1. NCCU Academic Hub
  2. 學術產出
  3. 商學院
  4. 學位論文
  5. Item

學術產出-學位論文

文章檢視/開啟

書目匯出

Google ScholarTM

政大圖書館

引文資訊

TAIR相關學術產出

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
Asset and liability management for life insurers: effective duration and effective convexity analysis and simulation optimization
作者 詹芳書
Chan, Fang-Shu
貢獻者 蔡政憲
Tsai, Cheng Hsien
詹芳書
Chan, Fang-Shu
關鍵詞 有效存續期間
有效凸性
保單準備金
資產配置
業務槓桿
模擬最佳化
人壽保險人
日期 2009
上傳時間 11-十月-2011 16:51:01 (UTC+8)
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。
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.
參考文獻 Part One:
Ahlgrim, K. C., S. P. D’Arcy, and R. W. Gorvett, 1999, Parameterizing Interest Rate Models, Casualty Actuarial Society Forum Summer, 1-50.
Ahlgrim, K. C., S. P. D’Arcy, and R. W. Gorvett, 2004, The Effective Duration and Convexity of Liabilities of Property-Liability Insurers under Stochastic Interest Rates, Geneva Papers on Risk and Insurance Theory 29, 75-108.
American Council of Life Insurance, 1999, Life Insurance Fact Book (Washington DC: American Council of Life Insurance).
Babbel, D. F., 1995, Asset-Liability Matching in the Life Insurance Industry, in: The Financial Dynamics of the Insurance Industry, Edward. I. Altman and Irwin. T. Vanderhoof, eds. (New York: IRWIN Professional Publishing).
Babble, D. F., J. Gold and C. B. Merrill, 2002, Fair Value of Liabilities: The Financial Economics Perspective, North American Actuarial Journal 6, 12-27.
Babbel, D. F. and R. Stricker, 1987, Asset/Liability Management for Insurers, Insurance Perspectives, Goldman Sachs, 1-26.
Bowers, N. L., H. U. Gerber, and J. C. Hickman, D. A. Jones, and C. J. Nesbitt, 1997, Actuarial Mathematics, 2nd ed. (Schaumburg, Illinois: Society of Actuaries).
Briys, E. and F. de Varenne, 1997, On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls, Journal of Risk and Insurance 64, 673-694.
Briys, E. and F. de Varenne, 2001, Insurance from Underwriting to Derivatives: Asset Liability Management in Insurance Companies (New York: John Wiley & Sons).
Chan, K. C., G. A. Karolyi, F. A. Longstaff, and A. B. Sanders, 1992, An Empirical Comparison of Alternative Models of the Short-Term Interest Rate, Journal of Finance 47, 1209-1227.
Chen, L., 1996, Stochastic Mean and Stochastic Volatility Three-Factor Model of the Term Structure of Interest Rates and Its Applications in Derivatives Pricing and Risk Management, Financial Markets, Institutions and Instruments 5, 1-18.
Choudhry, M., 2005, Fixed-Income Securities and Derivatives Handbook: Analysis and Valuation, (Princeton, New Jersey: Bloomberg Press).
Cox, J. C., J. E. Ingersoll, Jr., and S. A. Ross, 1985, A Theory of the Term Structure of Interest Rates, Econometrica 53, 385-408.
Dahlquist, M., 1996, On Alternative Interest Rate Processes, Journal of Banking and Finance 20, 1093-1119.
Doll, D. C., P. C. Elam, J. E. Hohmann, J. M. Keating, D. S. Kolsrud, K. O. MacDonald, M. S. McLaughlin, T. J. Merfeld, S. D. Reddy, R. R. Reitano, R. S. Robertson, E. L. Robbins, D. Y. Rogers, and H. W. Siegel, 1998, Fair Valuation of Life Insurance Company Liabilities, in: The Fair Value of Insurance Liabilities, Irwin T. Vanderhoof, and Edward I. Altman eds. (New York: Kluwer Academic Publishers).
Douglas, L. G., 1990, Bond Risk Analysis: A Guide to Duration and Convexity. (New York: New York Institute of Finance).
