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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

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題名:	On the application of efficient hybrid heuristic algorithms – An insurance
作者:	Yua,Tzu-Yi;Lee,Yung-Tsung;Huang,Hong-Chih 游子宜;李永琮;黃泓智
貢獻者:	風管系
關鍵詞:	Evolution strategies;Multi-period asset allocation;With-profit policy
日期:	2012-11
上傳時間:	2014-02-27 17:05:54 (UTC+8)
摘要:	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.
關聯:	Applied Soft Computing, 12(11), 3452-3461
資料類型:	article
DOI 連結:	http://dx.doi.org/10.1016/j.asoc.2012.07.016
DOI:	10.1016/j.asoc.2012.07.016
顯示於類別:	[風險管理與保險學系] 期刊論文

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檔案	描述	大小	格式	瀏覽次數
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