台灣保險業之股市及不動產投資風險

台灣保險業之國內投資風險，近年來保險業資產占金融機構資產的比率不斷上升，由1995年的7.46%上升至2012年的28.08%，故我國保險業在金融市場之重要性勢必日與俱增。保險公司為顧及保戶權益並穩定營收，保險公司在風險性資產上的風險管理應更加嚴謹，所以本研究將聚焦於保險業資產配置的風險管理，從資產配置的角度觀之，保險業可配置之資產主要分為本國風險性資產與外國風險性資產，本文焦點鎖定於本國風險性資產之風險管理，保險業可投資的風險性資產眾多，本文以不動產與股票投資為主。本文主要針對我國保險業之本國風險性資產投資進行風險管理模型之研究。在1991年9月到2013年9月間共有14家上市的產、壽險公司，以此為樣本進行本國股市及不動產投資對保險業股價的關聯性分析。研究結果發現，本國股市與不動產投資對保險業股價有一定之關連性，本文採用之股市與不動產風險因子，對保險業股價都有達到良好的顯著水準，且解釋能力也都頗高，代表保險業之股價受其投資股市與不動產之影響。

關鍵字

資產配置；保險業資金運用；風險性資產

並列摘要

From 7.46% at 1995 to 28.08% at 2012, the asset ratio of insurance industry to whole financial institutes is continuously increasing at more recent years. As a result, the insurance industry attracts a huge investor’s attention. For insurer’s benefits and stabilizing revenues, the insurance company should do more risk management work at holding risky assets. This study will focus on risk management of asset allocation for insurance industry. From the viewpoint of asset allocations, the major asset classes are domestic and foreign risky asset for Taiwan’s insurance industry. Our empirical work concentrates on domestic risky asset class, especially on real estate market and stock market. This paper studies the risk management model of domestic risky asset for Taiwan’s insurance industry. Based on the sample period from September 1991 to September2013, we analyze the correlations between the stock return of 14 public property and life insurance companies and index return of Taiwan’s real estate market and stock market. The main result shows that the index return of Taiwan’s real estate market and stock market impact largely the stock return of Taiwan’s insurance industry. Not only the factor loadings are statistically significant, also the model shows higher explanatory power.