Fabozzi, F. J., 1998, Valuation of Fixed Income Securities and Derivatives, 3rd ed. (New Hope, Pennsylvania: Frank J. Fabozzi Associates).
Glasserman, P., 2003, Monte Carlo Methods in Financial Engineering. (New York: Springer-Verlag).
Hayre, L. and H. Chang, 1997, Effective and Empirical Durations of Mortgage Securities, Journal of Fixed Income 6, 17-33.
Kim, C., 2005, Modeling Surrender and Lapse Rates with Economic Variables, North American Actuarial Journal 9, 56-70.
Kuo, W., C. Tsai, and W. Chen, 2003, An Empirical Study on the Lapse Rate: The Cointegration Approach, Journal of Risk and Insurance 70, 489-508.
Li, D. X. and H. H. Panjer, 1994, Immunization Measures for Life Contingencies, The 4th AFIR Conference, 375-395.
Macaulay, F., 1938, Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields, and Stock Prices in the United States since 1856 (New York: National Bureau of Economic Research).
Norman, K. B., 1997, Gaussian Estimation of Single-Factor Continuous Time Models for the Term Structure of Interest Rates, Journal of Finance 52, 1695-1706.
Santomero, A. M. and D. F. Babbel, 1997, Financial Risk Management by Insurers: An analysis of the Process, Journal of Risk and Insurance 64, 231-270.
Tsai, C., 2009, The Term Structure of Reserve Durations and the Duration of Aggregate Reserves, Journal of Risk and Insurance 76, 419-441.
Tsai, C., W. Kuo, and W. Chen, 2002, Early Surrender and the Distribution of Policy Reserves, Insurance: Mathematics, and Economics 31, 429-445.
Wilmott, P., 1998, Derivatives: The Theory and Practice of Financial Engineering. (Chichester: John Wiley and Sons).
Part Two:
Baranoff, E. G. and T. W. Sager, 2004, Managing Capital Structure: The Case of Life Insurers – A Semiparametric Simultaneous Quations Approach, Risk Theory Seminar (New York).
Baranoff, E. G. and T. W. Sager, 2003, The Interrelationship among Organizational and Distribution Forms and Capital and Asset Risk Structures in the Life Insurance Industry, Journal of risk and insurance 70, 375-400.
Baranoff, E. G. and T. W. Sager, 2002, The Relationship between Asset Risk, Product Risk, and Capital in the Life Insurance Industry, Journal of Banking and Finance 26, 1181-1197.
Brennan, M. J., E. S. Schwartz, and R. Lagnado, 1997, Strategic Asset Allocation, Journal of Economic Dynamics and Control 21, 1377-1403.
Browne, M. J., J. M. Carson, R. E. Hoyt, 1999, Economic and Market Predictors of Insolvencies in the Life-Health Insurance Industry, Journal of Risk and Insurance 66, 643-659.
Browne, M. J., J. M. Carson, R. E. Hoyt, 2001, Dynamic Financial Models of Life Insurers, North American Actuarial Journal 5, 11-26.
Campbell, J. Y., 2000, Asset Pricing at the Millennium, Journal of Finance 55, 1515-1567.
Consiglio, A., D. Saunders, and S. A. Zenios, 2006, Asset and Liability Management for Insurance Products with Minimum Guarantees: The UK case, Journal of Banking and Finance 30, 645-667.
Cox, J. C. and C. F. Huang, 1989, Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process, Journal of Economic Theory 49, 33-83.
Cox, J. C., J. E. Ingersoll, and S. A. Ross, 1985, A Theory of the Term Structure of Interest Rates, Econometrica 53, 385-407.
Cummins, J. D. and D. W. Sommer, 1996, Capital and Risk in Property-Liability Insurance Markets, Journal of Banking and Finance 20, 1069-1092.
Dorigo, M., A. Coloni, and V. Maniezzo, 1991, Distributed Optimization by Ant Colonies, First European Conference on Artificial Life, 134-142.
Eberhart, R C. and J. Kennedy, 1995, Particle Swarm Optimization, IEEE International Conference on Neural Networks, 1942-1948.
Fu, M. C., 1994, Optimization via Simulation: a review, Annals of Operations Research 53, 199-247.
