Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/85427
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dc.contributor.advisor王儷玲zh_TW
dc.contributor.author謝冠生zh_TW
dc.creator謝冠生zh_TW
dc.date2001en_US
dc.date.accessioned2016-04-18T08:29:03Z-
dc.date.available2016-04-18T08:29:03Z-
dc.date.issued2016-04-18T08:29:03Z-
dc.identifierA2002001478en_US
dc.identifier.urihttp://nccur.lib.nccu.edu.tw/handle/140.119/85427-
dc.description碩士zh_TW
dc.description國立政治大學zh_TW
dc.description風險管理與保險研究所zh_TW
dc.description88358017zh_TW
dc.description.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。zh_TW
dc.description.abstractThis 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.en_US
dc.description.tableofcontents封面頁\n證明書\n論文摘要\n致謝詞\n目錄\n表目錄\n圖目錄\n第一章 緒論\n1.1 研究動機與目的\n1.2 研究方法與法令規範\n1.2.1 研究方法\n1.2.2 法令規範\n1.3 研究範圍與流程\n1.4 研究範圍\n1.5 論文架構\n第二章 相關文獻探討\n2.1 免疫理論在資產負債管理上之分析\n2.2 存續期間之緣由與發展\n2.3 動態利率期間結構\n第三章 實證資料與研究模型\n3.1 實證資料與精算模擬假設\n3.2 研究模型\n3.2.1 連續時間動態利率模型之建立\n3.2.1.1 地SiCek隨機利率期間結構模型與參數估計\n3.2.1.2 CIR隨機利率期間結市觀翹型與參數估計\n3.2.2 Markowitz投資組合理論與免疫理論\n3.2 實證研究之情境假設與步驟\n3.3.1 實證研究之情境假設\n3.3.2 實證研究之步驟\n3.3.2.1 模擬利率期間結構\n3.3.2.2 保單價值計價基礎之報酬率\n3.3.2.3 模擬現金流量\n3.3.2.4 資產負債面之存續期間之計算\n3.3.2.5 負債面之存續期間\n3.4 電腦模擬過程\n第四章 實證結果與分析\n第五章 結論與建議\n5.1 結論\n5.2 研究建議\n5.3 後續研究建議\n參考文獻\n附錄\n附錄A 年金生命表\n附錄B 年金參與者型態組成\n附錄C 歷年投資標的之投資報酬率\n附錄D 模擬100次時的資產與負債之總貼現值\n附錄E 負債面之存續期間值\n附錄F 電腦模擬程式(MATLAB)\n附錄G 未限制保單貸款比例時的最適資產配置\n附錄H 單貸款迴歸模型預測\n附錄I 限制保單貸款比例時的最適資產配置zh_TW
dc.source.urihttp://thesis.lib.nccu.edu.tw/record/#A2002001478en_US
dc.subject免疫理論zh_TW
dc.subject利率風險zh_TW
dc.subject隨機利率期間模型zh_TW
dc.subject存續期間zh_TW
dc.subject最適資產配置zh_TW
dc.subjectImmunization Theoryen_US
dc.subjectInterest Rate Risken_US
dc.subjectStochastic Term Structure Modelen_US
dc.subjectDurationen_US
dc.subjectOptimal Asset Allocationen_US
dc.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zh_TW
dc.typethesisen_US
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