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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 Hsienen_US
dc.contributor.author (Authors) 游儷容zh_TW
dc.contributor.author (Authors) Yu, Li Jungen_US
dc.creator (作者) 游儷容zh_TW
dc.creator (作者) Yu, Li Jungen_US
dc.date (日期) 2016en_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) G0103358022en_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) 103358022zh_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/#G0103358022en_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-risken_US
dc.subject (關鍵詞) Conditional Value-at-risken_US
dc.subject (關鍵詞) Efficient Frontieren_US
dc.subject (關鍵詞) Alternative Investmentsen_US
dc.subject (關鍵詞) Insurance Regulationen_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 Companiesen_US
dc.type (資料類型) thesisen_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