The Optimal Asset Allocation for Life Insurance Companies：Using Life Insurance Company F as an Example

• Main Authors: Tzu Po Wei, 魏子博
• Other Authors: C. Y. Tsao
• Format: Others
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/67932863426566600107

碩士 === 長庚大學 === 管理學院碩士學位學程在職專班經營管理組 === 98 === Abstract With the current climate of global economic uncertainty, the impact of liberalization, globalization, the growing complexity of the finance industry, the Life Insurance Industry is facing more environmental challenges than ever. The major differences between the Life Insurance Industry and other service providers in the finance industry is that the Life Insurance Industry needs to establish a long-term financial structure, also the necessity to comply with the relevant laws and regulations on its capital as well as financial management. According to a life insurance enterprise’s investment within the constrains of the current regulation as stipulated in Article 146 of the R.O.C. Insurance Law, this research aimed to analyze the impact of said investment constrains on a life insurance enterprise’s Asset Allocation, hereunder taking Life Insurance Company F as the example. With consideration of the restrictions of current laws and regulations, Markowitz’s investment theory was used to identify the Efficient Frontier; Sharpe Measure was used to validate the gap and the reasons between the theoretical optimal investment returns and the real returns of the Company’s investment portfolio based upon the scenario of investment weights during year of 2005 till 2009 in Life Insurance Company F. Using Markowitz’s investment theory, this research analyzed Company F’s major investment objects to determine the Efficient Frontier of a life insurance company’s investment portfolio. Meanwhile, considered the restrictions of current laws and regulations on the capital utilization of a life insurance company, the impact analysis of the Efficient Frontier on the life insurance company’s asset allocation and whether the regulatory restrictions would cause any difference to the Efficient Frontier. The model formulated in the research benefits to life insurance companies regarding to profit prediction and investment risk management, by using Markowitz’s investment theory to determine optimal Asset Allocation. This can serve as a reference for life insurance companies in planning investment strategies.