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    Title: 台灣保險業另類投資工具風險控制與監理研究
    Risk Management and Regulation on Emerging Alternative Investments of Insurance Companies
    Authors: 游儷容
    Yu, Li Jung
    Contributors: 蔡政憲
    Tsai, Cheng Hsien
    游儷容
    Yu, Li Jung
    Keywords: 風險值
    條件風險值
    效率前緣
    另類資產
    保險監理
    Value-at-risk
    Conditional Value-at-risk
    Efficient Frontier
    Alternative Investments
    Insurance Regulation
    Date: 2016
    Issue Date: 2016-08-02 17:17:09 (UTC+8)
    Abstract: 台灣壽險業的利差損問題持續存在,但若想要進一步開放新投資項目,應先檢視新投資工具之特性以及研究對應之保險監理規範之修訂。
    本研究針對國外另類投資進行實證分析,考慮風險與報酬之間的抵換關係(Trade-Off),以Rockafeller and Uryasev (2000)以及Campbell,Huisman and Koedijk (2001)提出之投資組合模型,建立平均值-風險 值(Mean-Value-at-Risk)之 效 率 前 緣 和 平 均 值-條 件 風 險 值(MeanConditional Value-at-Risk)之效率前緣,探討另類投資對投資組合效率的影響,並檢視相關保險監理規範的適宜性。
    實證結果顯示不同資產類別(Assets Class)之間的相關性低,加入另類投資的標的能夠提升投資組合的效率,因此建議可以開放一些另類投資的項目,或是設定門檻進行監理。
    Recently, many insurance companies in Taiwan increased their investments in foreign countries substantially due to the inadequacy of domestic investment markets. Some insurers started or have been preparing to invest in emerging alternative investment tools such as private equity funds and hedge funds. However,there is a trade-off between return and risk. In this study we utilized the methods developed by Rockafeller and Uryasev (2000) and Campbell, Huisman, and Koedijk (2001) to conduct risk-return analyses for the insurance companies who are interested in alternative investments. Our approach extends the traditional Mean-Variance approach by introducing value at risk (VaR) and conditional VaR as risk measures. We found that the correlations among asset classes were low and alternative investments could enhance the investment efficiency of insurance companies. We suggest loosening some regulations accordingly.
    Reference: 洪幸資. (2004). 控制風險值下的最適投資組合.國立政治大學金融研究所碩士論文,1-56.
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    黃于軒. (2013). 論私募股權基金之金融監理-以投資策略可能引發之風險為探討中心. 臺灣大學法律學研究所碩士論文, 1-189.
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    Description: 碩士
    國立政治大學
    風險管理與保險研究所
    103358022
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0103358022
    Data Type: thesis
    Appears in Collections:[風險管理與保險學系 ] 學位論文

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