政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/64290

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 112871/143842 (78%)
Visitors : 49913796 Online Users : 419

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/64290

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/64290

Title:	On the application of efficient hybrid heuristic algorithms – An insurance
Authors:	Yua,Tzu-Yi;Lee,Yung-Tsung;Huang,Hong-Chih 游子宜;李永琮;黃泓智
Contributors:	風管系
Keywords:	Evolution strategies;Multi-period asset allocation;With-profit policy
Date:	2012-11
Issue Date:	2014-02-27 17:05:54 (UTC+8)
Abstract:	This paper proposes an optimization approach for generating an investment strategy for multi-period asset-liability management of long-term with-profit life insurance policies. Our approach uses models to simulate the processes insurance companies employ when determining multi-period investment strategies over a given planning horizon. The approach utilizes an enhanced heuristic algorithm to determine optimal multi-period investment strategies. Simulation models take into account asset numbers, objective functions, and asset allocation frequency. Strategy performance is evaluated by applying three single-period investment strategies to the simulation models. Computational results not only verify the efficiency and robustness of the algorithm, but also demonstrate the effectiveness of frequent asset reallocation, and dispute the suitability of traditional top-down investment strategies in maximizing investment returns of with-profit insurance policies.
Relation:	Applied Soft Computing, 12(11), 3452-3461
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.asoc.2012.07.016
DOI:	10.1016/j.asoc.2012.07.016
Appears in Collections:	[風險管理與保險學系] 期刊論文

Files in This Item:

File	Description	Size	Format
34523461.pdf		407Kb	Adobe PDF2	1180	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...