The Research of the Asset Allocation Perfomances in Life Insurance Companies - The Samples of Cathay Life Insurance and Shin Kong Life Insurance.
碩士 === 國立中山大學 === 財務管理學系研究所 === 94 === The domestic life insurance industry at present is in the steep competition situation. With the fund accumulated rapidly, which investment strategy the life insurance company should take is very important. Law of Insurance 146th puts the restriction on the inve...
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ndltd-TW-094NSYS53050522016-05-27T04:18:11Z http://ndltd.ncl.edu.tw/handle/47871229012604834430 The Research of the Asset Allocation Perfomances in Life Insurance Companies - The Samples of Cathay Life Insurance and Shin Kong Life Insurance. 壽險公司資產配置效益之研究-以國泰人壽與新光人壽為例 Chiu-ling Chen 陳秋伶 碩士 國立中山大學 財務管理學系研究所 94 The domestic life insurance industry at present is in the steep competition situation. With the fund accumulated rapidly, which investment strategy the life insurance company should take is very important. Law of Insurance 146th puts the restriction on the investment upper limit of the life insurance company. This research will discuss the influence of this investment restriction on life insurance companies’ asset allocation by the samples of Cathay Life Insurance and Shin Kong Life Insurance, and also evaluate the performances of these two life insurance companies. Moreover, under the investment restriction, this research compares the investment rates of return between the optimal portfolios by different portfolio performance measures and the actual portfolios of the two life insurance companies and also shows that which portfolio performance measure is more suitable for life insurance companies to contribute to the decision-making of the life insurance companies about asset allocation. This research utilizes the Efficient Frontier that is inferred from the Markowitz’s portfolio selection model to apply on the Sharpe measure and the IRp measure to achieve the research’s goal mentioned above. The conclusions of this research are as follows: 1. Evaluated by the Sharpe measure, whether there is the investment restriction or not, the difference is small;Evaluated by the IRp measure, then there is the higher expected rate of return and better diversification with no investment restriction. 2.The actual rates of return of Cathay Life Insurance and Shin Kong Life Insurance are below the expected rates of returns of their portfolio evaluated be the Sharpe measure and the IRp measure. Moreover, This two measures show that Cathay Life Insurance has the better investment performance then Shin Kong Life Insurance. 3. Under the investment restriction, the differences between the expected rates of return of the optimal portfolio whether by the Sharpe measure or the IRp measure and the investment rates of return of the actual portfolio of these two companies are caused by the influence of the macro economy. 4. If there is no investment restriction, the optimal portfolio of the IRp measure has the better diversification that fits the conservative character of the life insurance companies. Huang, Jen-Jsung Lo, Henry Y. 黃振聰 羅容恆 2006 學位論文 ; thesis 83 zh-TW |
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碩士 === 國立中山大學 === 財務管理學系研究所 === 94 === The domestic life insurance industry at present is in the steep competition situation. With the fund accumulated rapidly, which investment strategy the life insurance company should take is very important. Law of Insurance 146th puts the restriction on the investment upper limit of the life insurance company. This research will discuss the influence of this investment restriction on life insurance companies’ asset allocation by the samples of Cathay Life Insurance and Shin Kong Life Insurance, and also evaluate the performances of these two life insurance companies. Moreover, under the investment restriction, this research compares the investment rates of return between the optimal portfolios by different portfolio performance measures and the actual portfolios of the two life insurance companies and also shows that which portfolio performance measure is more suitable for life insurance companies to contribute to the decision-making of the life insurance companies about asset allocation.
This research utilizes the Efficient Frontier that is inferred from the Markowitz’s portfolio selection model to apply on the Sharpe measure and the IRp measure to achieve the research’s goal mentioned above.
The conclusions of this research are as follows: 1. Evaluated by the Sharpe measure, whether there is the investment restriction or not, the difference is small;Evaluated by the IRp measure, then there is the higher expected rate of return and better diversification with no investment restriction. 2.The actual rates of return of Cathay Life Insurance and Shin Kong Life Insurance are below the expected rates of returns of their portfolio evaluated be the Sharpe measure and the IRp measure. Moreover, This two measures show that Cathay Life Insurance has the better investment performance then Shin Kong Life Insurance. 3. Under the investment restriction, the differences between the expected rates of return of the optimal portfolio whether by the Sharpe measure or the IRp measure and the investment rates of return of the actual portfolio of these two companies are caused by the influence of the macro economy. 4. If there is no investment restriction, the optimal portfolio of the IRp measure has the better diversification that fits the conservative character of the life insurance companies.
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author2 |
Huang, Jen-Jsung |
author_facet |
Huang, Jen-Jsung Chiu-ling Chen 陳秋伶 |
author |
Chiu-ling Chen 陳秋伶 |
spellingShingle |
Chiu-ling Chen 陳秋伶 The Research of the Asset Allocation Perfomances in Life Insurance Companies - The Samples of Cathay Life Insurance and Shin Kong Life Insurance. |
author_sort |
Chiu-ling Chen |
title |
The Research of the Asset Allocation Perfomances in Life Insurance Companies - The Samples of Cathay Life Insurance and Shin Kong Life Insurance. |
title_short |
The Research of the Asset Allocation Perfomances in Life Insurance Companies - The Samples of Cathay Life Insurance and Shin Kong Life Insurance. |
title_full |
The Research of the Asset Allocation Perfomances in Life Insurance Companies - The Samples of Cathay Life Insurance and Shin Kong Life Insurance. |
title_fullStr |
The Research of the Asset Allocation Perfomances in Life Insurance Companies - The Samples of Cathay Life Insurance and Shin Kong Life Insurance. |
title_full_unstemmed |
The Research of the Asset Allocation Perfomances in Life Insurance Companies - The Samples of Cathay Life Insurance and Shin Kong Life Insurance. |
title_sort |
research of the asset allocation perfomances in life insurance companies - the samples of cathay life insurance and shin kong life insurance. |
publishDate |
2006 |
url |
http://ndltd.ncl.edu.tw/handle/47871229012604834430 |
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