| Summary: | 碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 90 === The relationship between underwriting and investment portfolio decision is an important issue in the property-liability company. The purpose of this study is to investigate the effects of return on the optimal underwriting-investment portfolio decision model relying on some lines data collected from Taiwanese insurer establishment, the regression analysis and Markowitz 「mean-variance model」 and actuarial results of the study found that (1) increasing funds generating factor, increasing the profit of the insurance company. (2) without the exposure leverage, the insurer can increase exposure leverage and change underwriting-investment portfolio to decrease operating risk. (3) the property-liability company can rise all exposure leverage and liability insurance, it is good for company. (4) efficient frontier with investment limit is right under the efficient frontier with no investment limit, it’s obvious show that high risk evaded by investment limit, so the government moderation some limit on investment is god for the property-liability company to control risk. (5) increasing exposure leverage, increasing the profit and risk of insurance company, they can rise volume of business by sales and underwriting policy.
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