Risk Management and Regulation on Emerging Alternative Investments of Insurance Companies

• Main Authors: Yu, Li Jung, 游儷容
• Other Authors: Tsai, Cheng Hsien
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/76993p

碩士 === 國立政治大學 === 風險管理與保險研究所 === 104 === Recently, many insurance companies in Taiwan increased their investments in foreign countries substantially due to the inadequacy of domestic investment markets. Some insurers started or have been preparing to invest in emerging alternative investment tools such as private equity funds and hedge funds. However,there is a trade-off between return and risk. In this study we utilized the methods developed by Rockafeller and Uryasev (2000) and Campbell, Huisman, and Koedijk (2001) to conduct risk-return analyses for the insurance companies who are interested in alternative investments. Our approach extends the traditional Mean-Variance approach by introducing value at risk (VaR) and conditional VaR as risk measures. We found that the correlations among asset classes were low and alternative investments could enhance the investment efficiency of insurance companies. We suggest loosening some regulations accordingly.