- 學位論文
台灣壽險業在RBC規範下資金運用效益之研究
A STUDY OF INVESTMENT BENEFIT OF R.O.C. LIFE INSURANCE INDUSTRY UNDER RBC
摘要
在目前低利率及處在量化寬鬆貨幣政策的金融環境下，台灣壽險業經營上面臨許多挑戰，本研究針對保險業公開資訊觀測站上公開的資本適足性之揭露資料，及保發中心公布的各壽險公司的資金運用情況，擷取各公司的資本適足率等級，分析台灣壽險業如何進行資產配置，以調整風險資本額與自有資本額，兼顧資產配置與風險管理。 在2003年實施資本適足率制度後，本研究以2005年至2012年，台灣壽險業資產配置上的公債及國庫券、股票、公司債、壽險貸款、放款、國外投資、短期投資各類資產的季報酬率，分析無特殊限制下配置與台灣壽險業的實際資產配置情況差異。本研究實證結果發現，RBC制度不影響投資組合效率前緣曲線，RBC等級在本研究中不會影響壽險公司的投資組合報酬率。 本研究以2009年至2011年二十九家台灣壽險公司年度資產配置縱橫資料，採用Panel Data迴歸方法，分析此期間內各壽險公司的投資報酬率，並探討壽險業在資本適足率RBC及保險法的規範下，各項資產配置對投資報酬率的影響能力。本研究實證結果發現，壽險業資產規模大小及是否為國內壽險公司都不影響投資報酬率；對投資報酬率較具有影響力之變數是股票，國外投資對於投資報酬率的影響不如預期。
並列摘要
In the low interest rates and quantitative easing financial environment, the life insurance industry has faced many challenges. This study is for the disclosure of Risk-based capital (RBC) information in website of The Insurance Bureau of Financial Supervisory Commission, to capture the level of the company's capital adequacy ratio, and the financial data of life insurance companies made by Taiwan Insurance Institute, to analyze the asset allocation of the life insurance industry in Taiwan, how to adjust the amount of risk-based and total capital, at the same time, taking into the asset allocation and risk management. The capital adequacy rate system was implemented in Taiwan since year 2003. This research data is from 2005 to 2012, including the Taiwan life insurance industry on the asset allocation of bonds and treasury bills, stocks, corporate bonds, policy loans, loans, foreign investment, short-term investments. Analyze and discover the difference quarterly performance return between no special restrictions configured asset allocation and Taiwan life insurance industry actual asset allocation. The empirical results are found, RBC system does not affect the efficient portfolio frontier, and the RBC level of life insurance company in this study will not affect the life insurance company's investment portfolio returns. In this study, this research data include vertical-horizontal materials of annual financial affairs of twenty-nine life insurance companies in Taiwan from 2009 to 2011. Use Panel Data regression method, return on investment analysis of the life insurance company in the meantime, and to explore the asset allocation return on investment of the life insurance industry in the capital adequacy ratio and specification of the Insurance Act. The empirical results are found, the life insurance industry asset size and whether is the domestic life insurance company or foreign one will not affect the return on investment. The powerful influence variable in return on investment is stock. Foreign investment is not as good as return on investment expectations.