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| Title: | 應用 Copula 模型於附保證投資型保險商品多資產標的之研究
Research on Applying Copula Model to Investment Guarantee with Multi-Asset Target |
| Authors: | 何冠廷
Ho, Kuan-Ting |
| Contributors: | 楊曉文
Yang, Sharon S.
何冠廷
Ho, Kuan-Ting |
| Keywords: | 關聯結構
附保證投資型商品
準備金
風險值
條件尾端期望值
資產負債管理
保險
蒙地卡羅
Copula
Investment Guarantee
Reserve
VaR
CTE
ALM
Insurance
Monte Carlo |
| Date: | 2020 |
| Issue Date: | 2020-08-03 17:37:28 (UTC+8) |
| Abstract: | 本文使用 2010 至 2019 年之 S\\&P500 及 費城半導體指數作為標的，以幾何布朗運動及四種 Copula 結構： Gaussian 、 Student-t 、 Clayton 、 Gumbel 進行模型配適後，以蒙地卡羅法針對配適之結果進行投資情境模擬。並且針對 10 年期及 20 年期下 GMDB 保本 、 GMMB 保證年化報酬率及 GMDB + GMMB 雙重保證三種附保證投資型商品，分析不同的資產配置策略下資產模型對風險值、準備金及期末帳戶價值的影響。
實證結果顯示 Student-t Copula 對標的資產之配適度最佳，而非一般常用的多元常態 Gaussian Copula。並且相較於其他 Copula ，以 Student-t Copula 做為模型之投資策略於後續計算之風險值及準備金較低。並且，於全期固定投資組合下，相較於考慮帳戶報酬率，選擇夏普比率較高的策略能使準備金最小。
This article use the price of S&P500 and Philadelphia Semiconductor Index from 2010-01-01 to 2019-12-31 as the target asset, and use Geometric Brownian Motion as the marginal distribution of two index with four types of copula as the joint distribution. After fitting above models, use Monte Carlo method to simulate the scenario of asset returns.
We use 10-year and 20-year GMDB, GMMB, and GMMB+GMDB product as the target and analyze the relation between investment strategy and the VaR, reserve and account value at maturity under different model.
The empirical result shows that Student-t Copula fit two stock index the most. Moreover, the investment strategy under student-t copula yield the lowest VaR and reserve compared to other copula include the common assumption of financial engineerring, Gaussian copula. On the other hand, we found that the investment strategy with higher sharpe ratio has the lowest VaR and reserve, instead of the highest annual return. |
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| Description: | 碩士
國立政治大學
金融學系
107352011 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0107352011 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202000896 |
| Appears in Collections: | [金融學系] 學位論文
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