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Title: 以模擬最佳化研究產險公司的資產配置
Authors: 林家樂
Contributors: 蔡政憲
Keywords: 模擬最佳化
Date: 2005
Issue Date: 2009-09-18
Abstract: 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.
Reference: 蘇承懋,2004,模擬產險公司最佳化資產配置,政治大學碩士論文。
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Description: 碩士
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Data Type: thesis
Appears in Collections:[風險管理與保險學系 ] 學位論文

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