보험회사의 수익추구형 자산배분 전략: 경기국면과 자산 가격의 관계 분석을 중심으로

초록

This study presents asset allocation strategies for insurance companies by analyzing the returns of various asset classes across six distinct phases of the business cycle—expansion (early, mid, late) and contraction (early, mid, late)—defined using NBER business cycle indicators, the Sahm Rule, and a diffusion index methodology, over the period from February 1992 to March 2025. Amid shifts in accounting and regulatory environments, particularly due to the introduction of IFRS 9 and IFRS 17, aligning asset allocation with macroeconomic conditions has become a critical issue for insurers in terms of profitability and risk management. The study collects return data on equities, bonds, and alternative assets, and reconstructs portfolios based on economic phases to compare and analyze 60:30:10 portfolios, equal-weighted portfolios, minimum variance portfolios, mean variance portfolios and the Black-Litterman model. Results indicate that during expansionary phases, increasing equity exposure significantly enhances returns, while in contraction phases, portfolios focused on safe-haven assets such as bonds and gold effectively mitigate drawdowns and volatility. Notably, the Black-Litterman model, which integrates investors’ subjective views with market equilibrium returns, demonstrated superior adaptability to changing economic conditions and volatility reduction. The findings suggest that applying these insights in the practical asset management of insurance companies can support the construction of long-term, return-oriented portfolios tailored to each phase of the business cycle.

키워드