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https://nccur.lib.nccu.edu.tw/handle/140.119/34115
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| Title: | 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 |
| Authors: | 蘇承懋
Su, Cheng Mao |
| Contributors: | 蔡政憲
蘇承懋
Su, Cheng Mao |
| Keywords: | 產險業
模擬
資產配置
最佳化
重新平衡
Property-Liability insurance
Simulation
Asset Allocation
Optimal
Rebalance |
| Date: | 2004 |
| Issue Date: | 2009-09-18 |
| Abstract: | 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. |
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| Description: | 碩士
國立政治大學
風險管理與保險研究所
91358005
93 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0091358005 |
| Data Type: | thesis |
| Appears in Collections: | [風險管理與保險學系] 學位論文
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