隨機模式下保險公司盈餘管理：情境基礎資産配置策略

Surplus Management under a Stochastic Process: A Scenarios-based Asset Allocation Strategy

邱嘉洲(Chia-Chou Chiu) ； 李賢源(Shyan-Yuan Lee)

《臺大管理論叢》 17卷2期 (2007/06) Pp. 1-39

https://doi.org/10.6226/NTURM2007.17.2.1

摘要

本文運用多期的情境基礎規劃模式，提供利率隨機模式下最佳的資產配置策略，讓保險公司的盈餘管理者，依不同的利率情境安排現金流入量，使之能夠維持清償能力且滿足不同時期的現金支出。本質上，本文的策略為整體規劃免疫策略；也就是說，在每一種情境中，隨著今日殖利率曲線瞬間變動，保險公司的盈餘價值不會減損。另外，本文搭配利率隨機模型所產生的不同情境，可探討資產面與負債面報酬率變化的重要特質，例如：探討「今日市場之即期利率期限結構」變動對保險公司盈餘價值的影響、保險公司如何重新配置資產、以及保險公司如何進行避險。

關鍵字

盈餘管理 ； 資產配置策略 ； 情境基礎規劃

並列摘要

This paper proposes a multi-period scenarios-based programming model for the surplus management of an insurance company, and provides a profile of asset allocation strategy against interest-rate fluctuations. These strategies based on different interest rate situations can be arranged by a surplus manager to fulfill the obligations of different period under the pre-specified solvency ability. In effect, we provide a complete immunization strategy under a stochastic interest rate environment. Surplus value increases under each scenario while current interest rate level deviates instantaneously. Furthermore, we demonstrate the impact of the change of current term structure of interest rates on the surplus value, the way how to reallocate assets and the hedging strategy for the insurance company.

並列關鍵字

surplus management ； asset allocation ； scenarios-based programming