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| 研究生： |
林家樂 |
|---|---|
| 論文名稱： |
以模擬最佳化研究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： | 2006 |
| 畢業學年度： | 94 |
| 語文別： | 中文 |
| 論文頁數： | 28 |
| 中文關鍵詞： | 模擬最佳化 、資產配置 、演化策略 、產險公司 |
| 外文關鍵詞： | ES |
| 相關次數： | 點閱：102 下載：47 |
| 分享至: |
| 查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
本文結合動態財務分析（Dynamic Financial Analysis, DFA）與演化策略演算法(Evolution Strategy, ES)找尋產險公司最佳的投資比率。本文模擬產險公司的25年的營運情形，將各資產價格變化以隨機模型建構的概念帶入，加入損失分配並考慮多重期間的資產配置比率重分配(re-allocation)等條件，在建立目標方程式後，運用演化策略演算法求得最佳的資產配置比率。
In the research, the tools we take are the dynamic financial analysis( DFA ) system and the evolution strategy algorithm( ES ), which can be used to find the best investment ratio for insurance companies. The whole content of this article demonstrates the condition of property-casualty insurance companies in the 25 years. It takes place of the change of prices in every item of the asset by some kind of stochastic models, then, takes notice of the distribution of loss and re-allocation, sets a objective function for the goal to find the best ratio of the asset allocation by ES.
1.研究目的與文獻回...................................4
2.動態財務分析與演化策略演算法.......................7
2.1、動態財務分析(DFA)...............................7
2.1.1起源與發展......................................7
2.1.2 DFA之流程......................................8
2.1.3 DFA 之優缺點及限制............................10
2.2 演化策略演算法..................................12
2.2.1起源與發展.....................................12
2.2.2 演化策略演算法之流程..........................14
3.模擬方法..........................................17
3.1模型設定........................................ 17
3.2程式流程........................................ 21
3.3結果............................................ 25
4.結論與建議........................................26
參考文獻............................................27
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