Hammond, J. D., E. R. Melander and N. Shilling, 1976, Risk, Return, and Capital: The Insurer Case, Journal of Financial and Quantitative Analysis 11, 115-131.
Hardy, M. R., 1993, Stochastic Simulation in Life Office Solvency Assessment, Journal of Institute of Actuaries 120, 131-151.

Hardy, M. R., 1996, Simulating the Relative solvency of Life Insurers, British Actuarial Journal 2, 1003-1019.
Huang, S.T., 2009, Two Essays on the Applications of Simulation Optimization to the Asset Allocations of a Property-Casualty Insurer, unpublished doctoral dissertation, National Chengchi University (Taiwan).
Iwaki, H. and S. Yumae, 2004, An Efficient Frontier for Participating Policies in a Continuous-Time Economy, Insurance: Mathematics and Economics 35, 611-625.
Kaufmann, R., A. Gadmer, and R. Klett, 2001, Introduction to Dynamic Financial Analysis, ASTIN Bulletin 31, 213-249.
Kendall, G. and Y. Su, 2005, A Particle Swarm Optimization Approach in the Construction of Optimal Risk Portfolios, 23rd IASTED International Multi-Conference Artificial Intelligence and Application, 140-145.
Kennedy, J., 1999, Small Worlds and Mega Minds: Effects of Neighborhood Topology on Particle Swarm Performance, Congress of Evolutionary Computation, 1931-1938.
Lu, M., D. Wu, and J. Zhang, 2006, A Particle Swarm Optimization-Based Approach to Tackling Simulation Optimization of Stochastic, Large-Scale and Complex Systems, Lecture Notes in Computer Science 3930, 528-537.
Markowitz, H. M., 1952, Portfolio Selection, Journal of Finance 7, 77-91.
Merton, R. C., 1971, Optimal Consumption and Portfolio Rules in a Continuous-Time Model, Journal of Economic Theory 3, 373-413.
Merton, R. C., 1976, Option Pricing When Underlying Stock Return Are Discontinuous, Journal of Financial Economics 3, 125-144.
Merton, R. C., 1990, Continuous Time Finance (Cambridge: Basil Blackwell).
Michaelsen, J. B. and R. C. Goshay, 1967, Portfolio Selection in Financial Intermediaries: A New Approach, Journal of Financial and Quantitative Analysis 2, 166-199.
Poli, R., 2008, Analysis of the Publications on the Applications of Particle Swarm Optimization, Journal of Artificial Evolution and Applications, 1-10.
Shi, Y. and R. C. Eberhart, 1998, Parameter Selection in Particle Swarm Optimization, 7th Annual Conference on Evolutionary Programming, 591-600.
Shrieves, R. E. and D. Dahl, 1992, The Relationship between Risk and Capital in Commercial Bank, Journal of Banking and Finance 16, 439-457.
描述 博士
國立政治大學
風險管理與保險研究所
93358503
98
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0093358503
資料類型 thesis
dc.contributor.advisor 蔡政憲zh_TW
dc.contributor.advisor Tsai, Cheng Hsienen_US
dc.contributor.author (作者) 詹芳書zh_TW
dc.contributor.author (作者) Chan, Fang-Shuen_US
dc.creator (作者) 詹芳書zh_TW
dc.creator (作者) Chan, Fang-Shuen_US
dc.date (日期) 2009en_US
dc.date.accessioned 11-十月-2011 16:51:01 (UTC+8)-
dc.date.available 11-十月-2011 16:51:01 (UTC+8)-
dc.date.issued (上傳時間) 11-十月-2011 16:51:01 (UTC+8)-
dc.identifier (其他 識別碼) G0093358503en_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) 93358503zh_TW
dc.description (描述) 98zh_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 5

INTRODUCTION 5
POLICY SPECIFICATIONS AND MEASURES OF THE INTEREST RATE RISK 7
Cash Flows of a Twenty-Year Endowment Policy 7
Policy Reserves 8
Measures of Interest Rate Sensitivity 9
SURRENDER RATE AND INTEREST RATE MODELS 9
Interest Rate Model 9
Surrender Rate Model 10
