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題名 人壽保險業之資產配置決策及影響評估
Decision making and impact analysis in asset allocation for Taiwan life insurance industry
作者 蔡沛然
貢獻者 張士傑
蔡沛然
關鍵詞 資產配置
追蹤資料模型
財務績效
集群分析
日期 2010
上傳時間 4-Sep-2013 15:01:00 (UTC+8)
摘要 資產配置策略會影響公司資產負債管理，觀察國內各壽險業者，其資產配置策略大不相同。因此，本研究欲深入分析各保險公司之資產配置策略對公司之影響，並探討保險公司資產配置決策之影響因素，並透過國內外現況加以比較分析。
資產配置策略由公司相關部門依照風險偏好、負債面考量等各項因素訂定投資決策以及目標報酬率並交由經理人執行。而欲瞭解資產配置策略是否完善，本研究採用追蹤資料模型(Panel data model)，以財務績效作為反應變數，並驗證財務績效受到哪些因素影響；此外並以總資產作為分群變數，以集群分析將各公司分群，探討各群內之狀況。
本研究結果發現，公司規模對於稅前股東權益以及稅前每股盈餘有顯著的正向關係，大規模之公司能藉由保險業務之經營創造更高的利潤。人壽保險保費收入比率項對各財務績效指標均無顯著影響；資產風險對投資績效以及稅前每股盈餘有顯著正向影響，此結果顯示提高資產風險能增加投資收益及稅前盈餘；各資產類別對各財務績效指標均有顯著正向影響；不同公司型態間的投資績效以及稅前股東權益報酬率有明顯差異，上市公司之投資績效顯著高於非上市公司；在控制其他變數下，外商公司與本土公司之投資績效無顯著差異，而稅前股東權益報酬率外商公司顯著高於本土公司。稅前每股盈餘資料無法比較不同公司型態間的差異。
參考文獻 財團法人保險事業發展中心，2000-2010，產險財業務統計，台北：財團法人保險事業發展中心。http://www.tii.org.tw/fcontent/database/sta_test/genrep_selectg.asp
財團法人保險事業發展中心，2000-2010，壽險財業務統計，台北：財團法人保險事業發展中心。 http://www.tii.org.tw/fcontent/database/sta_test2/genrep_chk_result1.asp
財團法人保險事業發展中心，2009，低利率環境對保險業之影響及政策建議，財團法人保險事業發展中心研究處及精算處研究報告。
蔡政憲、吳佳哲，2000，保險法中之投資限制對保險業投資績效影響之實證研究，風險管理學報，第2卷第2期，1-36。
梁正德、謝明華，2009，監理機關評估保險業國外投資風險之模型，行政院金融監督管理委員會保險局研究報告。
人壽保險業務統計年報，2000-2009，財團法人保險事業發展中心。
張士傑、杜昌燁、鄧益俗，2003，最適跨期投資策略之套利與避險分析，保險專刊，第19卷第1期，1-21。
張士傑、黃雅文、詹淑卿，2008，產物保險公司之核保績效：台灣市場1999-2003之實證研究，保險經營與制度，第7卷第1期，1-19。
ACLI, 2003, Life Insurance Fact Book 2003, American Council of Life Insurers. http://www.acli.com.
ACLI, 2010, Life Insurance Fact Book 2010, American Council of Life Insurers. http://www.acli.com.
Baranoff, E.G. and T.W. Sager, 2009, Do Life Insurers’ Asset Allocation Strategies Influence Performance within the Enterprise Risk Framework?, The Geneva Papers, 34, 242-259.
Baranoff, E.G. and T.W. Sager, 2003, The interrelationship among organizational and distribution forms and capital and asset risk structures in the life insurance industry, Journal of Risk and Insurance, 70(3), 375–400.
Berger, A.N., 1995, The relationship between capital and earnings in banking, Journal of Money, Credit, and Banking, 27(2), 432–456.
Billio, Monica and Mila Getmansky, 2010, Measuring Systemic Risk in the Finance and Insurance Sector, MIT Sloan School Working Paper.
Breusch, T.S. and A.R. Pagan, 1980, The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics, Review of Economic Studies, 47, 239-254.
CEA, 2005, European Insurance in Figures, The European Insurance Industry, Brussels: COMITÉ EUROPÉEN DES ASSURANCES.
Fairley, W.B., 1979, Investment Income and Profit Margins in Property-Liability Insurance: Theory and Empirical Results, The Bell Journal of Economics, 10: 192-210.
Fama, E.F., 1978, The Effect of a Firm’s Investment and Financing Decisions on the Welfare of Its Security Holders, American Economic Review, 68: 272-284.
