English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 115393/146433 (79%)
Visitors : 54964162      Online Users : 28
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/156522


    Title: Life Insurance Portfolio Optimization
    人身保險公司商品組合最佳化
    Authors: Chen, Che-Pin;Tsai, Chenghsien Jason
    陳哲斌;蔡政憲
    Contributors: 風管博七
    Keywords: insurance portfolio optimization;random matrix theory (RMT);Markowitz Portfolio Theory (MPT)
    保險商品組合最佳化;隨機矩陣理論;馬可維茲投資組合理論
    Date: 2025-01
    Issue Date: 2025-04-14 09:24:10 (UTC+8)
    Abstract: Most life insurance companies do not implement optimization in their business portfolios, and only limited academic research exists on this subject. This study proposes using the variances of the percentage changes in reserves for each product line to optimize the business portfolio for a life insurer. We apply the Random Matrix Theory (RMT) as well as the Markowitz Portfolio Theory (MPT) to construct the optimal portfolio. Using the U.S. National Association of Insurance Commissioners (NAIC) data from 2001 to 2021, we demonstrate that the variances of the percentage changes in reserves obtained through these two approaches are smaller than the historical variances. Furthermore, RMT performs superior to MPT in regard to stock insurers and equivalent to MPT regarding mutual insurers. Life insurers therefore would be well-advised to implement optimization in their business portfolios.
    大多數壽險公司在其業務組合中並未實施最佳化，且這方面的學術研究相對有限。本研究提出利用每個產品線的準備金百分比變化的變異數來最佳化壽險公司的業務組合。我們運用了隨機矩陣理論（RMT）以及馬可維茲投資組合理論（MPT）來構建最佳業務組合。利用2001年至2021年的美國保險監理官協會（NAIC）數據，我們證明了這兩種方法得到的準備金百分比變化的變異數均小於歷史變異數。此外，相較於MPT，RMT在股票型保險公司方面表現優異，在相互保險公司方面與MPT相當。因此，壽險公司應在其業務組合中實施最佳化。
    Relation: 中山管理評論, 預刊文章, pp. i+1-43
    Data Type: article
    DOI 連結: https://doi.org/10.6160/SYSMR.202501/PP.0002
    DOI: 10.6160/SYSMR.202501/PP.0002
    Appears in Collections:[風險管理與保險學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML9View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback