Insurance companies offer business and individuals the possibility to reduce the financial impact of a risk occurring by transferring it away from themselves onto someone. For taking on risk on behalf of someone else the insurance company requires a premium from the policyholder which is pooled and invested in order to meet future obligations towards the policyholder. However, the importance of the European insurance industry goes beyond economic protection of the policyholder as the industry with its EUR8.4 trillion or 58 percent of EU GDP in assets is the largest institutional investor in Europe. As the financial system has undergone dramatic transformation over time, so have the role and function of intermediaries changed. While traditional tasks like reducing transaction costs and asymmetric information became less relevant, facilitating of risk transfer and dealing with the increasing breadth and depth of financial markets are gaining more and more importance. While insurers have been able to hold illiquid asset to a larger extent arguments from the industry are made that the planned introduction of Solvency II will limit insurers and overlook their investment abilities, which is something that can affect the region’s economic development. The above mention aspect combined with the limited research that has been conducted on insurers’ asset allocation and the performance of it resulted in the following research question: Does asset allocation impact insurance company's performance? The question focuses on insurers within the European Union (EU) which is enlarged by the European Economic Area (EEA) and Switzerland, where performance is measured as the return on investment (ROI). To answer the research question in the best possible way, relevant theories such as Modern Portfolio Theory or Efficient Market Hypothesis are presented and discussed as well as previous research on asset allocation. Earlier studies about asset allocation policy and its power to explain the investment return came to different conclusions which can be due to variation in the interpretation of the findings or difficulties by distinguishing between asset allocation policy and active asset allocation. Census is used to investigate in the topic as the population of listed insurance companies within the selected region was rather small which finally came down to 42 firms due to the timeframe of 11 years. Data regarding insurer’s asset class weights in debt securities, equity, real estate, derivatives, cash and equivalent, loans and receivables and the category of others were collected. The return on investment was also collected for each year of the time period and for each insurance company. Benchmarks were constructed in order to replicate what the return of a passive investment of the same proportion would have yielded. The result was inconclusive as it was not possible to determine if asset allocation policy or active management have the greatest impact on the return on investment. This is contradicting previous research of asset allocation and performance as researchers have found that asset allocation policy explains most or all of the return.

published_or_final_version / abstract / toc / Statistics and Actuarial Science / Doctoral / Doctor of Philosophy

做好財富管理需要一個穩健均衡的投資組合資產配置架構，在一個10-15年的景氣循環長期投資市場裡，做好投資組合資產配置，將能使資產配置的報酬率與波動率更趨於均衡與穩健的成長，會比隨投資市場環境的變動，而做單一市場或單一投資標的的集中投資，更能達到資產配置的均衡與穩健。 在財富管理的規畫中，以符合客戶的風險承受能力，來為客戶做均衡的資產配置，找出對客戶最有效率的投資組合，完成穩健均衡的資產配置，才能在不確定的投資市場中立於不敗之地； 資產配置雖然不能快速創造財富，但資產配置才能穩健的保護財富，投資是長期的累積，穩健增值是重點，資產配置才是王道。 藉由投資組合資產配置消除投資市場的非系統風險，若能正確的組合相關性低的投資資產，則在獲得相同的回報下，投資組合資產配置的投資風險可以低於集中投資的投資風險，更能讓高資產客戶的資產配置達到長期的均衡與穩健，並完成每階段的人生財務目標。

The goal of the first part of this thesis is to obtain a high-level theoretical understanding of how an alliance can be managed such that its resources are used in an optimal manner. We propose a pricing mechanism to manage the interactions of carriers, through the allocation of alliance resources and profits, in a manner that encourages individual carriers to make decisions that are optimal for the alliance. Our methodology is based on modeling carrier behavior as linear programs, which are incorporated into a mechanism that manages carrier interactions by appropriately setting resource prices. After introducing two distinct behavioral models, the performance of the mechanism using each model is analyzed for its ability to ensure alliance optimal behavior is attained. We find that the behavioral model selected can significantly impact the characteristics of allocations obtained using the mechanism. In the second part of the thesis, we seek to establish practical insights regarding how the characteristics of potential partners impact the benefit that can be gained by collaborating with these partners. Computational experiments are conducted to evaluate the impact of network size, fleet capacity, demand distribution, and network compatibility on the benefit associated with collaborating. A comprehensive study for simulated two and three-carrier alliances establishes general insights regarding the compatibility of carriers with varying network sizes and fleet capacities. The impact of increasing hub-to-hub connectivity between partnering carriers is then investigated, followed by a study of the effect of market overlap on alliance success. Finally, a real-world cargo alliance is analyzed. In the third and final part of this thesis, we develop new approaches for determining and inducing fair profit allocations in alliances, providing alternatives to traditional approaches which equate minimum acceptance requirements and satisfaction. The mechanism established in the first part of the thesis is adapted to more precisely control the profit allocations obtained, in particular so that an allocation as close to some predetermined fair" allocation is obtained. Several measures of fairness are proposed and implemented, and their performance analyzed for each of the behavioral models discussed in the first part of the thesis.

