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題名 Applying Simulation Optimization to the Asset Allocation of a Property-Casualty Insurer
作者 Yu,Tzu-Yi ; Tsai,Cheng-hsien ;Huang,Hsiao-Tzu
游子宜;蔡政憲;黃孝慈
貢獻者 風管系
關鍵詞 Simulation; Optimization; Evolution strategies; Asset allocation; Property-casualty insurance
日期 2010-11
上傳時間 27-Feb-2014 16:18:41 (UTC+8)
摘要 Proper asset allocations are vital for property–casualty insurers to be competitive and solvent. Theories of finance offer little practical guidance in constructing such asset allocations however. This research integrates simulation models with a newly developed evolutionary algorithm for the multi-period asset allocation problem of a property–casualty insurer. We first construct a simulation model to simulate operations of a property–casualty insurer. Then we develop multi-phase evolution strategies (MPES) to be used with the simulation model to search for promising asset allocations for the insurer. A thorough experiment is conducted to evaluate the performance of our simulation optimization approach. Computational results show that MPES is an effective search algorithm. It dominates the grid search method by a significant margin. The re-allocation strategy resulting from MPES outperforms re-balancing strategies significantly. This research further demonstrates that the simulation optimization approach can be used to study economic issues related to multi-period asset allocation problems in practical settings.
關聯 European Journal of Operational Research, 207(1), 499-507
資料來源 http://dx.doi.org/10.1016/j.ejor.2010.04.012
資料類型 article
DOI http://dx.doi.org/10.1016/j.ejor.2010.04.012
dc.contributor 風管系en_US
dc.creator (作者) Yu,Tzu-Yi ; Tsai,Cheng-hsien ;Huang,Hsiao-Tzuen_US
dc.creator (作者) 游子宜;蔡政憲;黃孝慈zh_TW
dc.date (日期) 2010-11en_US
dc.date.accessioned 27-Feb-2014 16:18:41 (UTC+8)-
dc.date.available 27-Feb-2014 16:18:41 (UTC+8)-
dc.date.issued (上傳時間) 27-Feb-2014 16:18:41 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/64282-
dc.description.abstract (摘要) Proper asset allocations are vital for property–casualty insurers to be competitive and solvent. Theories of finance offer little practical guidance in constructing such asset allocations however. This research integrates simulation models with a newly developed evolutionary algorithm for the multi-period asset allocation problem of a property–casualty insurer. We first construct a simulation model to simulate operations of a property–casualty insurer. Then we develop multi-phase evolution strategies (MPES) to be used with the simulation model to search for promising asset allocations for the insurer. A thorough experiment is conducted to evaluate the performance of our simulation optimization approach. Computational results show that MPES is an effective search algorithm. It dominates the grid search method by a significant margin. The re-allocation strategy resulting from MPES outperforms re-balancing strategies significantly. This research further demonstrates that the simulation optimization approach can be used to study economic issues related to multi-period asset allocation problems in practical settings.en_US
dc.format.extent 390236 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) European Journal of Operational Research, 207(1), 499-507en_US
dc.source.uri (資料來源) http://dx.doi.org/10.1016/j.ejor.2010.04.012en_US
dc.subject (關鍵詞) Simulation; Optimization; Evolution strategies; Asset allocation; Property-casualty insuranceen_US
dc.title (題名) Applying Simulation Optimization to the Asset Allocation of a Property-Casualty Insureren_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.ejor.2010.04.012en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.ejor.2010.04.012en_US