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題名 一般帳戶投資型年金之資產負債管理:免疫理論與最適資產配置之應用 作者 謝冠生 貢獻者 王儷玲
謝冠生關鍵詞 免疫理論
利率風險
隨機利率期間模型
存續期間
最適資產配置
Immunization Theory
Interest Rate Risk
Stochastic Term Structure Model
Duration
Optimal Asset Allocation日期 2001 上傳時間 18-Apr-2016 16:29:03 (UTC+8) 摘要 本研究主要是針對投資型年金之資產負債管理作探討,其中是就規避利率風險對於資產負債管理上的影響以及分析資產配置最適化作為研究的架構,而所利用的研究方法乃是取決於建構利率隨機模型並輔以免疫理論與Markowitz投資組合理論,以期在規避利率風險的同時,亦能將資產配置達至最佳化。
This research explores the asset-liability management (ALM) for the Investment-Link-Annuity. Two aspects investigated in this research are the interest rate risk and the optimal asset allocation. Moreover, the major issue investigated here is the trade-off between the optimal investment return and the hedge of interest rate risk. We refer this trade-off as ALM cost. By using stochastic interest rate model, Immunization theory and Portfolio Selection Model, we construct an ALM model to achieve the optimal asset allocation given on hedging the interest rate risk under the immunization strategies for the insurance company. First, we utilize the public trading data for investment market in Taiwan and in USA from 1985 to 2000 and the investment-link annuity product of a well-know insurance company in Taiwan to simulate the cash flow and demonstrate the implementation of our model.參考文獻 中文部分1、謝宗德著:”貨幣銀行學”。2、李惠錦:”期間分析應用於壽險業資產負債管理之研究”,政大保研所碩士論文,82年6月。3、吳家宏:”免疫理論應用於壽險業資產負債管理之研究”,政大保研所碩士論文,84年6月。4、張菊枝:”企業年金資產負債管理之研究”,政大保研所碩士論文,84年10月。5、王詔麗:”壽險公司的投資組合策略與其法定投資上限適當性之研究”,逢甲保險研究所碩士論文,85年6月。6、張士傑、陳威光:”不同利率模型下之債券評價分析”,保險專刊第四十六輯(1996),p139-150。7、林麗芬:”利率隨機性在年金保險上的應用”, 保險專刊第四十七輯(1997),p182-210。8、郝充仁:“商業年金之資產負債管理:免疫策略在定額遞延年金商品之運用”壽險季刊第四十九輯(1999),p42-67。9、蔡政憲、吳佳哲:”保險法中之投資限制對保險業投資績效影響之實證研究”,風險管理學報第二卷第二期(2000),p1-36。英文部分Andr’e F. Perold and William F. Sharpe. “Dynamic Strategies for Asset Allocation” Financial Analysts Journal (1995) , p149-p160。Babbel F. David, C.B. Merril ,and W. Planning. “Default Risk and the Effective Duration of Bonds” Financial Analysts Journal (1997) , p35-p44。Babbel F. David. “Interest Rate Dynamics and The Term Structure” Journal of Banking and Finance (1988), p401-417。Barber R. Joel. “Bond Immunization for Affine Term Structures. ” The Financial Review (1999), p127-p140。Barber R. Joel, and Mark L. Copper. “Is Bond Convexity a Free Lunch?” The Journal of Portfolio Management , Fall (1997), p113-119。Bierwag, O. Gerald , Charles J. Corrado, and George G. Kaufman. “Duration for Portfolios of Bonds Priced on Different Term Structures.” Journal of Banking and Finance(1992) p705-p714。Bierwag, O. Gerald, George G. Kaufman, and A. Toevs. “Bond Portfolios Immunization and Stochastic Process Risk.” Journal of Bank Research(1993), p282-p291。Briy, Eric, and Francois de Varenne. “On the Risk of Life Lisurance Liabilities: Debunking Some Common Pitfalls.” The Journal of Risk and Insurance (1997) p673-694。Campbell Y. John. “A defense of Traditional Hypotheses about The Term Structure of Interest Rates.” The Journal of Finance (1986), p183-p193。Carmelo Giaccotto. “Stochastic Modelling of Interest Rates : Actuarial vs. Equilibrium Approach.” The Journal of Risk and Insurance (1982), p435-p453。