This thesis studies three asset allocation strategies under a defined-contribution pension plan: Buy-and-hold (BH), constant mix (CM), and time-invariant portfolio protection (TIPP). First in this paper, the actuarial assumptions follow Frees et al (1998), as well as Chang and Lin (1999): the age of the beneficiaries is between 25 to 65 and follows the uniform distribution. As to the investment environment, the portfolio includes a risk-free asset, certificate deposit (CD), and a risky asset--the stock. The interest rate of CD is fixed and the return of stock varies according to 14 scenarios. Then the concept of an open-ended fund is applied to compute the NAV (Net Asset Value) of three strategies for each month and a model of defined-contribution pension funds was developed. Moreover, this thesis also discussed the relationship between the trends of the stock and the changes of stock weights, as well as the terminal wealth of pension fund and the income-replacement ratio under each asset allocation strategy. The characteristics and timing of each strategy can be investigated clearly. Finally, the input parameters derived from the data of historical stock market in Taiwan is used to implement Monte Carlo simulation so that the study of the performance of asset allocation strategies can go more close to reality. The endeavor and results of this thesis will be a useful reference to facilitate both the government and private sector to manage the pension fund.

With the longevity risk of human being and the low income replacement ratio (IRR), people start to plan their retirement early. Even though there are many new designed products for retirement demand on the market, but actually the investors have no enough time and financial knowledge to select the proper retirement products for themselves, and to plan their future retirement life. Therefore, this study aims at designing the ¡§Life Cycle Fund¡¨ for those Taiwan investors. This study mainly bases on the method of asset allocation using ¡§Age¡¨ basis and the method of international asset allocation to construct the life cycle portfolio. We consider both conditions of ¡§age¡¨ and ¡§international asset allocation¡¨ in this study. We use simple questionnaire investigation in two dimensions, the preference of investment instrument (to tell the risk preference of stocks or bonds) and the preference of investment region (to tell the risk preference of international asset allocation), to analyze the investors risk acceptance level. At the end, construct the life cycle portfolio by applying our model and the result of questionnaire investigation. We divided the empirical study into three parts, which are respectively the investment in four assets, the investment in multi-assets and the life cycle fund for American investors, to explore the portfolio performance under different risk parameters and different retirement ages. Consequently, from the result of forecasting and history back-testing, our model not only can control the risk properly, but also can be applied to different countries. This model can help the investors in planning for their retirement, and help investors who have the investment demand in multilnational countries to reach stable asset allocation. We expected this model can be a comparing benchmark for investors to measure the performance of life cycle fund.

Real Estate Investment Trusts is suggested as an attractive addition to mixed-asset portfolio. This study develops several hypothesized portfolio and tests whether REITs can actually increase diversification benefits of investors. We use mean-variance spanning test by Kan and Zhou (2008) to examine whether adding a REITs into portfolio can significantly expand efficient frontier in either global minimum variance portfolio or tangency portfolio. We assume our investors hold portfolio in the four markets, namely Japan, Singapore, Taiwan and US markets for period from March 2005 to February 2008. Three hypotheses are tested under various assumed conditions. The first hypothesis, which is REITs can provide diversification benefit, is confirmed in all these four markets. In addition, we find, for Taiwan domestic investors, holding international REITs in their portfolio rather than only Taiwan¡¦s REITs will provide more diversification benefit. The second hypothesis, which is holding period will affect diversification benefit, is not supported. However, this could be resulted from a test of short period in this study. The final hypothesis, which is different investment portfolio will affect the diversification benefit of RETIs for Taiwan domestic investors, is confirmed. Our results also suggest that expanding of efficient frontier are mainly from global minimum variance portfolio rather than tangency portfolio.

Thesis (M.B.A.)--University of Nevada, Reno, 2006. / "December, 2006." Includes bibliographical references (leaves 35-36). Online version available on the World Wide Web. Library also has microfilm. Ann Arbor, Mich. : ProQuest Information and Learning Company, [2006]. 1 microfilm reel ; 35 mm.

Thesis (Ph. D.)--University of California, San Diego, 2004. / Vita. Includes bibliographical references (leaves 144-173).

Thesis (M.S.) -- Worcester Polytechnic Institute. / Keywords: risk; clustering; covariance matrix; expected return. Includes bibliographical references (p. 51).