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壽險公司最適資產配置與風險管理之探討-以郵政簡易壽險為例 / The Optimal Asset Allocation and the Risk Management in Life Insurance Companies: the Case of Postal Simple Life Insurance黃振忠, Huang, Jenn Jong Unknown Date (has links)
國內壽險公司面臨資金不斷累積與同業間激烈競爭,加上全球經濟動盪不安,國際金融偶有黑天鵝事件發生,尤以2008年金融海嘯重創全球產業為最,壽險業亦難以倖免,肇致壽險業者經營益顯艱困。因此,為維繫公司永續經營,規劃長期財務穩健性至關重要。是故,如何訂定投資策略與妥適資產配置,並兼顧風險管理,為當前壽險公司重要課題。
本研究分析郵政壽險資產配置行為,歸納影響公司資產配置之內、外在因素,例如流動性風險、利率風險、信用風險、資本適足率、匯率風險及法令規範等因素,皆影響資產配置策略。另為建構最佳資產配置,提升獲利,逐步改善財務結構,在現行法令限制下,運用Markowitz之投資組合理論為分析工具,導出效率前緣線,再運用夏普指標績效分析,來建立最佳投資組合。
另外分析壽險公司必須正視未來「國際會計準則」(International Financial Reporting Standards, IFRS)IFRS 4第二階段適用公平價值評估負債,利差損問題會更加嚴重,對業務發展與負債評價將產生巨大衝擊。尤其我國壽險業發行商品大都以長年期終身險為主,若壽險商品負債評價與資產不一致時,其缺口將因利率變化影響損益波動。 / Abstract
Domestic life insurers are in a challenging environment with increasing asset size to manage and fierce competition within the industry. Moreover, the world economy is going down a bumpy path. Every now and then in the global financial system, we encounter a black swan event. Among them, the financial tsunami of 2008 hit global industries most severely. The financial tsunami of 2008 also left life insurers having an increasingly difficult time running the business. It is crucial to have sound long-term financial plans in order to ensure business sustainability. Therefore, how to form an investment strategy, determine asset allocation and manage risks at the same time becomes a critical issue for life insurers.
The research studies the asset allocation behavior of Chunghwa Post insurance sector and lists both the internal and the external factors affecting asset allocation. Factors like liquidity risk, interest rate risk, credit risk, capital adequacy, currency risk and regulations all have some influence on the asset allocation strategy. Meanwhile, the research constructs efficient frontier with Markowitz Portfolio Theory and adopts Sharpe ratio as the performance measure to build an optimal portfolio under current regulations with the goal of optimizing asset allocation, boosting profits and gradually improving the financial structure.
The research also studies the tremendous impact of IFRS 4 on business development and liability valuation of life insurance companies. The implementation of IFRS 4 Phase II will require fair value measurement of liabilities, which will exacerbate the negative interest spread problem. When the liability valuation approach of insurance products is not in line with asset valuation, the gap will intensify the income fluctuations from interest rate movements, especially for domestic life insurers whose main products are long-term whole life policies.
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