TERM STRUCTURE OF EFFECTIVE DURATION 11
TERM STRUCTURE OF EFFECTIVE CONVEXITY 13
CONCLUSIONS 15
REFERENCES 17
TABLES AND FIGURES 19
Table 1: Effective Durations of Mean Reserves 19
Table 2: Mean Reserves under Different Long-Run Interest Rates 19
Table 3: Effective Convexities of Mean Reserves 20
Figure 1: Effective Durations of Mean Reserves 20
Figure 2: The General Pattern(s) of the Term Structure of Effective Durations 21
Figure 3: Arctangent Functions of Surrender Rate to Interest Rate Spread 21
Figure 4: Effective Durations of Mean Reserves for More-Sensitive Surrenders 22
Figure 5: Effective Durations of Mean Reserves for Less-Sensitive Surrenders 22
Figure 6: Effective Convexities of Mean Reserves 23
Figure 7: Mean Reserve Curve 24
Figure 8: Effective Convexities of Mean Reserves for More-Sensitive Surrenders 24
Figure 10: Convexities of Mean Reserves 25
APPENDICES 26
Table A1: Actuarial Assumptions of the Twenty-Year Endowment Policy 26
Table A2: Effective Durations for Less-Sensitive Surrenders 27
Table A3: Effective Durations for More-Sensitive Surrenders 27
Table A4: Effective Convexities for More-Sensitive Surrenders 28
Table A5: Effective Convexities for Less-Sensitive Surrenders 28
Figure A1: Illustrative Time Line 29
Part Two: A Promising Asset Allocation and Leverage Strategy for a Life Insurer by Simulation Optimization 30

INTRODUCTION 30
COMPANY-WIDE SIMULATION MODEL 33
The Investment Markets 33
Cash Flow Specification of Insurance Products 34
Policy Reserves 36
Aggregate Reserves 36
ASSET ALLOCATION PROBLEM 37
The Dynamics of the Insurer’s Financial Status 37
The Problem 38
Simulation Optimization for the Problem 38
RESULTS 39
Promising Asset Allocation and Leverage 39
Comparison of Leverage 39
REFERENCES 41
TABLES AND FIGURES 44
Table 1: Promising Asset Allocation and Leverage 44
Table 2: Asset Allocation; Given Leverage = 16 44
Table 3: Asset Allocation; Given Leverage = 12 44
Figure 1: Composition of Promising Assets after Each Re-allocation under Optimal Leverage 45
Figure 2: Assets Composition after Each Re-allocation under Leverage = 16 45
Figure 3: Assets Composition after Each Re-allocation under Leverage = 12 46
APPENDICES 47
Particle Swarm Optimization 47
Formulation 47
Algorithm 48
Effectiveness of PSO 48
Table A1: High Dimension Complex Functions 49
Table A2: Notations and Values of Asset Models’ Parameters 49
Table A3: Actuarial Assumption of Twenty-Year Term Life Insurance 50
Table A4: Actuarial Assumption of Twenty-Year Endowment 51
Table A5: Actuarial Assumption of Twenty-Year Pure Endowment 52
Table 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/#G0093358503en_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 optimizationen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Part One:zh_TW
dc.relation.reference (參考文獻) Ahlgrim, K. C., S. P. D’Arcy, and R. W. Gorvett, 1999, Parameterizing Interest Rate Models, Casualty Actuarial Society Forum Summer, 1-50.zh_TW
dc.relation.reference (參考文獻) Ahlgrim, K. C., S. P. D’Arcy, and R. W. Gorvett, 2004, The Effective Duration and Convexity of Liabilities of Property-Liability Insurers under Stochastic Interest Rates, Geneva Papers on Risk and Insurance Theory 29, 75-108.zh_TW
dc.relation.reference (參考文獻) American Council of Life Insurance, 1999, Life Insurance Fact Book (Washington DC: American Council of Life Insurance).zh_TW
