabilistic constrained optimization (pp. 272-281). Springer US, Dordrecht.Rockafellar, R. T., & Uryasev, S. (2000). Optimization of conditional value-at-risk. Journal of Risk, 2, 21-42.Rockafellar, R. T., & Uryasev, S. (2002). Conditional value-at-risk for general loss distributions. Journal of Banking & Finance, 26(7), 1443-1471.Solnik, B., & McLeavey, D. (2009). Derivatives and Alternative Investments, CFA Program Curriculum, Volume 6 (pp.154-202). CFA Institute, Pearson Custom Publishing,Boston. 描述 碩士
國立政治大學
風險管理與保險研究所
103358022資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103358022 資料類型 thesis dc.contributor.advisor 蔡政憲 zh_TW dc.contributor.advisor Tsai, Cheng Hsien en_US dc.contributor.author (Authors) 游儷容 zh_TW dc.contributor.author (Authors) Yu, Li Jung en_US dc.creator (作者) 游儷容 zh_TW dc.creator (作者) Yu, Li Jung en_US dc.date (日期) 2016 en_US dc.date.accessioned 2-Aug-2016 17:17:09 (UTC+8) - dc.date.available 2-Aug-2016 17:17:09 (UTC+8) - dc.date.issued (上傳時間) 2-Aug-2016 17:17:09 (UTC+8) - dc.identifier (Other Identifiers) G0103358022 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/99563 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 風險管理與保險研究所 zh_TW dc.description (描述) 103358022 zh_TW dc.description.abstract (摘要) 台灣壽險業的利差損問題持續存在，但若想要進一步開放新投資項目，應先檢視新投資工具之特性以及研究對應之保險監理規範之修訂。本研究針對國外另類投資進行實證分析，考慮風險與報酬之間的抵換關係(Trade-Off)，以Rockafeller and Uryasev (2000)以及Campbell,Huisman and Koedijk (2001)提出之投資組合模型，建立平均值-風險 值(Mean-Value-at-Risk)之 效 率 前 緣 和 平 均 值-條 件 風 險 值(MeanConditional Value-at-Risk)之效率前緣，探討另類投資對投資組合效率的影響，並檢視相關保險監理規範的適宜性。實證結果顯示不同資產類別(Assets Class)之間的相關性低，加入另類投資的標的能夠提升投資組合的效率，因此建議可以開放一些另類投資的項目，或是設定門檻進行監理。 zh_TW dc.description.abstract (摘要) Recently, many insurance companies in Taiwan increased their investments in foreign countries substantially due to the inadequacy of domestic investment markets. Some insurers started or have been preparing to invest in emerging alternative investment tools such as private equity funds and hedge funds. However,there is a trade-off between return and risk. In this study we utilized the methods developed by Rockafeller and Uryasev (2000) and Campbell, Huisman, and Koedijk (2001) to conduct risk-return analyses for the insurance companies who are interested in alternative investments. Our approach extends the traditional Mean-Variance approach by introducing value at risk (VaR) and conditional VaR as risk measures. We found that the correlations among asset classes were low and alternative investments could enhance the investment efficiency of insurance companies. We suggest loosening some regulations accordingly. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究動機與目的 1第二節 研究背景 3第二章 文獻回顧 10第一節 風險衡量方法 10第二節 投資組合模型 11第三章 研究方法 13第一節 風險值的定義與介紹 13第二節 條件風險值的定義與介紹 15第三節 投資組合理論 18第四章 實證分析 22第一節 實證資料選取與統計分析 22第二節 平均數-風險值與平均數-條件風險值之效率前緣的建立 30第三節 各效率前緣的比較 34第五章 結論與研究限制 45第一節 結論 45第二節 研究限制 46參考文獻 47 zh_TW dc.format.extent 2211866 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103358022 en_US dc.subject (關鍵詞) 風險值 zh_TW dc.subject (關鍵詞) 條件風險值 zh_TW dc.subject (關鍵詞) 效率前緣 zh_TW dc.subject (關鍵詞) 另類資產 zh_TW dc.subject (關鍵詞) 保險監理 zh_TW dc.subject (關鍵詞) Value-at-risk en_US dc.subject (關鍵詞) Conditional Value-at-risk en_US dc.subject (關鍵詞) Efficient Frontier en_US dc.subject (關鍵詞) Alternative Investments en_US dc.subject (關鍵詞) Insurance Regulation en_US dc.title (題名) 台灣保險業另類投資工具風險控制與監理研究 zh_TW dc.title (題名) Risk Management and Regulation on Emerging Alternative Investments of Insurance Companies en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 洪幸資. (2004). 控制風險值下的最適投資組合.國立政治大學金融研究所碩士論文,1-56.張肇育.(2002).不同風險衡量指標下投資效率之分析與探討.國立中正大學財務金融所碩士論文,1-79.黃于軒. (2013). 論私募股權基金之金融監理-以投資策略可能引發之風險為探討中心. 臺灣大學法律學研究所碩士論文, 1-189.Artzner, P., Delbaen, F., Eber, J.-M. and Heath, D.(1997). Thinking coherently, Risk,10, 68-71.Artzner, P., Delbaen, F., Eber, J. M., & Heath, D. (1999). Coherent measures of risk. Mathematical finance, 9(3), 203-228.Alexander, G. J., & Baptista, A. M. (2002). Economic implications of using a meanVaR model for portfolio selection: A comparison with mean-variance analysis. Journal of Economic Dynamics and Control, 26(7), 1159-1193.Campbell, R., Huisman, R., & Koedijk, K. (2001). Optimal portfolio selection in a Value-at-Risk framework. Journal of Banking & Finance, 25(9), 1789-1804.Embrechts, P., Kluppelberg, C., & Mikosch, T. (2013). ¨ Modelling extremal events: for insurance and finance (Vol. 33). Springer Science & Business Media.Fusai, G., & Luciano, E. (2001). Dynamic value at risk under optimal and suboptimal portfolio policies. European Journal of Operational Research,135(2), 249-269.Jorion, P. (1997). Value at risk (pp. 1-4). McGraw-Hill, New York.Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91.Pflug, G. C. (2000). Some remarks on the value-at-risk and the conditional alue-atrisk.In Probabilistic constrained optimization (pp. 272-281). Springer US, Dordrecht.Rockafellar, R. T., & Uryasev, S. (2000). Optimization of conditional value-at-risk. Journal of Risk, 2, 21-42.Rockafellar, R. T., & Uryasev, S. (2002). Conditional value-at-risk for general loss distributions. Journal of Banking & Finance, 26(7), 1443-1471.Solnik, B., & McLeavey, D. (2009). Derivatives and Alternative Investments, CFA Program Curriculum, Volume 6 (pp.154-202). CFA Institute, Pearson Custom Publishing,Boston. zh_TW
