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Title: 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
Authors: 謝冠生
Contributors: 王儷玲
Keywords: 免疫理論
Immunization Theory
Interest Rate Risk
Stochastic Term Structure Model
Optimal Asset Allocation
Date: 2001
Issue Date: 2016-04-18 16:29:03 (UTC+8)
Abstract: 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.
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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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