保險公司資產配置準則之分析

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姓名

陳柱銘(Chu-Min Chen) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

保險公司資產配置準則之分析
(The Analysis of Allocation Criteria for Insurance Companies)

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摘要(中)

本文將探討保險公司資產配置的相關議題。延伸過去文獻的模型,考慮保險公司的資產為股票及債券的投資組合,而負債則由分紅保單及保證收益保單所組成。在本文中,我們將透過風險測度、績效測度及
中立測度的組合,搭配形成不同的配置準則。利用這些配置準則，求解資產中股票及債券對各類保單之配置比例,並且分析配置準則在不同保單條件下，及不同期初資本條件下的影響。

摘要(英)

This article is about asset allocation for insurance companies. To make extension of previous literatures, the asset is considered as a generalized portfolio composed by stocks and bonds, and the liability is make up by bonus policies and guarantee policies. We set up allocation criteria by risk measure, performance measure, and neutral measure, solve the distribution of assets to each kinds of policies, and analyze the impact of the change in initial surplus and policies conditions.

關鍵字(中)

★ 風險測度
★ 資本配置
★ 分紅保單
★ 保證收益保單
★ 資產配置測度

關鍵字(英)

★ Capital allocation
★ Bonus policy
★ Guarantee policy
★ Allocating measure
★ Risk measure

論文目次

1 Introduction.....................................1
2 Literature Review................................3
3 The Model Framework..............................6
3.1 The Economic Balance Sheet.......................6
3.2 The Asset Model..................................6
3.3 The Liability Model..............................7
3.4 Measures and Allocation Methods.................10
3.5 Allocation Criteria.............................13
4 Analysis........................................17
4.1 Results of Different Allocation Criteria........17
4.2 Results of Different Levels of Initial Surplus..19
4.3 Results of Different Policies Conditions........20
5 Conclusion......................................22
Reference.......................................24
Appendix........................................25

參考文獻

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指導教授

岳夢蘭(Meng-Lan Yueh)

審核日期

2008-6-23

推文