Feldstein, S.G. and F.J. Fabozzi, 2008, The Handbook of Municipal Bonds, 613-624, Wiley.
Grace, M. and S.G. Timme, 1992, An Examination of Cost Economies in the United States Life Insurance Industry, Journal of Risk and Insurance, 59, 72-103.
Hancock, J., P. Huber, and P. Koch, 2001, The Economics of Insurance: How Insurers Create Value for Shareholders (2nd edition), Swiss Re.
Hausman, J. A., 1978, Specification Tests in Econometrics, Econometrica 46, 1251–1271.
Helwege, Jean, 2009, Financial Firm Bankruptcy and Systemic Risk, Regulation, 32, 2, 24-29.
Hill, R.D., 1979, Profit Regulation in Property-Liability Insurance, The Bell Journal of Economics, 10, 172-191.
Hsiao, 2003, Analysis of Panel Data, 2nd edition, Cambridge University Press.
Huberto M. Ennis and H.S. Malek, 2005, Bank risk of failure and the too-big-to-fail policy, Economic Quarterly, Federal Reserve Bank of Richmond, 91(2), 21-44.
Ibbotson, R.G., and P.D. Kaplan, 2000, Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?, Financial Analysts Journal, 56(1), 26-33.
Jacques, K., and P. Nigro, 1997, Risk-based capital, portfolio risk, and bank capital: A simultaneous equations approach, Journal of Economics and Business, 49 (6), 533–548.
J.D. Cummins and H. Zi, 1998, Comparison of Frontier Efficiency Methods: An Application to the U.S. Life Insurance Industry, Journal of Productivity Analysis, 10: 131-152.
Jones, Matthew T. and Paul Hilbers, 2004, Stress Testing Financial Systems: What to Do When the Governor Calls, International Monetary Fund Working Paper.
Longin, F. M. and B. Solnik, 2001, Extreme Correlation of International Equity Marktes, Journal of finance, Vol. LVI, 2, 1-23.
Markowitz, H., 1952, Portfolio selection, Journal of Finance, 7, 77–91.
Mckinnon, Ronald I., 1973, Money and Capital in Economic Development, Washington, D.C. Brookings Institution.
Myer, S.C., 1977, Determinants of Corporate Borrowing, Journal of Financial Economics, 5(2), 147-175.
OCED, 2010, Insurance Statistics Yearbook, Paris: OECD.
Reinhart, Carmen and Kenneth Rogoff, 2008, This Time is Different: A Panoramic View of Eight Centuries of Financial Crises, NBER Working Paper.
Shaw, Edward S., 1973, Financial Deeping in Economic Development, New York: Oxford University Press.
Shrieves, R.E., and D. Dahl, 1992, The relationship between risk and capital in commercial banks, Journal of Banking and Finance, 16, 439–457.
Sigma, 2001, Profitability of the Non-Life Insurance Industry: It`s Back-to-Basics Time, Sigma, No.5, Swiss Re.
Sigma, 2002, Third Party Asset Management for Insurers, Sigma, No. 5, Swiss Re.
Sigma, 2005, Insurers’ Cost of Capital and Economic Value Creation: Principles and Practical Implications, Sigma, No. 3, Swiss Re.
Sigma, 2010, Insurance Investment in a Challenging Global Environment, Sigma, No.5, Swiss Re.
Strong, R.A., 2009, Portfolio Construction, Management and Protection, Thomson Learning, Cincinnati, OH.
Venkatraman, N., & Ramanujam, V., 1986, Measurement of business performance in strategy research: A comparison of approaches. Academy of Management Review, 11, 801-814.