Chen, K.C., G. Andrew Karolyi, Francis A. Longstaff and Anthony B. Sander. “An Empirical Comparison of Alternative Model of the Short-Term Interest Rate.” The Journal of Finance (1992) , p1209-1227。Christensen, Peter Ove and Bjarne G. Sorensen. “Duration, Convexity and Time Value.” The Journal of Portfolio Management (1994), p51-60。Cox, C. John, Jonathan E. Ingersoll, and Stephen A. Ross. “Duration and the Measurement of Basis Rosk.” Journal of Business (1979) , p51-61。Cox, C. John, Jonathan E. Ingersoll, and Stephen A. Ross. “A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates” The Journal of Finance (1981), p769-799。Don M. Chance and James V. Jordan. “Duration, Convexity, and Time as Components of Bond Returns.” The Journal of Fixed Income (1996), p88-p96。Dothan, L. Uri. “On the Term Structure of Interest Rates.” Journal of Financial Economics (1978), p59-69。Edwin J. Elton, Martin J. Gruber, and Roni Michaely. “The Structure of Spot Rates and Immunization.” The Journal of Finance (1990), p629-p641。Eliseo Navarro and Juan M. Nave. “Dynamic Immunization and Transaction Costs With Different Term Structure Models” Journal of Actuarial Practice (1997), p153-p180。Gagnon, Louis, and Lewis D. Johnson. “Dynamic Immunization Under Stochastic Interest Rates.” The Journal of Portfolio Management (1994), p48-p54。Hartzell J. David , David G. Shulman, Terence C. Langetieg, and Martin L. Leibowitz. “A Look at Real Estate Duration.” The Journal of Portfolio Management (1988), p16-24。Heath D.C., Robert A.J. and Andrew M. “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation.”Econometric (1992) p77-p105。Ho, Thomas S., and Sang Bin Lee. “Term Structure Movements and Pricing Interest Rate Contingent Claims.” The Journal of Finance(1986), p1011-1029。Lee,Sang Bin, and H. Y. Cho. “A Rebalancing Discipline for an Immunization Strategy.” The Journal of Portfolio Management (1992), p56-p62。Lijia Guo and Zhen Huang. “A possibilistic Linear Programming Method for Asset Allocation.” Journal of Actuarial Practice (1996), p67-p90。Leibowitz L. Martin and Alfred Weinberger. “Contingent Immunization-Part two : Problem Areas.” Financial Analysts Journal (1986), p35-p49。Leibowitz L. Martin , Eric H. Sorensen, Robert D. Arnott and H. Nicholas Hanson. “A Total Differential Approach to Equity Duration.” The Journal of Portfolio Management (1989), p30-p37。Leibowitz L. Martin, Stanley Kogelman, Lawrence N. Bader, and Ajay R. Dravid.“Interest Rate-Sensitive Asset Allocation.” The Journal of Portfolio Management (1994) p8-p15。Maloney J. Kevin and Dennis E.Logue. ”Neglected Complexities in Structured Bond Portfolios.” The Journal of Portfolio Management(1989), p59-68。Moller, Christian Max. “A Counting Process Approach to Stochastic Interest Rate.” Insurance: Mathematics and Economics (1995), p181-p192。Ram Willner. “A New Tool for Portfolio Managers : Level, Slope, and Curvature Durations.” The Journal of Fixed Income (1996), p48-p59。Reitano, R. Robert “Non-Parallel Yield Curve Shifts and Immunization.” The Journal of Portfolio Management (1992), p36-p43。Keintz J. Richard and Clyde P.Stickney.“Immunization of Pension Funds and Sensitivity to Actuarial Assumption.” Journal of Risk and Insurance (1980) p223-239。