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題 名 | 郵政壽險資金運用之研究=Measuring the Investment Performance of the Postal Simple Life Insurance Department |
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作 者 | 葉立仁; 許和鈞; 鄭鎮樑; | 書刊名 | 保險專刊 |
卷 期 | 66 2001.12[民90.12] |
頁 次 | 頁48-69 |
分類號 | 557.664 |
關鍵詞 | 簡易壽險; 資金運用; 風險值; 資料包絡法; Postal simple life insurance department; Investment performance; Value-at-risk; Data envelopment analysis; |
語 文 | 中文(Chinese) |
中文摘要 | 郵政壽險資金部位龐大,壽險資金又隸屬於準備金性質,資金運用上有諸多限制,在分析其相關特性時,除考慮其投資報酬與風險外,尚需透過同業間之比較以了解其資金分配與運用的效率。本研究乃運用基本分析、風險值(Value-at-Risk, VaR)分析與資料包絡分析(Data Envelopment Analysis, DEA)等方法,觀察郵政簡易壽險資金之資金配置、資金損失風險值與資金運用之效率。 在資金配置方面,郵政壽險資金與一般壽險同業資金投資的最大差異,可能出現於不動產的擔保放款,郵政壽險資金投入於此項目之比重明顯偏低。此乃由於嚴格之擔保放款限制,造成郵政壽險資金配置的彈性低落。 資金損失風險值方面,本研究運用風險值方法,採用87/7~89/6之股市狀況來估計或檢驗簡易壽險資金之投資損失風險狀況,若以“天”為持有週期估算,郵政壽險資金投資於股票市場之日最大可能損失約為新臺幣十億元/天。進一步若將此運用美國標準以估計壽險公司之最低資本計提,則將超過郵匯局壽險處全部之股東權益。此種現象也建議國內壽險業者在從事高額之股票市場投資時,似是應多加考量相關風險並審慎因應。 而在資金運用效率方面,經由資料包絡法分析,比較臺灣地區之三十二家壽險業者其經營效率與壽險資金之運作效率。研究發現,郵政壽險業務之經營上具有足夠「技術效率」(本文所稱技術效率,其相關變數請詳參本文第四單元郵政簡易壽險業務資金運用效率分析)。至於郵政簡易壽險資金之運作效率上,相較於傳統壽險業大型業者,郵匯局之資金操作上則呈現有改善空間。 |
英文摘要 | The funds of Postal Simple Life Insurance Department (PSLID) own insurance reserves behaviors, their usage have to follow strict and numerous restrictions. In order to measure the relative investment performance, we make use of some quantitative tools, including basic comparison, value-at-risk and data envelopment analysis, to observe important investing characteristics of the huge funds. On the aspect of capital allocation, the allocating flexibility is obviously lower than other insurance companies due to some strict injunctions. Especially, the allocated proportions in real estate mortgage and loans on policyholders of PSLID are entirely different to that of others. To estimate the expectative maximum loss, we adopt some skills of value-at-risk to evaluate the possible loss with the stock market data of 87/7~89/6. The daily value-at-risk is estimated and tested about NT$1 billion. Furthermore calculating the minimum required capital, we found that it is larger than the total equity of PSLID. It is concluded that the market risk of PSLID's stock funds is high and impacts on the right of the policyholders. Additionally, we compare the operational and investing efficiencies of the whole life insurance industry by data envelopment analysis. As shown in the result, PSLID possesses high operational efficiency to create insurance premium. On the contrast, its investing efficiency needs to be improved. |
本系統中英文摘要資訊取自各篇刊載內容。