摘要
由於保險業之經營關係到承保大眾之權益，以及社會金融之安定，且保險業主要收入來源為核保收益與投資收益，本文欲瞭解資產與保險配置對壽險業資產報酬率之影響。首先，本文以各壽險公司資產報酬率之變異數與平均數為分類變數，利用集群分析將研究對象區分為高低經營風險公司，研究中針對不同經營風險公司進行因素分析，建立其資產配置與保險配置之模型。研究發現資產配置與保險配置之間存在有交互影響，不同經營風險公司與資產配置也存在有交互影響。
關鍵字：資產報酬率、資產配置、保險配置、交互影響
Abstract
The operations of life insurance companies have profound impact on society and its financial stability. Underwriting and investment are two major sources of profits for insurance companies. In this paper we investigate how insurance company’s asset and insurance allocations affect asset returns. First, the variance and average of asset returns of each life insurance company are treated as categorical variables and cluster analysis is used to separate high operational risk companies from low operational risk ones. Then factor analysis is applied to construct the model of asset and insurance allocations of those different operational risk companies. There exist interaction effects between asset allocation and insurance allocation. Different operational risk companies and asset allocation also exist interaction effects.
Keywords: return on asset, asset allocation, insurance allocation, interaction effect