dc.relation.reference (參考文獻) Babbel, D. F., 1995, Asset-Liability Matching in the Life Insurance Industry, in: The Financial Dynamics of the Insurance Industry, Edward. I. Altman and Irwin. T. Vanderhoof, eds. (New York: IRWIN Professional Publishing).zh_TW
dc.relation.reference (參考文獻) Babble, D. F., J. Gold and C. B. Merrill, 2002, Fair Value of Liabilities: The Financial Economics Perspective, North American Actuarial Journal 6, 12-27.zh_TW
dc.relation.reference (參考文獻) Babbel, D. F. and R. Stricker, 1987, Asset/Liability Management for Insurers, Insurance Perspectives, Goldman Sachs, 1-26.zh_TW
dc.relation.reference (參考文獻) Bowers, N. L., H. U. Gerber, and J. C. Hickman, D. A. Jones, and C. J. Nesbitt, 1997, Actuarial Mathematics, 2nd ed. (Schaumburg, Illinois: Society of Actuaries).zh_TW
dc.relation.reference (參考文獻) Briys, E. and F. de Varenne, 1997, On the Risk of Insurance Liabilities: Debunking Some Common Pitfalls, Journal of Risk and Insurance 64, 673-694.zh_TW
dc.relation.reference (參考文獻) Briys, E. and F. de Varenne, 2001, Insurance from Underwriting to Derivatives: Asset Liability Management in Insurance Companies (New York: John Wiley & Sons).zh_TW
dc.relation.reference (參考文獻) Chan, K. C., G. A. Karolyi, F. A. Longstaff, and A. B. Sanders, 1992, An Empirical Comparison of Alternative Models of the Short-Term Interest Rate, Journal of Finance 47, 1209-1227.zh_TW
dc.relation.reference (參考文獻) Chen, L., 1996, Stochastic Mean and Stochastic Volatility Three-Factor Model of the Term Structure of Interest Rates and Its Applications in Derivatives Pricing and Risk Management, Financial Markets, Institutions and Instruments 5, 1-18.zh_TW
dc.relation.reference (參考文獻) Choudhry, M., 2005, Fixed-Income Securities and Derivatives Handbook: Analysis and Valuation, (Princeton, New Jersey: Bloomberg Press).zh_TW
dc.relation.reference (參考文獻) Cox, J. C., J. E. Ingersoll, Jr., and S. A. Ross, 1985, A Theory of the Term Structure of Interest Rates, Econometrica 53, 385-408.zh_TW
dc.relation.reference (參考文獻) Dahlquist, M., 1996, On Alternative Interest Rate Processes, Journal of Banking and Finance 20, 1093-1119.zh_TW
dc.relation.reference (參考文獻) Doll, D. C., P. C. Elam, J. E. Hohmann, J. M. Keating, D. S. Kolsrud, K. O. MacDonald, M. S. McLaughlin, T. J. Merfeld, S. D. Reddy, R. R. Reitano, R. S. Robertson, E. L. Robbins, D. Y. Rogers, and H. W. Siegel, 1998, Fair Valuation of Life Insurance Company Liabilities, in: The Fair Value of Insurance Liabilities, Irwin T. Vanderhoof, and Edward I. Altman eds. (New York: Kluwer Academic Publishers).zh_TW
dc.relation.reference (參考文獻) Douglas, L. G., 1990, Bond Risk Analysis: A Guide to Duration and Convexity. (New York: New York Institute of Finance).zh_TW
dc.relation.reference (參考文獻) Fabozzi, F. J., 1998, Valuation of Fixed Income Securities and Derivatives, 3rd ed. (New Hope, Pennsylvania: Frank J. Fabozzi Associates).zh_TW
dc.relation.reference (參考文獻) Glasserman, P., 2003, Monte Carlo Methods in Financial Engineering. (New York: Springer-Verlag).zh_TW
dc.relation.reference (參考文獻) Hayre, L. and H. Chang, 1997, Effective and Empirical Durations of Mortgage Securities, Journal of Fixed Income 6, 17-33.zh_TW
dc.relation.reference (參考文獻) Kim, C., 2005, Modeling Surrender and Lapse Rates with Economic Variables, North American Actuarial Journal 9, 56-70.zh_TW
dc.relation.reference (參考文獻) Kuo, W., C. Tsai, and W. Chen, 2003, An Empirical Study on the Lapse Rate: The Cointegration Approach, Journal of Risk and Insurance 70, 489-508.zh_TW
