Parameter Risks of Surplus Management Under a Stochastic Process

隨機過程下資產負債管理之參數風險

王儷玲(Jennifer L. Wang) ； 曾郁仁(Lany Y. Tzeng)

《財務金融學刊》 11卷1期 (2003/04) Pp. 95-115

https://doi.org/10.6545/JFS.2003.11(1).4

摘要

為了避免利率風險，保險公司經常設定公司資產的存續期間等於負債比例乘上公司負債的存績期間。然而此一策略只考慮利率的波動並沒有考量影響利率改變的其他因素。本篇論文首先提出資產負債管理中參數風險的定義，並進而建議一個以目標規畫整合傳統免疫理論的研究模型，本文所提出的研究方法可以同時控制利率風險與參數風險，並證明傳統免疫理論方法是本文研究方法的一種特例。最後，模擬分析結果顯示本文提出的目標規劃法能顯著降低保險公司的整體風險。

關鍵字

資產負債管理 ； 免疫理論 ； 參數風險

並列摘要

To hedge the interest-rate risk against a firm's surplus, insurance companies commonly set the firm's asset duration equalto the debt ratio times the firm's liability duration. However. this strategy focuses only on the fluctuation of interest rates; it does not address any of the uncertainty in the underlined factors , which guide the changes in interest rates . This paper first identifies parameter risks against a firm's surplus. We further propose to use goal proyamming to integrate the traditional immunization strategy against interest-rate risk and the strategies against parameter risks . Since the goal programming suggested in our paper is an integrated model of immunization strategies against interest-rate risk and parameter risks. the immunization strategy suggested here includes classical immunization strategy as a special case . Moreover. the results of our simulation show that. compared to classical immunization. the goal programming proposed in this paper can reduce significantly the overall risks against an insurance company's surplus.

並列關鍵字

asset and liability management ； immunization strategy ； parameter risks

參考文獻

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