Please use this identifier to cite or link to this item:

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.
Reference: 中文部分
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。
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。
Description: 碩士
Source URI:
Data Type: thesis
Appears in Collections:[風險管理與保險學系] 學位論文

Files in This Item:

There are no files associated with this item.

All items in 學術集成 are protected by copyright, with all rights reserved.

社群 sharing