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| Title: | 投資型保險商品之最適退休資產配置分析 |
| Authors: | 郭文偉 |
| Contributors: | 王儷玲
郭文偉 |
| Keywords: | 退休
資產配置
投資型保險
retirement
asset allocation
replacement rate |
| Date: | 2005 |
| Issue Date: | 2009-09-14 09:40:00 (UTC+8) |
| Abstract: | 本研究旨在討探投資型保險之最適退休資產配置，資產配置是決定一個投資組合的報酬與風險的最重要因素。本研究採取五種資產配置策略，包含了BH策略、CM策略、LCF、LCR策略及TRR策略，利用模擬四項投資標的之未來的投資報酬率，在給定之個案設計下進行投資期間分別20、25、30、35年模擬分析，研究結果發現：
1. 當風險性資產所佔之比重愈高對達成目標所得替代率之影響愈明顯，
2. 當投資期間愈長，其愈少投資在風險性資產之策略，在期末終值遠低於於持續持有較高風險資產。
3. 不同投資期間其不同策略在表現各有所不同，LC策略至少投資25年以上會有比較高的所得替代率，保守且投資期間較短的投資人可選擇TRR策略，較積極或投資期間較長的投資人可選擇BH或CM策略以達到較高的所得替代率。
4. CM策略跟BM策略不同之處僅在於有無調整機制，在風險乘數較高的情況下，調整機制對於風險降低有明顯幫助，但對風險乘數為0.1時，其調整機制反而增加了投資組合之波動性。
5. 隨著投資期間的拉長，除了TRR策略外，各策略之結果對所得替代率均有大幅成長。
另就費用與稅賦對投資型保險與「買定期險，差額直接投資在共同基金(Buy Term and Invest the Difference，BTID)」之影響並模擬分析。實證結果發現到只是轉換同基金公司之基金，則必須在投資標的數目較多下，投資型保險才有利基；但若是要轉換不同基金公司之基金，則只要每年轉換一次以上，投資型保險比起BTID策略較有優勢，隨著轉換次數增多及投資金額較大時，此優勢更加明顯；在正常課稅下，隨著投資金額增加，投資型保險帳戶的價值大於BTID策略之年度將遞減。
This research aims to examine the most appropriate retiring asset allocation of the Variable product. Asset allocation is one of the most important factors to determine the return and risk of a portfolio. This research adopts five asset allocation strategies, including BH strategy, CM strategy, LCF strategy, LCR strategy and TRR strategy. With a given future return on four assets in four different investing durations, which are 20, 25, 30 and 35 years, the results of this current project demonstrates:
1. The likelihood to achieve replacement rate increases with higher risky asset.
2. The longer the period of one’s intended holding period, the less the value of the ending wealth for not pursuing the risky investment.
3. The pattern of these various strategies depends on the investing duration: For the LC strategy, one needs to invest 25 years at least in order to have higher replacement rate. For shorter investing duration, one is advised to choose the TRR strategy whereas the BH or the CM strategy is suitable for longer investing duration in order to attain higher replacement rate.
4. The only difference between the CM and the BM strategies lies in rebalancing. Rebalancing reduces the risk in the higher multiple situation but increases the risk in the lower multiple situation.
5. Except the TRR strategy, the replacement rates of other strategies significantly increased with the investing duration.
The result of the analysis on the effects of cost and tax on Variable product and Buy Term and Invest the Difference (BTID) showed that, with more mutual funds, there are advantages when the transferring is within the same company. However, the advantages of Variable product are greater than the BTID strategy if the transferring is under different mutual fund companies. Further, with the increases of the transferring frequencies and the amount of the investing money, the advantages are greater. Under normal taxing and with the increase of the amount of the investing money, the duration of the value on the Variable product which is greater than that of BTID will decrease. That is, the value of the Variable product will be greater than that of the BTID within shorter investing period. |
| Reference: | 中文部分：
1. 王崇霖，「投資型保險商品市場臺灣前三大壽險公司經營績效之比較研究」，淡江大學管理科學研究所企業經營碩士碩士論文，2004年6月。
2. 馬瑗璘，「投資型保險與BTID策略之比較－以我國變額萬能壽險為例」，台灣大學財務金融學系碩士論文，2003年6月。
3. 李美煥，「投資型保險商品最低報酬保證成本之個案分析」，逄甲大學保險學系碩士論文，2003年6月。
4. 陳潓涓，「變額萬能壽險之比較分析－美國與台灣」，逄甲大學保險學系碩士論文，2002年6月。
5. 蔡俊生，「投資組合之風險值衡量」，世新大學管理學院財務金融學系碩士論文，2004年7月
6. 吳豐宗，「自動平衡機制在投資型保險商品的財富效果」，國立中山大學財務管理學系碩士論文，2004年6月
7. 邢益慈，「確定提撥計畫下退休基金之資產配置策略」，國立中山大學財務管理學系碩士論文，2000年6月
8. 張桂莉，「資產配置之最適策略」，國立政治大學企業管理學系碩士論文，2000年6月
9. 陳家明，變額保險，財團法人保險事業發展中心，2000年3月
10. 投資型保險商品業務人員訓練教材，財團法人保險事業發展中心，第三版，2001年7月
11. 簡士家「消費者對投資型保險購買行為之研究─產品認知涉入之應用」，朝陽科技大學保險金融管理系碩士論文，2003年5月
英文部分：
1. Bodie Zvi,Robert C.Merton, and Willian F. Samuelson,1992, "Labor supply flexibility and portfolio choice in a life cycle model", Journal of Economic Dynamics and Control,vol.16,pp.427-449.
2. Bodie Zvi and Crane B.Dwight,1997, "Personal Investing: Advice,Theroy,and Evidence", Financial Analysts Journal,Nov/Dec,pp.13-23.
3. Hichman Kent, Hunter Hugh, Byrd John , Terpening Will,2001, " Life Cycle Investing, Holding Periods, and Risk", Journal of Portfolio Management,Winter,pp.101-111.
4. Malkiel B.G ,1996, " A Random Walk Down Wall Street",6th ed.New York:W.W. Norton.
5. Markowitz, Harry M,Mar 1952, "Portfolio Selection",Journal of Finance,pp.77-91
6. Mitchel S. Olivia, Mottola R. Gary, Utkus P. Stephen, and Yamaguchi Takeshi ,2006, " The Inattentive Participant :Portfolio Trading Behavior in 401(k) Plans", Pension Research Council Working Paper.
7. Robber J. Shiller,2005, "The Life-Cycle Account Proposal for Social Security:An Evaluation,Cowles" Foundation for Research in Economics and International Center for Finance,Yale University.
8. SHARPE, W.F. ,1987, "Integrated Asset Allocation", Financial Analysts Journal, vol. 43 ,no. 5, pp. 25 – 32.
9. Schooley K.Diane and Debra Drecnik Worden ,1999, "Investors’Asset Allocations versus Life-Cycle Funds", Financial Analysts Journal,Sep/Oct pp.37-43
10. Zhu, Yu and Robert C. Kavee, Spring 1988, "Performance of Portfolio Insurance",Journal of Portfolio Management, pp.48-54
網站部分：
1. 中華民國人壽保險商業同業公會
http://www.lia-roc.org.tw
2. Fund DJ 基智網
http://www.funddj.com
3. 萬泰商業銀行
http://www.cosmosbank.com.tw/
4. ING安泰金融理財服務網
https://ul.inglife.com.tw/
5. 財政部
http://www.mof.gov.tw |
| Description: | 碩士
國立政治大學
風險管理與保險研究所
93358001
94 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0093358001 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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