Taiwan Insurance Industry Risk in Domestic Stock Market and Real Estate Market

• Main Authors: Pei-Chiao Hsu, 徐佩喬
• Other Authors: Hui-Ling Liu
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/02196690775986105001

碩士 === 朝陽科技大學 === 保險金融管理系 === 102 === From 7.46% at 1995 to 28.08% at 2012, the asset ratio of insurance industry to whole financial institutes is continuously increasing at more recent years. As a result, the insurance industry attracts a huge investor’s attention. For insurer’s benefits and stabilizing revenues, the insurance company should do more risk management work at holding risky assets. This study will focus on risk management of asset allocation for insurance industry. From the viewpoint of asset allocations, the major asset classes are domestic and foreign risky asset for Taiwan’s insurance industry. Our empirical work concentrates on domestic risky asset class, especially on real estate market and stock market. This paper studies the risk management model of domestic risky asset for Taiwan’s insurance industry. Based on the sample period from September 1991 to September2013, we analyze the correlations between the stock return of 14 public property and life insurance companies and index return of Taiwan’s real estate market and stock market. The main result shows that the index return of Taiwan’s real estate market and stock market impact largely the stock return of Taiwan’s insurance industry. Not only the factor loadings are statistically significant, also the model shows higher explanatory power.