描述 碩士
國立政治大學
風險管理與保險研究所
98358008
99
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0098358008
資料類型 thesis
dc.contributor.advisor 張士傑zh_TW
dc.contributor.author (Authors) 蔡沛然zh_TW
dc.creator (作者) 蔡沛然zh_TW
dc.date (日期) 2010en_US
dc.date.accessioned 4-Sep-2013 15:01:00 (UTC+8)-
dc.date.available 4-Sep-2013 15:01:00 (UTC+8)-
dc.date.issued (上傳時間) 4-Sep-2013 15:01:00 (UTC+8)-
dc.identifier (Other Identifiers) G0098358008en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/60046-
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) 98358008zh_TW
dc.description (描述) 99zh_TW
dc.description.abstract (摘要) 資產配置策略會影響公司資產負債管理，觀察國內各壽險業者，其資產配置策略大不相同。因此，本研究欲深入分析各保險公司之資產配置策略對公司之影響，並探討保險公司資產配置決策之影響因素，並透過國內外現況加以比較分析。
資產配置策略由公司相關部門依照風險偏好、負債面考量等各項因素訂定投資決策以及目標報酬率並交由經理人執行。而欲瞭解資產配置策略是否完善，本研究採用追蹤資料模型(Panel data model)，以財務績效作為反應變數，並驗證財務績效受到哪些因素影響；此外並以總資產作為分群變數，以集群分析將各公司分群，探討各群內之狀況。
本研究結果發現，公司規模對於稅前股東權益以及稅前每股盈餘有顯著的正向關係，大規模之公司能藉由保險業務之經營創造更高的利潤。人壽保險保費收入比率項對各財務績效指標均無顯著影響；資產風險對投資績效以及稅前每股盈餘有顯著正向影響，此結果顯示提高資產風險能增加投資收益及稅前盈餘；各資產類別對各財務績效指標均有顯著正向影響；不同公司型態間的投資績效以及稅前股東權益報酬率有明顯差異，上市公司之投資績效顯著高於非上市公司；在控制其他變數下，外商公司與本土公司之投資績效無顯著差異，而稅前股東權益報酬率外商公司顯著高於本土公司。稅前每股盈餘資料無法比較不同公司型態間的差異。		zh_TW
dc.description.tableofcontents 第壹章 研究動機與目的 1
第貳章 保險公司資產配置差異回顧 5
第一節 各國比較分析 5
一、整體保險業 5
二、各國壽險與產險差異分析 7
第二節 美國壽險業之資產配置 8
一、壽險公司股票資產配置變化原因 8
二、壽險公司的債券資產配置變化 10
三、抵押貸款資產配置變化 13
第參章 資產配置之影響因素 15
第一節 保險公司之資產負債管理 15
第二節 保險公司資金運用策略屬性 17
第三節 法令規範之影響 18
第四節 小結 20
第肆章 實證模型 23
第一節 文獻回顧 23
一、 資產配置策略 23
二、 資產配置與投資績效 24
第二節 實證模型以及變數定義 24
一、 追蹤資料模型 24
二、 變數定義 28
第三節、實證分析結果 33
一、 投資績效分析結果 33
二、 稅前股東權益報酬率分析結果 34
三、 稅前每股盈餘分析結果 36
第伍章 結論與建議 51
參考文獻 53
附錄 57		zh_TW
dc.format.extent 1156155 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0098358008en_US
dc.subject (關鍵詞) 資產配置zh_TW
dc.subject (關鍵詞) 追蹤資料模型zh_TW
dc.subject (關鍵詞) 財務績效zh_TW
dc.subject (關鍵詞) 集群分析zh_TW
dc.title (題名) 人壽保險業之資產配置決策及影響評估zh_TW
dc.title (題名) Decision making and impact analysis in asset allocation for Taiwan life insurance industryen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 財團法人保險事業發展中心，2000-2010，產險財業務統計，台北：財團法人保險事業發展中心。http://www.tii.org.tw/fcontent/database/sta_test/genrep_selectg.asp
財團法人保險事業發展中心，2000-2010，壽險財業務統計，台北：財團法人保險事業發展中心。 http://www.tii.org.tw/fcontent/database/sta_test2/genrep_chk_result1.asp
財團法人保險事業發展中心，2009，低利率環境對保險業之影響及政策建議，財團法人保險事業發展中心研究處及精算處研究報告。
蔡政憲、吳佳哲，2000，保險法中之投資限制對保險業投資績效影響之實證研究，風險管理學報，第2卷第2期，1-36。
梁正德、謝明華，2009，監理機關評估保險業國外投資風險之模型，行政院金融監督管理委員會保險局研究報告。
人壽保險業務統計年報，2000-2009，財團法人保險事業發展中心。
張士傑、杜昌燁、鄧益俗，2003，最適跨期投資策略之套利與避險分析，保險專刊，第19卷第1期，1-21。
張士傑、黃雅文、詹淑卿，2008，產物保險公司之核保績效：台灣市場1999-2003之實證研究，保險經營與制度，第7卷第1期，1-19。
ACLI, 2003, Life Insurance Fact Book 2003, American Council of Life Insurers. http://www.acli.com.
ACLI, 2010, Life Insurance Fact Book 2010, American Council of Life Insurers. http://www.acli.com.
Baranoff, E.G. and T.W. Sager, 2009, Do Life Insurers’ Asset Allocation Strategies Influence Performance within the Enterprise Risk Framework?, The Geneva Papers, 34, 242-259.
Baranoff, E.G. and T.W. Sager, 2003, The interrelationship among organizational and distribution forms and capital and asset risk structures in the life insurance industry, Journal of Risk and Insurance, 70(3), 375–400.
