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    Title: 人壽保險公司之資產配置迷思
    Asset allocation puzzle in Taiwan life insurance industry
    Authors: 許雅鳳
    Contributors: 張士傑
    許雅鳳
    Keywords: 資產負債管理
    策略性資產配置
    擬似動態規劃法
    asset liability management
    strategic asset allocation
    quasi-dynamic programming
    Date: 2008
    Issue Date: 2010-12-08 16:31:15 (UTC+8)
    Abstract: 本研究著重於分析發行大量長年期利率敏感型契約、高財務槓桿比例的人壽保險業中公司經理人之投資決策,發現台灣壽險業亦存在Canner et al.(1997)提出之資產配置迷思,亦即風險性資產中債券與股票之比率於不同壽險公司間有差異,與共同基金分離理論中陳述之風險態度不同之投資人所持有之債券與股票比率應相同不相符。本文嘗試以Sorensen(1999)提出之擬似動態規劃法(Quasi- dynamic Programming)最適化到期之效用函數,試算經理人於股票及不同到期固定收益債券之最適持有比例。且詳細探討不同風險偏好及投資期限對於壽險公司投資組合之影響。將業主權益之最適投資策略加上負債之複製投資組合成為策略性資產配置結果,並將其與目前台灣壽險公司之資產配置做比較。研究結果顯示:
    1.以擬似動態規畫法求得之最適投資組合於不同風險態度下皆為長期債券以及股票。當經理人之風險趨避程度增加時,投資於股票之比例會減少、投資於債券之比例會增加。
    2.比較台灣壽險公司之債券與股票配置比例與本研究之結果發現,本資公司之風險態度較外資公司積極,本資公司應提高其債券之持有比例。
    本研究最後以Bajeux-Besnainou et al. (2001)提出之資產配置迷思解釋說明本資公司與外資公司持有之債券與股票比率之所以不同非因資產配置迷思之存在,本資公司與外資公司於風險性資產中持有之債券與股票比率是相同的,但因風險態度較為趨避之公司,投資於風險性資產比率下降、提高避險部位之配置,導致整體之股票與債券比率增加。
    關鍵字:資產負債管理、策略性資產配置、擬似動態規劃法。
    Reference: 1. 古瀨政敏著,賴建業譯(1992),《美國壽險公司之新經營策略》。
    2. 吳家宏(1995),「免疫理論應用於壽險業資產負債管理之研究」,政治大學保險所碩士論文。
    3. 何瑞鎮(2000),「HJM模型下之存續期間與動態免疫策略」,中央大學財務管理研究所碩士論文。
    4. 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。
    5. 張士傑、黃美慧(2004),「保險公司之最適盈餘分佈:模型與實務」,《保險學報》,創刊號。
    6. Bajeux-Besnainou, I.; Jordan, J. V. and Portait, R. (2001), “An Asset Allocation Puzzle: Comment,” The American Economic Review, Vol.91, 1170-1179.
    7. Campbell, J. Y. (1987), “Stock Returns and Term Structure,” Journal of Financial Economics, Vol.18, 373-399.
    8. Canner, N.; Mankiw, N. G. and Weil, D. N. (1997), “An Asset Allocation Puzzle,” The American Economic Review, Vol.87, 181-191.
    9. Chan, K. C.; Karolyi, G. A.; Longstaff, F. A. and Sanders, A. B. (1992), “Empirical Comparison of Alternative Models of the Short-Term Interest Rates,” Journal of Finance, Vol.47, 1209-1227.
    10. Cox, J. C. and Huang, C. F. (1989), “Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process,” Journal of Economic Theory, Vol.49, 33-83.
    11. Cox, J. C. and Huang, C. F. (1991), “A Variational Problem Arising in Financial Economics,” Journal of Mathematical Economics, Vol.20, 465-487.
    12. Craig, M. (2008), “ALM in a Solvency II World,” Institute of Actuaries of Australia 4th Financial Services Forum.
    13. Fama, E. F. and French, K. R. (1989), “Business Condition and Excepted Returns on Stocks and Bonds,” Journal of Financial Economics, Vol.25, 23-49.
    14. Fish and Weil (1972), “Coping with the Risk of Interest Rate Fluctuations: Returns to Bondholders from Naïve and Optimal Strategies,” Journal of Business, Vol.44, 408-431.
    15. Hancock, J.; Huber, P. and Koch, P. (2001), The Economics of Insurance: How Insurers Create Value for Shareholders (2nd edition).
    16. Lamm-Tennant, J. (1989), “Asset / Liability Management for the Life Insurer: Situation Analysis and Strategy Formulation,” Journal of Risk and Insurance, Vol.56.
    17. Merton, R. C. (1969), “Lifetime Portfolio Selection Under Uncertainty: The Continuous-Time Case,” Review of Economic and Statistics, Vol.51, 247-257.
    18. Merton, R. C. (1971), “Optimum Consumption and Portfolio Rules in a Continuous Time Model,” Journal of Economic Theory, Vol.3, 373-413.
    19. Merton, R. C. Continuous Time Finance, Blackwell, Oxford, 1990.
    20. O’Brien, T. (1986), “A Stochastic-dynamic Approach to Pension Funding,” Insurance: Mathematics and Economics, Vol.5, 141-146.
    21. O’Brien, T. (1987), “A Two-parameter Family of Pension Contribution Functions and Stochastic Optimization,” Insurance: Mathematics and Economics, Vol. 6, 129-134.
    22. Redington, F. M. (1952), “Review of the Principles of Life Office Valuations,” Journal of the Institute of Actuaries, Vol.78, 286-315.
    23. Rudolf M. and Ziemba W. T. (2004), “Intertemporal Surplus Management,” Journal of Economic Dynamics & Control, Vol.28, 975-990.
    24. Shiller, R. J. and Beltratti A. E. (1992), “Stock Prices and Bond Yields: Can Their Comovements be Explained in Terms of Present Value Models?,” Journal of Monetary Economics, Vol.30, 25-46.
    25. Sorensen, C. (1999), “Dynamic Asset Allocation and Fixed Income Management,” Journal of Financial and Quantitative Analysis, Vol.34, 513-531.
    26. Tobin, J. (1958), “Liquidity Preference as Behavior Toward Risk,” The Review of Economic Studies, Vol.25, 65-86.
    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    96358008
    97
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0096358008
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系] 學位論文

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