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    Title: 台灣壽險業資產配置策略對投資績效的影響
    The impact of asset allocation strategy on investment performance of life insurers in Taiwan
    Authors: 蔡政良
    Contributors: 陳彩稚
    蔡政良
    Keywords: 壽險公司
    資產配置策略
    投資績效
    Date: 2017
    Issue Date: 2017-08-10 09:47:54 (UTC+8)
    Abstract: 本論文探討台灣壽險公司的資產配置策略對投資績效產生的影響。本研究觀察壽險公司的資產配置,並量化資產配置策略的積極程度與風險偏好,探討對投資績效造成的效果。其中選取我國壽險業2004 年至2014 年長達11 年的資料作為研究樣本,以Baranoff and Sager (2009)所建立的量化指標來衡量資產配置策略的積極度。透過量化指標,將樣本分別以集群分析法分為靜態策略組與動態策略組。結合投資績效與資產配置,在企業風險架構下運用逐步迴歸法所建立的聯立方程模型,以二階段最小平方法分析。
    本研究參考過去文獻將企業風險架構的因素帶入模型中,用以控制不同風險的影響,更能有效地將重點鎖定在資產配置策略和投資績效上。實證結果部分發現,就台灣壽險業而言,動態策略對投資績效呈現顯著的負向關係,而靜態策略則對投資績效呈現顯著正向關係。然而,將研究期間分為2008 年之前與之後,考量金融海嘯發生後的變動,動態策略或靜態策略對投資績效的影響皆不顯著,但是以金融海嘯發生前為研究期間時,動態策略會對投資績效仍然呈現顯著的負向關係。
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    1181-1197.
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    Journal of Risk and Insurance, 70(3), 375-400.
    Baranoff, E. G., & Sager, T. W. (2009). Do Life Insurers` Asset Allocation Strategies Influence Performance within the Enterprise Risk Framework? The Geneva Papers on Risk and Insurance Issues and Practice, 34(2), 242-259.
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    王瑞秋,2014,兩岸人壽保險業資產配置之研究,國立政治大學風險管理與保險研究所碩士論文。
    林麗芬、楊雅琳,2008,壽險業資產與保險配置對資產報酬率之影響,保險專刊,24(1),29-52。
    黃雅文、張士傑,2011,保險業資產配置之決定及其影響,財團法人保險安定基金委託研究計畫。
    張士傑、朱浩民、許素珠、黃雅文,2010,資產配置之迷思或現實? 台灣壽險業之實證研究,風險管理學報,12(1),5-32。
    蔡沛然,2011,人壽保險業之資產配置決策及影響評估,國立政治大學風險管理與保險研究所碩士論文。
    Description: 碩士
    國立政治大學
    風險管理與保險學系
    101358011
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0101358011
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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