The domestic life insurance industry at present is in the steep competition situation. With the fund accumulated rapidly, which investment strategy the life insurance company should take is very important. Law of Insurance 146th puts the restriction on the investment upper limit of the life insurance company. This research will discuss the influence of this investment restriction on life insurance companies¡¦ asset allocation by the samples of Cathay Life Insurance and Shin Kong Life Insurance, and also evaluate the performances of these two life insurance companies. Moreover, under the investment restriction, this research compares the investment rates of return between the optimal portfolios by different portfolio performance measures and the actual portfolios of the two life insurance companies and also shows that which portfolio performance measure is more suitable for life insurance companies to contribute to the decision-making of the life insurance companies about asset allocation.
This research utilizes the Efficient Frontier that is inferred from the Markowitz¡¦s portfolio selection model to apply on the Sharpe measure and the IRp measure to achieve the research¡¦s goal mentioned above.
The conclusions of this research are as follows: 1. Evaluated by the Sharpe measure, whether there is the investment restriction or not, the difference is small¡FEvaluated by the IRp measure, then there is the higher expected rate of return and better diversification with no investment restriction. 2.The actual rates of return of Cathay Life Insurance and Shin Kong Life Insurance are below the expected rates of returns of their portfolio evaluated be the Sharpe measure and the IRp measure. Moreover, This two measures show that Cathay Life Insurance has the better investment performance then Shin Kong Life Insurance. 3. Under the investment restriction, the differences between the expected rates of return of the optimal portfolio whether by the Sharpe measure or the IRp measure and the investment rates of return of the actual portfolio of these two companies are caused by the influence of the macro economy. 4. If there is no investment restriction, the optimal portfolio of the IRp measure has the better diversification that fits the conservative character of the life insurance companies.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0829106-223328 |
| Date | 29 August 2006 |
| Creators | Chen, Chiu-ling |
| Contributors | Wang, Chi-Jeng, David S. Shyu, Huang, Jen-Jsung, Lo, Henry Y. |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0829106-223328 |
| Rights | unrestricted, Copyright information available at source archive |
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