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https://ah.lib.nccu.edu.tw/handle/140.119/34169| 題名: | 以模擬最佳化研究產險公司的資產配置 | 作者: | 林家樂 | 貢獻者: | 蔡政憲 林家樂 |
關鍵詞: | 模擬最佳化 資產配置 演化策略 產險公司 ES |
日期: | 2005 | 上傳時間: | 18-九月-2009 | 摘要: | 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. |
參考文獻: | 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。 楊雅媛，2002，迴歸分析與類神經網路預測能力之比較，政治大學碩士論文。 A . M. Best Company,1991,Best’s Insolvency Study - Property/Casualty Insurers 1969-1990, Best’s Review – Property/Casualty Insurance Editor, Auguest, 16-23. Browne, J.M., and E.H.Robert,1995,Economic and Market Predictors of Insolvencies in the Property-Liability Insurance Industry, Journal of Risk and Insurance,62(2),309-327. Browne, J.M., M.C. James, and E.H.Robert,2001,Dynamic Financial Models of Life Insurers, North American Actuarial Journal, Volume 5, pp. 11-26. Brennan, M.J., E.S. Schwartz, and R.Lagnado,1997,Strategic Asset Allocation, Journal of Economic Dynamics and Control,21:1377-1403. Chang, S.C., and C.C.Chen,2002,Allocating unfunded liability in pension valuation under uncertainty, Insurance Mathematics and Economics,30:371-387. Cummins, J.D., M.F. Grace, and R.D. Phillips, 1999, Regulatory Solvency Prediction in Property-Liability Insurance: Risk-Based Capital, Audit Ratios, and Cash-Flow Simulation, Journal of Risk and Insurance, 66: 417-458. Cox, J.C., J.E.Ingersoll, and S.A.Ross,1985,A Theory of the Term Structure of Interest Rates,Econometrica,53:385-408. Charles, C. E, 1995, Dynamic Finance Models of Property-Casualty Insurers, Casualty Actuarial Society Forum, Fall,96-127. D’Arcy, S.P., W.G. Richard, A.H. Joseph, E.H. Thomas, G.L. Steven, and J.M. Michael,1997,Building a Public Access PC-Based DFA Model, Casualty Actuarial Society Forum ,Fall, Vol.2, 1-40. D’Arcy, S.P., W.G. Richard, E.H. Thomas, and J.W.Robert,1998,Using the Public Access DFA Model: A Case Study, CAS Dynamic Financial Analysis Task Force on Variables, Casualty Actuarial Society Forum ,Summer ,58-117. Greenwald, J.,2005, Storm losses leave questions about extent of reinsurance rate increases, Business Insurance, Chicago: Nov 7, 2, Vol.39, Iss.45 Jensen, B.A., and C.C.Sorensen,2001,Paying For Minimum Interest Rate Guarantee Who Should Compensate Who ,European Financial Management,7,183-211 Jorion,P.,2000,Value at Risk(McGraw-Hill) Judy G., 2005, Storm losses leave questions about extent of reinsurance rate increases, Business Insurance. Chicago: Nov 7, 2005.Vol.39, Iss. 45; pg.3 Markowitz, H.M.,1952, Portfolio Selection, Journal of Finance,7:77-91. Merton, R.C.,1971, Optimum Consumption and Portfolio Rules in a Continuous Time Model, Journal of Economic Theory,3:373-413. Sharpe, W.F.,1964, Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk, Journal of Finance,19:425-442. Sorensen, C.C.,1999,Dynamic asset allocation and fixed income management, Journal of Financial and Quantitative Analysis; Dec 1999;34,4,513-531. Cummins, J.D., and D.W. Sommer, 1996, Capital and Risk in the Property Insurance Markets, Journal of Banking and Finance, 20: 1069-1092. Back, T., 1996, Evolutionary Algorithms in Theory and Practice (New York: Oxford University Press). |
描述: | 碩士 國立政治大學 風險管理與保險研究所 92358021 94 |
資料來源: | http://thesis.lib.nccu.edu.tw/record/#G0923580211 | 資料類型: | thesis |
| Appears in Collections: | 學位論文 |
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