運用新風險指標分析壽險公司資產配置之風險;Analyzing the Risk of Life Insurance Companies′ Asset Allocation with New Risk Indicators

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题名:	運用新風險指標分析壽險公司資產配置之風險;Analyzing the Risk of Life Insurance Companies′ Asset Allocation with New Risk Indicators
作者:	陳天薇;Chen, Tien-Wei
贡献者:	財務金融學系
关键词:	風險指標;Aumann and Serrano index;Foster and Hart index;壽險公司;資產配置;風險管理;Risk Indicators;Aumann and Serrano Index;Foster and Hart index;Life Insurance Companies;Asset Allocation;Risk management
日期:	2025-06-26
上传时间:	2025-10-17 12:01:20 (UTC+8)
出版者:	國立中央大學
摘要:	本研究分析2021至2023年間台灣壽險公司在資產配置與風險承擔上的差異，從本國與外商、金控與非金控、以及各家壽險公司層面進行分析比較。傳統風險指標如RBC、VaR與CVaR確實可以反映資本與市場風險，但在極端事件與風險排序上的辨識能力仍有限，為了補足傳統指標不足，本研究進一步引入Aumann and Serrano (2008, JPE)所提出的Aumann and Serrano index以及Foster and Hart (2009, JPE)所提出的Foster and Hart index，以更完整衡量極端損失與風險偏好。分析結果顯示，金控公司因資源整合與投資多元化，整體承擔較高風險，並獲取相對較高報酬；而非金控與外商公司則普遍採取較保守策略，以穩定風險為目標進行資產配置。也建議未來風險評估實務中可將新風險指標與傳統指標搭配應用，以提升壽險業資產配置與風險管理效率，並有助於因應新會計準則與監理要求下的風險監控與資本管理需求。;This study analyzes the differences in asset allocation and risk-taking among Taiwanese life insurance companies from 2021 to 2023, comparing domestic and foreign insurers, financial holding and non-financial holding companies, as well as individual insurers. Traditional risk indicators such as RBC, VaR, and CVaR can capture capital adequacy and market risk, but remain limited in addressing extreme events and providing precise risk rankings. To address these limitations, this study introduces the Aumann and Serrano index (Aumann and Serrano, 2008, JPE) and the Foster and Hart index (Foster and Hart, 2009, JPE), which complement traditional risk measures by better capturing extreme losses and risk preferences. The empirical results reveal that financial holding companies, benefiting from resource integration and diversified investments, generally take on higher risks while achieving superior returns; in contrast, non-financial holding and foreign insurers tend to adopt more conservative strategies, seeking stable, lower-risk asset allocations. Overall, this study suggests that incorporating new risk measures alongside traditional indicators may enhance the effectiveness of asset allocation and risk management in the life insurance sector, particularly under evolving accounting standards and regulatory requirements.
显示于类别:	[財務金融研究所] 博碩士論文

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