Berger, A.N., 1995, The relationship between capital and earnings in banking, Journal of Money, Credit, and Banking, 27(2), 432–456.
Billio, Monica and Mila Getmansky, 2010, Measuring Systemic Risk in the Finance and Insurance Sector, MIT Sloan School Working Paper.
Breusch, T.S. and A.R. Pagan, 1980, The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics, Review of Economic Studies, 47, 239-254.
CEA, 2005, European Insurance in Figures, The European Insurance Industry, Brussels: COMITÉ EUROPÉEN DES ASSURANCES.
Fairley, W.B., 1979, Investment Income and Profit Margins in Property-Liability Insurance: Theory and Empirical Results, The Bell Journal of Economics, 10: 192-210.
Fama, E.F., 1978, The Effect of a Firm’s Investment and Financing Decisions on the Welfare of Its Security Holders, American Economic Review, 68: 272-284.
Feldstein, S.G. and F.J. Fabozzi, 2008, The Handbook of Municipal Bonds, 613-624, Wiley.
Grace, M. and S.G. Timme, 1992, An Examination of Cost Economies in the United States Life Insurance Industry, Journal of Risk and Insurance, 59, 72-103.
Hancock, J., P. Huber, and P. Koch, 2001, The Economics of Insurance: How Insurers Create Value for Shareholders (2nd edition), Swiss Re.
Hausman, J. A., 1978, Specification Tests in Econometrics, Econometrica 46, 1251–1271.
Helwege, Jean, 2009, Financial Firm Bankruptcy and Systemic Risk, Regulation, 32, 2, 24-29.
Hill, R.D., 1979, Profit Regulation in Property-Liability Insurance, The Bell Journal of Economics, 10, 172-191.
Hsiao, 2003, Analysis of Panel Data, 2nd edition, Cambridge University Press.
Huberto M. Ennis and H.S. Malek, 2005, Bank risk of failure and the too-big-to-fail policy, Economic Quarterly, Federal Reserve Bank of Richmond, 91(2), 21-44.
Ibbotson, R.G., and P.D. Kaplan, 2000, Does Asset Allocation Policy Explain 40, 90, or 100 Percent of Performance?, Financial Analysts Journal, 56(1), 26-33.
Jacques, K., and P. Nigro, 1997, Risk-based capital, portfolio risk, and bank capital: A simultaneous equations approach, Journal of Economics and Business, 49 (6), 533–548.
J.D. Cummins and H. Zi, 1998, Comparison of Frontier Efficiency Methods: An Application to the U.S. Life Insurance Industry, Journal of Productivity Analysis, 10: 131-152.
Jones, Matthew T. and Paul Hilbers, 2004, Stress Testing Financial Systems: What to Do When the Governor Calls, International Monetary Fund Working Paper.
Longin, F. M. and B. Solnik, 2001, Extreme Correlation of International Equity Marktes, Journal of finance, Vol. LVI, 2, 1-23.
Markowitz, H., 1952, Portfolio selection, Journal of Finance, 7, 77–91.
Mckinnon, Ronald I., 1973, Money and Capital in Economic Development, Washington, D.C. Brookings Institution.
Myer, S.C., 1977, Determinants of Corporate Borrowing, Journal of Financial Economics, 5(2), 147-175.
OCED, 2010, Insurance Statistics Yearbook, Paris: OECD.
Reinhart, Carmen and Kenneth Rogoff, 2008, This Time is Different: A Panoramic View of Eight Centuries of Financial Crises, NBER Working Paper.
Shaw, Edward S., 1973, Financial Deeping in Economic Development, New York: Oxford University Press.
Shrieves, R.E., and D. Dahl, 1992, The relationship between risk and capital in commercial banks, Journal of Banking and Finance, 16, 439–457.
Sigma, 2001, Profitability of the Non-Life Insurance Industry: It`s Back-to-Basics Time, Sigma, No.5, Swiss Re.
Sigma, 2002, Third Party Asset Management for Insurers, Sigma, No. 5, Swiss Re.
Sigma, 2005, Insurers’ Cost of Capital and Economic Value Creation: Principles and Practical Implications, Sigma, No. 3, Swiss Re.
Sigma, 2010, Insurance Investment in a Challenging Global Environment, Sigma, No.5, Swiss Re.
Strong, R.A., 2009, Portfolio Construction, Management and Protection, Thomson Learning, Cincinnati, OH.
Venkatraman, N., & Ramanujam, V., 1986, Measurement of business performance in strategy research: A comparison of approaches. Academy of Management Review, 11, 801-814.		zh_TW