Sam Choi. “Effective Durations for Mortgage-Backed Securities : Recipes for Improvement.” The Journal of Fixed Income (1996), p23-p30。Stephen J. Brown and Philip H. Dybvig. “The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates.” The Journal of Finance (1986) p617-p631。Timothy Falcon Crack and Sanjay K. Nawalkha. “Interest Rate Sensitivities of Bond Risk Measures” Association for Investment Management and Research (2000), p34-p43。Tzeng, Larry Y. , Jennifer L. Wang and June H. Soo(2000),”Surplus Management under A Stochastic Process.” Journal of Risk and Insurance, p451-462.Vasicek, Oldrich. “ A Equilibrium Characterization of the Term Structure.”The Journal of Financial Economics (1977), p177-p188。William H Panning “Asset-Liability Management for A Going Concern.”Asset Operations of Insurance Companies ,p257-290。 描述 碩士
國立政治大學
風險管理與保險研究所
88358017資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001478 資料類型 thesis dc.contributor.advisor 王儷玲 zh_TW dc.contributor.author (Authors) 謝冠生 zh_TW dc.creator (作者) 謝冠生 zh_TW dc.date (日期) 2001 en_US dc.date.accessioned 18-Apr-2016 16:29:03 (UTC+8) - dc.date.available 18-Apr-2016 16:29:03 (UTC+8) - dc.date.issued (上傳時間) 18-Apr-2016 16:29:03 (UTC+8) - dc.identifier (Other Identifiers) A2002001478 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85427 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 風險管理與保險研究所 zh_TW dc.description (描述) 88358017 zh_TW dc.description.abstract (摘要) 本研究主要是針對投資型年金之資產負債管理作探討,其中是就規避利率風險對於資產負債管理上的影響以及分析資產配置最適化作為研究的架構,而所利用的研究方法乃是取決於建構利率隨機模型並輔以免疫理論與Markowitz投資組合理論,以期在規避利率風險的同時,亦能將資產配置達至最佳化。 zh_TW dc.description.abstract (摘要) This research explores the asset-liability management (ALM) for the Investment-Link-Annuity. Two aspects investigated in this research are the interest rate risk and the optimal asset allocation. Moreover, the major issue investigated here is the trade-off between the optimal investment return and the hedge of interest rate risk. We refer this trade-off as ALM cost. By using stochastic interest rate model, Immunization theory and Portfolio Selection Model, we construct an ALM model to achieve the optimal asset allocation given on hedging the interest rate risk under the immunization strategies for the insurance company. First, we utilize the public trading data for investment market in Taiwan and in USA from 1985 to 2000 and the investment-link annuity product of a well-know insurance company in Taiwan to simulate the cash flow and demonstrate the implementation of our model. en_US dc.description.tableofcontents 封面頁證明書論文摘要致謝詞目錄表目錄圖目錄第一章 緒論1.1 研究動機與目的1.2 研究方法與法令規範1.2.1 研究方法1.2.2 法令規範1.3 研究範圍與流程1.4 研究範圍1.5 論文架構第二章 相關文獻探討2.1 免疫理論在資產負債管理上之分析2.2 存續期間之緣由與發展2.3 動態利率期間結構第三章 實證資料與研究模型3.1 實證資料與精算模擬假設3.2 研究模型3.2.1 連續時間動態利率模型之建立3.2.1.1 地SiCek隨機利率期間結構模型與參數估計3.2.1.2 CIR隨機利率期間結市觀翹型與參數估計3.2.2 Markowitz投資組合理論與免疫理論3.2 實證研究之情境假設與步驟3.3.1 實證研究之情境假設3.3.2 實證研究之步驟3.3.2.1 模擬利率期間結構3.3.2.2 保單價值計價基礎之報酬率3.3.2.3 模擬現金流量3.3.2.4 資產負債面之存續期間之計算3.3.2.5 負債面之存續期間3.4 電腦模擬過程第四章 實證結果與分析第五章 結論與建議5.1 結論5.2 研究建議5.3 後續研究建議參考文獻附錄附錄A 年金生命表附錄B 年金參與者型態組成附錄C 歷年投資標的之投資報酬率附錄D 模擬100次時的資產與負債之總貼現值附錄E 負債面之存續期間值附錄F 電腦模擬程式(MATLAB)附錄G 未限制保單貸款比例時的最適資產配置附錄H 單貸款迴歸模型預測附錄I 限制保單貸款比例時的最適資產配置 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001478 