| Title: | On the application of efficient hybrid heuristic algorithms – An insurance |
| Authors: | Yua,Tzu-Yi;Lee,Yung-Tsung;Huang,Hong-Chih
游子宜;李永琮;黃泓智 |
| Contributors: | 風管系 |
| Keywords: | Evolution strategies;Multi-period asset allocation;With-profit policy |
| Date: | 2012-11 |
| Issue Date: | 2014-02-27 17:05:54 (UTC+8) |
| Abstract: | This paper proposes an optimization approach for generating an investment strategy for multi-period asset-liability management of long-term with-profit life insurance policies. Our approach uses models to simulate the processes insurance companies employ when determining multi-period investment strategies over a given planning horizon. The approach utilizes an enhanced heuristic algorithm to determine optimal multi-period investment strategies. Simulation models take into account asset numbers, objective functions, and asset allocation frequency. Strategy performance is evaluated by applying three single-period investment strategies to the simulation models. Computational results not only verify the efficiency and robustness of the algorithm, but also demonstrate the effectiveness of frequent asset reallocation, and dispute the suitability of traditional top-down investment strategies in maximizing investment returns of with-profit insurance policies. |
| Relation: | Applied Soft Computing, 12(11), 3452-3461 |
| Data Type: | article |
| DOI 連結: | http://dx.doi.org/10.1016/j.asoc.2012.07.016 |
| Appears in Collections: | [風險管理與保險學系] 期刊論文
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