dc.relation.reference (參考文獻) Li, D. X. and H. H. Panjer, 1994, Immunization Measures for Life Contingencies, The 4th AFIR Conference, 375-395.zh_TW
dc.relation.reference (參考文獻) Macaulay, F., 1938, Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields, and Stock Prices in the United States since 1856 (New York: National Bureau of Economic Research).zh_TW
dc.relation.reference (參考文獻) Norman, K. B., 1997, Gaussian Estimation of Single-Factor Continuous Time Models for the Term Structure of Interest Rates, Journal of Finance 52, 1695-1706.zh_TW
dc.relation.reference (參考文獻) Santomero, A. M. and D. F. Babbel, 1997, Financial Risk Management by Insurers: An analysis of the Process, Journal of Risk and Insurance 64, 231-270.zh_TW
dc.relation.reference (參考文獻) Tsai, C., 2009, The Term Structure of Reserve Durations and the Duration of Aggregate Reserves, Journal of Risk and Insurance 76, 419-441.zh_TW
dc.relation.reference (參考文獻) Tsai, C., W. Kuo, and W. Chen, 2002, Early Surrender and the Distribution of Policy Reserves, Insurance: Mathematics, and Economics 31, 429-445.zh_TW
dc.relation.reference (參考文獻) Wilmott, P., 1998, Derivatives: The Theory and Practice of Financial Engineering. (Chichester: John Wiley and Sons).zh_TW
dc.relation.reference (參考文獻) Part Two:zh_TW
dc.relation.reference (參考文獻) Baranoff, E. G. and T. W. Sager, 2004, Managing Capital Structure: The Case of Life Insurers – A Semiparametric Simultaneous Quations Approach, Risk Theory Seminar (New York).zh_TW
dc.relation.reference (參考文獻) Baranoff, E. G. and T. W. Sager, 2003, The Interrelationship among Organizational and Distribution Forms and Capital and Asset Risk Structures in the Life Insurance Industry, Journal of risk and insurance 70, 375-400.zh_TW
dc.relation.reference (參考文獻) Baranoff, E. G. and T. W. Sager, 2002, The Relationship between Asset Risk, Product Risk, and Capital in the Life Insurance Industry, Journal of Banking and Finance 26, 1181-1197.zh_TW
dc.relation.reference (參考文獻) Brennan, M. J., E. S. Schwartz, and R. Lagnado, 1997, Strategic Asset Allocation, Journal of Economic Dynamics and Control 21, 1377-1403.zh_TW
dc.relation.reference (參考文獻) Browne, M. J., J. M. Carson, R. E. Hoyt, 1999, Economic and Market Predictors of Insolvencies in the Life-Health Insurance Industry, Journal of Risk and Insurance 66, 643-659.zh_TW
dc.relation.reference (參考文獻) Browne, M. J., J. M. Carson, R. E. Hoyt, 2001, Dynamic Financial Models of Life Insurers, North American Actuarial Journal 5, 11-26.zh_TW
dc.relation.reference (參考文獻) Campbell, J. Y., 2000, Asset Pricing at the Millennium, Journal of Finance 55, 1515-1567.zh_TW
dc.relation.reference (參考文獻) Consiglio, A., D. Saunders, and S. A. Zenios, 2006, Asset and Liability Management for Insurance Products with Minimum Guarantees: The UK case, Journal of Banking and Finance 30, 645-667.zh_TW
dc.relation.reference (參考文獻) Cox, J. C. and C. F. Huang, 1989, Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process, Journal of Economic Theory 49, 33-83.zh_TW
dc.relation.reference (參考文獻) Cox, J. C., J. E. Ingersoll, and S. A. Ross, 1985, A Theory of the Term Structure of Interest Rates, Econometrica 53, 385-407.zh_TW
dc.relation.reference (參考文獻) Cummins, J. D. and D. W. Sommer, 1996, Capital and Risk in Property-Liability Insurance Markets, Journal of Banking and Finance 20, 1069-1092.zh_TW
dc.relation.reference (參考文獻) Dorigo, M., A. Coloni, and V. Maniezzo, 1991, Distributed Optimization by Ant Colonies, First European Conference on Artificial Life, 134-142.zh_TW
