The Analysis of Performance Attribution Model of Life Insurance Company

• Main Authors: Hsieh, Yun Hsi, 謝耘曦
• Other Authors: Chang, Bill Shih Chieh
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/03012326216326002249

碩士 === 國立政治大學 === 風險管理與保險研究所 === 101 === This research of pension fund is conducted based on Plantinga’s (2010) performance attribution model and applied to insurance companies in Taiwan; The research tested how insurance companies investment return per unit of liability and investment rate of return would be affected would be affected under the circumstance of asset-liability-mismatch based on two variables: company size and cost of capital. The result is shown below: （i） Under unit liability, the asset-liability allocation has negative effect on the return of insurer during 2007 to 2012. （ii） There is a significant positive relationship between insurer’s cost of liability and surplus asset active return rate; positive relationship between insurer’s liability scale and surplus asset active return rate; no significant relationship between asset-liability mismatch level and surplus asset active return rate. （iii） There is a positive but not significant relationship between asset-liability mismatch level and nominal asset active return rate; no significant relationship between insurer’s liability scale and nominal asset active return rate; no significant relationship between insurer’s cost of liability and nominal asset active return rate, either. The research, which is based on Platinga’s (2010) internal performance measurement model, demonstrates the degree of influence on company’s liability disregard of any capital injection. The result can be used as industry reference. Key words：asset-liability allocation, internal performance measurement model, asset-liability mismatch level, panel data