中文摘要 近年來投資型保險商品已成為台灣投資大眾的投資理財工具,其提供保戶擁有「保險保障」與「理財投資」之雙重功能。然而,投資型保險商品是由消費者自行承擔盈虧。因此,消費者欲以投資型保險商品作為個人理財工具時,應事前評估投資型保單相關費用,及投資標的之績效與風險,以確保保單價值達到投資期望。本研究選擇2004年度銷售投資型保險商品收益前10名的壽險公司,統一安聯人壽、國泰人壽、富邦人壽、南山人壽、安泰人壽、保誠人壽、中國人壽、新光人壽、三商美邦及台灣人壽進行研究分析;並依消費者投資屬性區分為積極型、保守型與穩健型之投資組合。因投資組合報酬並非全為常態分配,及傳統以標準差作為衡量風險指標,並無法提供真實資訊;因此,本研究引進損失風險的觀念,以風險值(VaR)衡量下方風險(Downside Risk),應用在Sharpe指標的績效衡量。而風險值的估算後,採用回顧測試法驗證其正確性。本研究發現報酬率呈現常態分配之積極型投資組合型,以變異數-共變異數法計算較佳;若呈現非常態分配則以蒙地卡羅模擬法計算較佳;而穩健型及保守型投資組合則以歷史模擬法較佳。另發現以Spearman等級相關係數檢定Sharpe指標群,其前後期績效指標具持續性,且前期績效可用來預測未來績效,尤其以標竿風險值Benchmark-Relative Value at Risk(V3)指標可增加其預測性。綜觀比較投資組合的整體績效優於大盤。本研究也發現以過去3年年化報酬率及標竿風險值Benchmark-Relative Value at Risk(V3)指標,預估各家壽險投資型保單之保單價值。保守型投資組合以三商美邦人壽最佳,南山人壽次之;積極型投資組合以三商美邦人壽最佳,國泰人壽次之;穩健型投資組合以台灣人壽最佳,國泰人壽次之。另根據各家投資型保單特色及保單價值,除中國人壽穩健型及台灣人壽保守型外,其餘皆可符合退休需求。此也證實投資型保單可與個人理財規劃結合,使保戶得到財務自由、財務獨立、財務保全與財務移轉,並達到「生而自得」、「老有尊嚴」、「病而無憂」和「死而無憾」的人生目標。
Abstract Investment-Oriented Insurance Products (IIP) will recently be one of the general investing tools in Taiwan. There are two functions of “Insurance indemnity” and “Chrematistic investment” for policyholders. The character of the Investment-Oriented Insurance Products is clearly defined that policyholders bear all the profit and loss. Before purchasing Investment-Oriented Insurance Products based on investor's expectation, policyholders must evaluate the related costs, performances and risks to affirm the value of Insurance warranty. This paper analyzes the performance of top 10 insurance companies of selling Investment-Oriented Insurance Products in 2004, including Allianzlife, Cathaylife, Fubonlife, AIG Nanshanlife, ING Antailife, Pca life, Chinalife, Shinkonglife, Mli life and Taiwanlife. Policyholders who purchased IIP are classified according to three types of portfolios: aggressive, conservative and moderate portfolios. It is difficult to obtain accurate information due to the fact that there were non-normal distribution for the portfolios and bias caused by traditional standard deviation. Following the lose risk view, we use Value at Risk (VaR) to evaluate Downside Risk and modified Sharpe performance. In addition, we applied back testing to exaime accuracy to reaffirm VaR. The empirical results show that normal distribution of returns for aggressive portfolio can apply Variance-Covariance Method, while Structured Monte Carlo is suit for the abnormal distribution. The Historical Simulation Approach is suit for moderate and conservative portfolios. We use the Spearman correlation for examining a variety of Sharpe indexes to test continuity of their performances, and found that a later period performance can be predictable by an earlier performance. We found the Benchmark-Relative Value at Risk (V3) could improve the accuracy. In general, the portfolio awards are larger than stock index returns. This paper estimates the value of IIP by using the last three years of expected returns and the Benchmark-Relative Value at Risk (V3). The best Conservative portfolio is Mlilife, AIG Nanshanlife ranks second place. The best Aggressive portfolio is Mlilife, Cathaylife comes next. The best performance of Moderate portfolio is Taiwanlife, next is Cathaylife. The connection between the character and the value of all IIP is importance for policyholders to meet retirement requirement except for the Chinalife Moderate portfolios and Taiwanlife Conservative portfolios. Besides, affirming IIP is importance for policyholders to manage personal financing in order to enhance their financial freedom, independent, security and transformation. The life-time goals of the “pleasure for living”, “Dignify for elders”, “No worry for sickness” and “ No regret for death” can be completed for everybody.
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