en_US dc.subject (關鍵詞) 免疫理論 zh_TW dc.subject (關鍵詞) 利率風險 zh_TW dc.subject (關鍵詞) 隨機利率期間模型 zh_TW dc.subject (關鍵詞) 存續期間 zh_TW dc.subject (關鍵詞) 最適資產配置 zh_TW dc.subject (關鍵詞) Immunization Theory en_US dc.subject (關鍵詞) Interest Rate Risk en_US dc.subject (關鍵詞) Stochastic Term Structure Model en_US dc.subject (關鍵詞) Duration en_US dc.subject (關鍵詞) Optimal Asset Allocation en_US dc.title (題名) 一般帳戶投資型年金之資產負債管理:免疫理論與最適資產配置之應用 zh_TW dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文部分1、謝宗德著:”貨幣銀行學”。2、李惠錦:”期間分析應用於壽險業資產負債管理之研究”,政大保研所碩士論文,82年6月。3、吳家宏:”免疫理論應用於壽險業資產負債管理之研究”,政大保研所碩士論文,84年6月。4、張菊枝:”企業年金資產負債管理之研究”,政大保研所碩士論文,84年10月。5、王詔麗:”壽險公司的投資組合策略與其法定投資上限適當性之研究”,逢甲保險研究所碩士論文,85年6月。6、張士傑、陳威光:”不同利率模型下之債券評價分析”,保險專刊第四十六輯(1996),p139-150。7、林麗芬:”利率隨機性在年金保險上的應用”, 保險專刊第四十七輯(1997),p182-210。8、郝充仁:“商業年金之資產負債管理:免疫策略在定額遞延年金商品之運用”壽險季刊第四十九輯(1999),p42-67。9、蔡政憲、吳佳哲:”保險法中之投資限制對保險業投資績效影響之實證研究”,風險管理學報第二卷第二期(2000),p1-36。英文部分Andr’e F. Perold and William F. Sharpe. “Dynamic Strategies for Asset Allocation” Financial Analysts Journal (1995) , p149-p160。Babbel F. David, C.B. Merril ,and W. Planning. “Default Risk and the Effective Duration of Bonds” Financial Analysts Journal (1997) , p35-p44。Babbel F. David. “Interest Rate Dynamics and The Term Structure” Journal of Banking and Finance (1988), p401-417。Barber R. Joel. “Bond Immunization for Affine Term Structures. ” The Financial Review (1999), p127-p140。Barber R. Joel, and Mark L. Copper. “Is Bond Convexity a Free Lunch?” The Journal of Portfolio Management , Fall (1997), p113-119。Bierwag, O. Gerald , Charles J. Corrado, and George G. Kaufman. “Duration for Portfolios of Bonds Priced on Different Term Structures.” Journal of Banking and Finance(1992) p705-p714。Bierwag, O. Gerald, George G. Kaufman, and A. Toevs. “Bond Portfolios Immunization and Stochastic Process Risk.” Journal of Bank Research(1993), p282-p291。Briy, Eric, and Francois de Varenne. “On the Risk of Life Lisurance Liabilities: Debunking Some Common Pitfalls.” The Journal of Risk and Insurance (1997) p673-694。Campbell Y. John. “A defense of Traditional Hypotheses about The Term Structure of Interest Rates.” The Journal of Finance (1986), p183-p193。Carmelo Giaccotto. “Stochastic Modelling of Interest Rates : Actuarial vs. Equilibrium Approach.” The Journal of Risk and Insurance (1982), p435-p453。Chen, K.C., G. Andrew Karolyi, Francis A. Longstaff and Anthony B. Sander. “An Empirical Comparison of Alternative Model of the Short-Term Interest Rate.” The Journal of Finance (1992) , p1209-1227。Christensen, Peter Ove and Bjarne G. Sorensen. “Duration, Convexity and Time Value.” The Journal of Portfolio Management (1994), p51-60。Cox, C. John, Jonathan E. Ingersoll, and Stephen A. Ross. “Duration and the Measurement of Basis Rosk.” Journal of Business (1979) , p51-61。Cox, C. John, Jonathan E. Ingersoll, and Stephen A. Ross. “A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates” The Journal of Finance (1981), p769-799。Don M. Chance and James V. Jordan. “Duration, Convexity, and Time as Components of Bond Returns.” The Journal of Fixed Income (1996), p88-p96。Dothan, L. Uri. “On the Term Structure of Interest Rates.” Journal of Financial Economics (1978), p59-69。