保險法中之投資限制對保險業投資績效影響之實證研究

The Effects of the Investment Constraints in the Insurance Law on the Investment Efficiency of the Insurance Company: An Empirical Study of Taiwan

蔡政憲(Cheng-Hsien Tsai) ； 吳佳哲(Jia-Je Wu)

《風險管理學報》 2卷2期 (2000/11) Pp. 1-36

https://doi.org/10.30003/JRM.200011.0001

摘要

我國保險法最近一次的修訂是在民國81年。由於法令修訂的雙重性與學理上的不一致性（效率前緣派對估計誤差派），致無法判別民國81年保險法投資限制修訂的效果。本文的目的，便是藉著衡量保險公司因民國81年修訂所引起的投資效率的變化，來實證檢驗修法的影響。研究發現，民國81年的修訂，對保險公司的投資收益率沒有顯著的影響，但卻使保險公司的投資風險升高了。此意味著投資限制的修訂，使保險公司所面臨的效率前緣往右下方移動，迫使保險公司採行更高風險的投資策略，以維持既有的投資收益率水準。因此，本研究的證據顯示，民國81年投資限制的修訂，對保險公司有不利的影響，應再加以修訂。

關鍵字

保險法 ； 投資限制 ； 保險業 ； 投資績效 ； 效率前緣

並列摘要

The various revisions of the constraints (some become more stringent while some get loosed) and the inconsistency among the literature leave us inconclusive assessment about the effects of the insurance law revision in 1992. The purpose of this paper is to empirically examine the effects of the investment constraints by testing the resulting changes in the investment efficiency of insurance companies from the revision. We found that the revision in 1992 does not have impact on the rate of return but raise the risk of insurance companies' investment portfolios. Our results imply that the revision of the investment constraints shift the efficient frontier rightward. The rightward shift of the efficient frontier causes insurers to raise the risk of their investment portfolios to maintain the original investment return level. Our paper finds that the revision in 1992 adversely affects the insurance company and should be modified.

並列關鍵字

Insurance Law ； Investment Constraints ； Insurance Industries ； Investment Efficiency ； Efficient Frontier