The Amendment of Article 146 of the Insurance Law on the Life Insurance Company’s Investment Efficiency

[[abstract]]在資訊科技一日千里，瞬息萬變的網路及電子商務新經濟時代，經營方式推陳出新，動態管理儼然成為現代趨勢。全球化的衝擊，兩岸關係的發展，正牽動著台灣未來的走向。因應動態管理，在成本、效益考量下，會計制度、內部稽核制度、資訊系統架構，同時面臨嚴峻的考驗。當前臺灣壽險公司首要之務，在於化解利差損的危機，長遠規劃則是國際版圖的攻略，立足台灣，放眼天下。 投資限制對於壽險公司的風險與報酬，究竟有何影響？實證檢驗民國90年保險法第146條之修法效應。研究發現，民國90年保險法投資限制的修訂，雖然有些嚴謹的條件，但就整體而言仍屬放寬；進一步對壽險公司的投資報酬率與投資風險作迴歸分析，得知修法對壽險公司的投資報酬率及投資風險並未產生顯著影響。認為壽險公司的投資組合可能本來就未達到效率前緣，即保險法146條對壽險公司之投資不具束縛性（nonbinding restriction），或者是存有估計誤差的現象，傾向支持Eichhorn, Gupta, and Stubbs（1998）及Frost and Savarino（1988）的論點。[[abstract]]Recent trends in financial market include globalization, securitization, financial engineering of assets, and growth of information and computer networks. In the e-commercial era of network-based information change, the types of operation keep weeding out the old and bringing forth the new ones. Dynamic management becomes one of the most modern trends. The future development in Taiwan is deeply affected by globalization and the Cross-Strait relations. The primary object of life insurance companies at present lies in dissolving the risks in interest loss of insurance organizations. Competition in financial markets causes a risk-return trade-off, in which securities that offer higher expected rates of return also impose greater risk on investors. The presence of risk, however, implies that actual returns can differ considerably from expected returns at the beginning of the investment period. Different investors’ objectives and constraints can lead to a variety of investment policies while life insurance companies are subject to complex regulation. The purpose of this paper is to empirically examine the effects of the investment constraints by testing the changes in the investment efficiency of insurance companies after the revision of the article 146 of the insurance law which become more stringent in some perspectives, but still relax the constraints as a whole. We find that the revision in 2001 does not have impact both on the rate of return and the risk of insurance companies’ investment portfolios. The results imply that life insurance companies’ portfolios lie below the minimum-variance portfolio or involve another problem of misspecification of the input parameters. It is known that MV optimization is very sensitive to errors in the estimates of the input whereas we believe the investment constraints can reduce the investment risk or promote the performance of investment