Edwin J. Elton, Martin J. Gruber, and Roni Michaely. “The Structure of Spot Rates and Immunization.” The Journal of Finance (1990), p629-p641。Eliseo Navarro and Juan M. Nave. “Dynamic Immunization and Transaction Costs With Different Term Structure Models” Journal of Actuarial Practice (1997), p153-p180。Gagnon, Louis, and Lewis D. Johnson. “Dynamic Immunization Under Stochastic Interest Rates.” The Journal of Portfolio Management (1994), p48-p54。Hartzell J. David , David G. Shulman, Terence C. Langetieg, and Martin L. Leibowitz. “A Look at Real Estate Duration.” The Journal of Portfolio Management (1988), p16-24。Heath D.C., Robert A.J. and Andrew M. “Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation.”Econometric (1992) p77-p105。Ho, Thomas S., and Sang Bin Lee. “Term Structure Movements and Pricing Interest Rate Contingent Claims.” The Journal of Finance(1986), p1011-1029。Lee,Sang Bin, and H. Y. Cho. “A Rebalancing Discipline for an Immunization Strategy.” The Journal of Portfolio Management (1992), p56-p62。Lijia Guo and Zhen Huang. “A possibilistic Linear Programming Method for Asset Allocation.” Journal of Actuarial Practice (1996), p67-p90。Leibowitz L. Martin and Alfred Weinberger. “Contingent Immunization-Part two : Problem Areas.” Financial Analysts Journal (1986), p35-p49。Leibowitz L. Martin , Eric H. Sorensen, Robert D. Arnott and H. Nicholas Hanson. “A Total Differential Approach to Equity Duration.” The Journal of Portfolio Management (1989), p30-p37。Leibowitz L. Martin, Stanley Kogelman, Lawrence N. Bader, and Ajay R. Dravid.“Interest Rate-Sensitive Asset Allocation.” The Journal of Portfolio Management (1994) p8-p15。Maloney J. Kevin and Dennis E.Logue. ”Neglected Complexities in Structured Bond Portfolios.” The Journal of Portfolio Management(1989), p59-68。Moller, Christian Max. “A Counting Process Approach to Stochastic Interest Rate.” Insurance: Mathematics and Economics (1995), p181-p192。Ram Willner. “A New Tool for Portfolio Managers : Level, Slope, and Curvature Durations.” The Journal of Fixed Income (1996), p48-p59。Reitano, R. Robert “Non-Parallel Yield Curve Shifts and Immunization.” The Journal of Portfolio Management (1992), p36-p43。Keintz J. Richard and Clyde P.Stickney.“Immunization of Pension Funds and Sensitivity to Actuarial Assumption.” Journal of Risk and Insurance (1980) p223-239。Sam Choi. “Effective Durations for Mortgage-Backed Securities : Recipes for Improvement.” The Journal of Fixed Income (1996), p23-p30。Stephen J. Brown and Philip H. Dybvig. “The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates.” The Journal of Finance (1986) p617-p631。Timothy Falcon Crack and Sanjay K. Nawalkha. “Interest Rate Sensitivities of Bond Risk Measures” Association for Investment Management and Research (2000), p34-p43。Tzeng, Larry Y. , Jennifer L. Wang and June H. Soo(2000),”Surplus Management under A Stochastic Process.” Journal of Risk and Insurance, p451-462.Vasicek, Oldrich. “ A Equilibrium Characterization of the Term Structure.”The Journal of Financial Economics (1977), p177-p188。William H Panning “Asset-Liability Management for A Going Concern.”Asset Operations of Insurance Companies ,p257-290。 zh_TW