dc.relation.reference (參考文獻) Eberhart, R C. and J. Kennedy, 1995, Particle Swarm Optimization, IEEE International Conference on Neural Networks, 1942-1948.zh_TW
dc.relation.reference (參考文獻) Fu, M. C., 1994, Optimization via Simulation: a review, Annals of Operations Research 53, 199-247.zh_TW
dc.relation.reference (參考文獻) Hammond, J. D., E. R. Melander and N. Shilling, 1976, Risk, Return, and Capital: The Insurer Case, Journal of Financial and Quantitative Analysis 11, 115-131.zh_TW
dc.relation.reference (參考文獻) Hardy, M. R., 1993, Stochastic Simulation in Life Office Solvency Assessment, Journal of Institute of Actuaries 120, 131-151.zh_TW
dc.relation.reference (參考文獻) zh_TW
dc.relation.reference (參考文獻) Hardy, M. R., 1996, Simulating the Relative solvency of Life Insurers, British Actuarial Journal 2, 1003-1019.zh_TW
dc.relation.reference (參考文獻) Huang, S.T., 2009, Two Essays on the Applications of Simulation Optimization to the Asset Allocations of a Property-Casualty Insurer, unpublished doctoral dissertation, National Chengchi University (Taiwan).zh_TW
dc.relation.reference (參考文獻) Iwaki, H. and S. Yumae, 2004, An Efficient Frontier for Participating Policies in a Continuous-Time Economy, Insurance: Mathematics and Economics 35, 611-625.zh_TW
dc.relation.reference (參考文獻) Kaufmann, R., A. Gadmer, and R. Klett, 2001, Introduction to Dynamic Financial Analysis, ASTIN Bulletin 31, 213-249.zh_TW
dc.relation.reference (參考文獻) Kendall, G. and Y. Su, 2005, A Particle Swarm Optimization Approach in the Construction of Optimal Risk Portfolios, 23rd IASTED International Multi-Conference Artificial Intelligence and Application, 140-145.zh_TW
dc.relation.reference (參考文獻) Kennedy, J., 1999, Small Worlds and Mega Minds: Effects of Neighborhood Topology on Particle Swarm Performance, Congress of Evolutionary Computation, 1931-1938.zh_TW
dc.relation.reference (參考文獻) Lu, M., D. Wu, and J. Zhang, 2006, A Particle Swarm Optimization-Based Approach to Tackling Simulation Optimization of Stochastic, Large-Scale and Complex Systems, Lecture Notes in Computer Science 3930, 528-537.zh_TW
dc.relation.reference (參考文獻) Markowitz, H. M., 1952, Portfolio Selection, Journal of Finance 7, 77-91.zh_TW
dc.relation.reference (參考文獻) Merton, R. C., 1971, Optimal Consumption and Portfolio Rules in a Continuous-Time Model, Journal of Economic Theory 3, 373-413.zh_TW
dc.relation.reference (參考文獻) Merton, R. C., 1976, Option Pricing When Underlying Stock Return Are Discontinuous, Journal of Financial Economics 3, 125-144.zh_TW
dc.relation.reference (參考文獻) Merton, R. C., 1990, Continuous Time Finance (Cambridge: Basil Blackwell).zh_TW
dc.relation.reference (參考文獻) Michaelsen, J. B. and R. C. Goshay, 1967, Portfolio Selection in Financial Intermediaries: A New Approach, Journal of Financial and Quantitative Analysis 2, 166-199.zh_TW
dc.relation.reference (參考文獻) Poli, R., 2008, Analysis of the Publications on the Applications of Particle Swarm Optimization, Journal of Artificial Evolution and Applications, 1-10.zh_TW
dc.relation.reference (參考文獻) Shi, Y. and R. C. Eberhart, 1998, Parameter Selection in Particle Swarm Optimization, 7th Annual Conference on Evolutionary Programming, 591-600.zh_TW
dc.relation.reference (參考文獻) Shrieves, R. E. and D. Dahl, 1992, The Relationship between Risk and Capital in Commercial Bank, Journal of Banking and Finance 16, 439-457.zh_TW