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| 研究生： |
蘇承懋 Su, Cheng Mao |
|---|---|
| 論文名稱： |
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 |
| 指導教授： | 蔡政憲 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
商學院 - 風險管理與保險學系 Department of Risk Management and Insurance |
| 論文出版年： | 2004 |
| 畢業學年度： | 93 |
| 語文別： | 英文 |
| 論文頁數： | 28 |
| 中文關鍵詞： | 產險業 、模擬 、資產配置 、最佳化 、重新平衡 |
| 外文關鍵詞： | Property-Liability insurance, Simulation, Asset Allocation, Optimal, Rebalance |
| 相關次數： | 點閱：65 下載：64 |
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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.
1. Introduction………………………….………...………………………1
2. Model and Methodology…………….……...…………………………5
2.1 Model…………………………...…………..……...………..........5
2.2 Methodology……………………....….…..……………………...11
3. Results………………………………………………………………..15
4. Conclusions and Suggestions………………………………………...26
Reference………………………………………………………………..28
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