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    題名: 投資組合集中度之研究 —以RBC架構下台灣保險公司之投資組合為例
    A study of portfolio concentration and performance of insurance company under RBC structure in Taiwan
    作者: 楊智皓
    Yang, Chih Hao
    貢獻者: 郭維裕
    楊智皓
    Yang, Chih Hao
    關鍵詞: 保險業
    風險資本額制度
    風險集中度
    邊際風險貢獻
    投資組合比重
    Insurance company
    Risk-based capital (RBC)
    Risk concentration
    Marginal risk contribution
    Portfolio ratio
    日期: 2017
    上傳時間: 2017-07-03 14:33:26 (UTC+8)
    摘要: 截至2016年的統計資料，我國產險與壽險業的保險公司家數來到54家，保險業資產總額佔了全台灣所有金融機構總資產的31.78%，資產規模來到新台幣22.6兆元，在如此龐大的資產規模下，保險公司的投資組合管理變成相當的重要，重點漸漸的從投資在什麼樣的商品可以讓資金獲取最大效益轉移到了投資後的管理與部位的調整，以避免不必要的非系統性風險，有鑑於此，台灣在2003年實施了RBC制度，讓保險公司的投資組合的分配有所依據，不過仍然免不了過度集中在某些資產的問題，所以本研究的目的在於能否運用風險集中度的概念來判斷投資組合是否過度集中，而不僅僅只有投資金額的比例來做判斷。

    本論文的研究方法會根據各家保險公司的實際投資組合以每半年或每年的型式分別計算Marginal Risk Contribution(MRC)的値，並且進行分析後再以Herfindahl-Hirschman Index(HHI)與 Gini Index 來檢視長期資產組合集中度的趨勢，最後的研究結果可以發現若是從邊際風險貢獻的比例來看，各保險公司的風險分布主要是集中在國內上市普通股與ETF、海內外不動產投資、國外已開發國家或新興市場上市普通股與ETF以及A評等的國外固定收益債券，而利用HHI與Gini Index兩個指標來看，各保險公司的資產集中度是逐年上升的。
    According to the statistical data in 2016, there are 54 insurance companies which includes property and casualty insurance company and life insurance company. And the scale of insurance asset is NTD 2,260 billion, accounting for 31.78% of whole asset of financial institution in Taiwan. Under huge amount of asset, the portfolio management for insurance company become more and more important. The key points of this issue are transferring to the ratio of portfolio management from choosing asset class to get maximum profit in order to avoid the nonsystematic risk gradually. Therefore, the Risk-based Capital policy has established in 2003 in Taiwan. The ratio of the insurance companies’ portfolio had the reference to allocate. However, there were some issues about the excessive concentration of some asset classes. So, the target of this study is using the concept of the risk concentration to judge the portfolio too concentrated or not. Not just judge it by its amount invested.
    The research process of this thesis is to calculate the marginal risk contribution value of the insurance companies’ portfolio every half a year or every year. Moreover, using the Herfindahl-Hirschman Index (HHI) & Gini Index to observe the trend of long term portfolio concentration. From the marginal risk contribution ratio. We can found the result of this study is the risk concentrated on the domestic listed common stock & ETF, domestic or foreign Real Estate, foreign developed market or emerging market listed common stock & ETF and fixed income bond (A rating). Besides, using the Herfindahl – Hirschman index and Gini index. The concentrated ratio of insurance companies’ portfolio were raising recent years.
    參考文獻: 1.財團法人保險事業發展中心，人壽保險業務統計表 2016年版
    2.曾于芳，2010，「台灣保險業資產風險係數之探討」，國立政治大學風險管理與保險學系研究所碩士論文。
    3.曾信凱，2003，「風險基礎資本制度對壽險公司風險承擔行 為之影響」，國立政治大學風險管理與保險學系研究所碩士論文。
    4.曹凱雯，2009，「RBC實施對台灣壽險業資產配置與公司穩健之影響」，國立臺灣大學財務金融學研究所碩士論文。
    5.彭郁婷，2003，「風險基礎資本制度實施對產險業資本與風 險之影響」，國立政治大學風險管理與保險學系研究所碩士論文。
    6.鄭聿舒，2004，「風險基礎資本制度下壽險公司之最適投資決策」，國立臺灣大學財務金融學研究所碩士論文。
    7.蔡沛然，2011，「人壽保險業之資產配置決策及影響評估」，國立政治大學風險管理與保險學系研究所碩士論文。
    8. Badreddine Slime, Moez Hammami, 2016. Concentration Risk: The Comparison of the Ad-Hoc Approach Indexes. Journal of Financial Risk Management, 2016, 5, 43-56.
    9. Charles P. Thomas, Francis E. Warnock, Jon Wongswan, 2005. THE Performance of International Equity Portfolios. NBER Working Paper No. 12346.
    10. Etti G. Baranoff , Thomas W. Sager, 2002. The relations among asset risk, product risk, and capital in the life insurance industry. Journal of Banking & Finance 26, 1181–1197.
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    12. Etti G. Baranoff, Savas Papadopoulos, Thomas W. Sager, 2007.Capital And Risk Revisited: A Structural Equation Model Approach For Life Insurers. The Journal of Risk and Insurance, 2007, Vol. 74, No. 3, 653-681.
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    15. HARALD HAU, 2001. Location Matters: An Examination of Trading Profits. The journal of finance, Vol. LVI, No. 5, 1959-1983.
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    Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide. The journal of finance, Vol. LX, No. 3, 1495-1534.
    18. Karolyi, G. Andrew & Stulz, Rene M., 2003. "Are financial assets priced locally or globally?," Handbook of the Economics of Finance, edition 1, volume 1, chapter 16, 975-1020.
    19. Kevin Jacques and Peter Nigro, 1997. Risk-Based Capital, Portfolio Risk, and Bank Capital: A Simultaneous Equations Approach. Journal of Economics and Business 1997; 49:533-547.
    20. MARCIN KACPERCZYK, CLEMENS SIALM, and LU ZHENG,2005. On the Industry Concentration of Actively Managed Equity Mutual Funds. The journal of finance, Vol. LX, No. 4, 1983-2011.
    21. Miguel A. Ferreira, Pedro Matos, João Pedro Pereira, 2009. Do Locals Know Better? A Comparison of the Performance of Local and Foreign Institutional Investors. SSRN Electronic Journal, November 2009.
    22.RAHUL BHARGAVA, JOHN G.GALLO*, PEGGYE. SWANSON, 2001.The Performance, Asset Allocation, and Investment, Style of International Equity Managers. Review of Quantitative Finance and Accounting, 17: 377–395.
    23. Sébastien Maillard, Thierry Roncalli, and Jérôme Teïletche, 2010. The Properties of Equally Weighted Risk Contribution Portfolios. The Journal of Portfolio Management, 2010, 36, 4:60- 70.
    24. SIMONE BRANDS , STEPHEN J. BROWN AND DAVID R. GALLAGHER,
    2005. Portfolio Concentration and Investment Manager Performance. International Review of Finance, 5:3–4, 149–174.
    25. Stijn Van Nieuwerburgh and Laura Veldkamp, 2008. The home court of advantage.Stern Business Fall/Winter, 2008.
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    描述: 碩士
    國立政治大學
    國際經營與貿易學系
    104351018
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0104351018
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

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