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    题名: 模擬產險公司最佳化資產配置
    以模擬最適的方法探討產險公司的資產配置
    作者: 蘇承懋
    Su, Cheng Mao
    贡献者: 蔡政憲
    蘇承懋
    Su, Cheng Mao
    关键词: 產險業
    模擬
    資產配置
    最佳化
    重新平衡
    Property-Liability insurance
    Simulation
    Asset Allocation
    Optimal
    Rebalance
    日期: 2004
    上传时间: 2009-09-18
    摘要: 本文運用模擬的方法，產生產險業所面臨的損失分佈、投資資產的變動，欲得到最好的資產配置比例，並考慮重新平衡的效果，探討何種方法為產險業最好的資金運用策略。在模擬了1,000次，產生未來23年的年末資產負債表後，我們得到產險公司應如何配置其資金於：現金、股票、1-15年期債券及房地產的比例，加入重新平衡的概念，運用目標方程式的建立，最後得到一個最好的資金配置及平衡策略。
    We applied simulation techniques to imitate some situations that insurance companies have handled, including loss development, asset value variations, and dynamic programming asset allocation. The asset allocation ratios and the timing of rebalancing the assets affected our objective outcomes. After simulating 23 years for 1,000 times, we find how insurance company allocates their capital in four accounts: cash, stock, fifteen kinds of maturity bonds, and real estate. We finally pointed out strategy resulted in the best outcome by comparing between single period optimal asset allocating ratios and rebalanced asset allocation ratio outcomes.
    參考文獻: Brennan, M.J., E.S., Schwartz, and R. Lagnado, 1997, Strategic Asset Allocation, Journal of Economic Dynamics and Control, 21: 1377-1403.
    Chang, S. C., and C. C. Chen, 2002, Allocating unfunded liability in pension valuation under uncertainty”, Insurance: Mathematics and Economics, 30:371–387.
    Cox, J. C., J. E. Ingersoll, and S. A. Ross, 1985, A Theory of the Term Structure of Interest Rates, Econometrica, 53: 385-408.
    Jensen, B.A., and C. C. Sorensen, 2001, Paying For Minimum Interest Rate Guarantee Who Should Compensate Who, European Financial Management, 7,183-211
    Markowitz, H. M., 1952, Portfolio Selection, Journal of Finance, 7: 77-91.
    Merton, R. C., 1971, Optimum Consumption and Portfolio Rules in a Continuous Time Model, Journal of Economic Theory, 3: 373-413.
    Sharpe, W. F., 1964, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance, 19: 425-442.
    Sorensen, C. C., 1999, Dynamic asset allocation and fixed income management, Journal of Financial and Quantitative Analysis; Dec 1999; 34, 4, 513-531.
    描述: 碩士
    國立政治大學
    風險管理與保險研究所
    91358005
    93
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0091358005
    数据类型: thesis
    显示于类别:[風險管理與保險學系] 學位論文

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