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    题名: 因子投資與固定指數連動年金設計
    Factor investing and the design of fixed index annuity
    作者: 陳可為
    贡献者: 謝明華
    陳可為
    关键词: 因子投資
    固定指數連動型年金
    年金
    日期: 2017
    上传时间: 2017-08-10 09:48:56 (UTC+8)
    摘要: 近年來，隨著學者提出除了市場投資組合以外，影響證券資產變動的因子後，因子投資的概念與理論慢慢被奠定，不僅如此，相關的應用也在業界中發酵。年金商品為其中之一，固定指數連動年金商品，在2010年首次將因子投資的策略放入指數編制中，發行眾多的Smart Beta指數供連結，其主要以波動控制、超額報酬與多資產策略的方式，以增加商品的吸引力。然而，過去皆以歷史回測的方式比較指數連結帳戶與固定利率帳戶的年化報酬，以判斷何種方式較優，較無其他比較基準，甚至忽略了下方風險(downside risk)風險值。因此，本文提出兩種評估該商品的指標，一為期望超額報酬，二則是年化平均報酬小於固定利率的機率 ()，並透過蒙地卡羅方法抽樣計算該值。其結果顯示有些Smart Beta指數優於S&P500。本文更近一步延伸這兩種指標，提出有別於其他商品的商品設計，即最適化權重連結帳戶。其概念為商品提供保戶能以任意權重的方式連結帳戶，保戶能夠在給定一定期望超額報酬水平下，極小化所得的權重。結果顯示最適化權重能優化商品設計，讓保戶在獲得與連結單一指數同樣的期望報酬下，可降低 高達95%所承擔的風險。
    For the past few years, as many academic have found that in addition to market portfolio, there’re other factors which determine the changes in assets prices, the concept of factor investing has been established gradually and the related application has been widely used in the industries. Fixed index annuity is one of them. In 2010, the first smart beta index which is the strategy of factor investing was launched and provided for consumers to credit. From then on, there are about 40 kinds of smart beta indices. To make products more attractive, main concerns of FIA’s indices are volatility control, excess return and multi-asset strategy. However, most only adopted historical annualized returns to compare between fixed credit method and index credit method in the past, and even ignored the downside risk of products. We propose two innovative way to assess. The First one is the expected returns exceeding fixed rate, and the second is the probability of return below fixed rate, called p-downside. We calculated both of them by Monte Carol methods. The results show that some smart beta indices are better than S&P500. Additionally, we also propose new design of FIA, optimization linking weight. The idea is to optimize the best linking weight to minimize the downside risk. In our simulation, it can reduce almost 95% downside risk, benefit the insured and improve the products.
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    描述: 碩士
    國立政治大學
    風險管理與保險學系
    104358029
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0104358029
    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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