| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 107 === A large part of Taiwan''s life insurance industry''s liabilities is a long-term policy. so in the assets and liabilities management, the asset-side strategy of long-term investment is also required. However, in terms of Taiwan''s investment environment, in addition to the lack of long-term investment targets, the return is not as good as that of foreign countries. Although the proportion of Taiwan’s life insurance industry in foreign investment is gradually rising, the foreign investment distribution countries still have the highest proportion in the United States. This study investigates the difference between life insurance industry’s investment only in the United States and diversified investments in different countries. Whether more diversified investment will make overall investment performance come better.
Based on the average-variance analysis of the monthly stock price index of the countries from 2014 to 2019, this study found that after joining the US and other seven countries for asset allocation, the efficiency front is more outward than invest only in the US, because the correlation coefficient between countries presents medium and low correlation, the life insurance industry obtains higher returns under the same risk , In addition, in order to be closer to reality, this study further considers the investment is below the limit of 45%, and the change in efficiency frontiers. The study found that the efficiency front is still largely shifted, and there is not much difference between the efficiency front and the no-limit efficiency. The reason is that in the recent five years, Taiwan''s investment environment is relatively stable compared with other countries, so it is not affected by foreign investment quota.
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