| dc.contributor.advisor | 蔡政憲 | zh_TW |
| dc.contributor.advisor | Tsai, Cheng Hsien | en_US |
| dc.contributor.author (Authors) | 詹芳書 | zh_TW |
| dc.contributor.author (Authors) | Chan, Fang-Shu | en_US |
| dc.creator (作者) | 詹芳書 | zh_TW |
| dc.creator (作者) | Chan, Fang-Shu | en_US |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 11-Oct-2011 16:51:01 (UTC+8) | - |
| dc.date.available | 11-Oct-2011 16:51:01 (UTC+8) | - |
| dc.date.issued (上傳時間) | 11-Oct-2011 16:51:01 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0093358503 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/51562 | - |
| dc.description (描述) | 博士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 風險管理與保險研究所 | zh_TW |
| dc.description (描述) | 93358503 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 本研究的第一部份是利用有效存續期間與有效凸性來衡量人壽保險人的利率風險。我們發現Tsai (2009)指出的壽險保單準備金之有效存續期間結構並非一般化的結果。當長期利率水準高於保單預定利率及保單解約率敏感於利差時，準備金之有效存續期間會呈現與Tsai (2009)相反的結構。我們進一步發現準備金之有效凸性會亦有可能呈現負值，且不易依照保單到期期限歸納出一般化的結構。負值的有效凸性起因於準備金並非利率的單調函數，且準備金與利率的函數關係隨保單到期期限而不同。我們的研究結果可以幫助人壽保險人執行更為精確的資產負債管理。本研究的第二部分是利用模擬最佳化的方法，幫助銷售傳統壽險保單的保險人求解出適切的業務槓桿與資產配置策略。我們假設保險人在考量破產機率與報酬率的波動之下，將資本與淨保費收入投資於資本市場中，以追求較高的業主權益報酬率。以業務槓桿與資產配置相互影響為前提，我們求解出適切的業務槓桿與多期資產配置策略，並分析在不同的業務槓桿之下，保險人多期資產配置的差異。 | zh_TW |
| dc.description.abstract (摘要) | In the first part of this doctoral dissertation, we focus on a proper measurement on interest rate risk of life insurer’s liabilities, policy reserves, by incorporating the general effective duration and effective convexity measures. Tsai (2009) identified a term structure of the effective durations of life insurance reserves. We find that his results are not general. When the long-run mean of interest rates is higher than the policy crediting rate and the surrender rate is sensitive to the spread, the term structure would exhibit an opposite pattern to the one in Tsai (2009). We further find that the effective convexities might be negative and the term structure of the effective convexities exhibits no general pattern. The irregularities originate from negative effective convexities result from the relationship between mean reserves and initial short rate for different years to maturity. Our results can help life insurers to implement more accurate asset-liability management.In the second part, we analyze asset allocation and leverage strategies for a life insurer selling traditional insurance products by using a simulation optimization method. We assume that an insurer invests equity capital (from its shareholders) and premiums it receives from policyholders by choosing a portfolio intended to maximize the annual return of equity minus the penalty of insolvencies and risks. We regard the leverage as an internal factor in asset allocation. Based on these assumptions, we get a promising multiple-periods asset allocation and leverage, besides analyzing how leverage affects asset allocation strategies. | en_US |
| dc.description.tableofcontents | Part One: Characteristics of the Effective Durations and Effective Convexities of Life Insurance Reserves 5INTRODUCTION 5POLICY SPECIFICATIONS AND MEASURES OF THE INTEREST RATE RISK 7Cash Flows of a Twenty-Year Endowment Policy 7Policy Reserves 8Measures of Interest Rate Sensitivity 9SURRENDER RATE AND INTEREST RATE MODELS 9Interest Rate Model 9Surrender Rate Model 10TERM STRUCTURE OF EFFECTIVE DURATION 11TERM STRUCTURE OF EFFECTIVE CONVEXITY 13CONCLUSIONS 15REFERENCES 17TABLES AND FIGURES 19Table 1: Effective Durations of Mean Reserves 19Table 2: Mean Reserves under Different Long-Run Interest Rates 19Table 3: Effective Convexities of Mean Reserves 20Figure 1: Effective Durations of Mean Reserves 20Figure 2: The General Pattern(s) of the Term Structure of Effective Durations 21Figure 3: Arctangent Functions of Surrender Rate to Interest Rate Spread 21Figure 4: Effective Durations of Mean Reserves for More-Sensitive Surrenders 22Figure 5: Effective Durations of Mean Reserves for Less-Sensitive Surrenders 22Figure 6: Effective Convexities of Mean Reserves 23Figure 7: Mean Reserve Curve 24Figure 8: Effective Convexities of Mean Reserves for More-Sensitive Surrenders 24Figure 10: Convexities of Mean Reserves 25APPENDICES 26Table A1: Actuarial Assumptions of the Twenty-Year Endowment Policy 26Table A2: Effective Durations for Less-Sensitive Surrenders 27Table A3: Effective Durations for More-Sensitive Surrenders 27Table A4: Effective Convexities for More-Sensitive Surrenders 28Table A5: Effective Convexities for Less-Sensitive Surrenders 28Figure A1: Illustrative Time Line 29Part Two: A Promising Asset Allocation and Leverage Strategy for a Life Insurer by Simulation Optimization 30INTRODUCTION 30COMPANY-WIDE SIMULATION MODEL 33The Investment Markets 33Cash Flow Specification of Insurance Products 34Policy Reserves 36Aggregate Reserves 36ASSET ALLOCATION PROBLEM 37The Dynamics of the Insurer’s Financial Status 37The Problem 38Simulation Optimization for the Problem 38RESULTS 39Promising Asset Allocation and Leverage 39Comparison of Leverage 39REFERENCES 41TABLES AND FIGURES 44Table 1: Promising Asset Allocation and Leverage 44Table 2: Asset Allocation; Given Leverage = 16 44Table 3: Asset Allocation; Given Leverage = 12 44Figure 1: Composition of Promising Assets after Each Re-allocation under Optimal Leverage 45Figure 2: Assets Composition after Each Re-allocation under Leverage = 16 45Figure 3: Assets Composition after Each Re-allocation under Leverage = 12 46APPENDICES 47Particle Swarm Optimization 47Formulation 47Algorithm 48Effectiveness of PSO 48Table A1: High Dimension Complex Functions 49Table A2: Notations and Values of Asset Models’ Parameters 49Table A3: Actuarial Assumption of Twenty-Year Term Life Insurance 50Table A4: Actuarial Assumption of Twenty-Year Endowment 51Table A5: Actuarial Assumption of Twenty-Year Pure Endowment 52Table A6: Promising Asset Allocation and Leverage Ratio before PSO Converges 52 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0093358503 | en_US |
| dc.subject (關鍵詞) | 有效存續期間 | zh_TW |
| dc.subject (關鍵詞) | 有效凸性 | zh_TW |
| dc.subject (關鍵詞) | 保單準備金 | zh_TW |
| dc.subject (關鍵詞) | 資產配置 | zh_TW |
| dc.subject (關鍵詞) | 業務槓桿 | zh_TW |
| dc.subject (關鍵詞) | 模擬最佳化 | zh_TW |
| dc.subject (關鍵詞) | 人壽保險人 | zh_TW |
| dc.title (題名) | 人壽保險人之資產負債管理：有效存續期間/有效凸性之分析與模擬最佳化 | zh_TW |
| dc.title (題名) | Asset and liability management for life insurers: effective duration and effective convexity analysis and simulation optimization | en_US |
| dc.type (資料類型) | thesis | en |
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