保險公司盈餘管理：利率隨機環境下資產配置策略

Surplus Management of Insurance Company: Asset Allocation under a Stochastic Interest Rate Environment

邱嘉洲(Chia-Chou Chiu)

指導教授 ： 李賢源

國立臺灣大學/管理學院/財務金融學研究所/博士(2007年)

https://doi.org/10.6342/NTU.2007.00151

摘要

首先，本文建議多期的情境基礎資產配置策略 (Multi-period Scenarios-based Asset Allocation Strategy;多期SAAS)，提供利率隨機環境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;也就是說，多期SAAS使得在每一種情境中，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。又搭配隨機利率模型 (例如 Hull and White, 1990) 所產生的不同情境，探討資產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等。

其次，從投資觀點重新詮釋多期SAAS;也就是說，讓保險公司的盈餘管理者投資於無套利隨機利率模式 (例如 Hull and White, 1990) 所伴隨之一系列Arrow-Debreu證券，藉以達成多期SAAS在各個不同時期不同情境所需安排的現金流入量，使之能夠維持清償能力且滿足不同時期的現金支出。對於保險公司所安排的投資策略這部份，本文稱之為Arrow-Debreu模式下資產配置策略 (Asset Allocation Strategy with an Arrow-Debreu Approach)。

最後，鑑於「今日市場之即期利率波動期限結構」在市場上的重要性等同於今日市場之即期利率期限結構，因此進一步探討今日市場之即期利率期限結構與今日市場之即期利率波動期限結構這兩項重要特質對保險公司盈餘管理的影響。本文搭配同時符合這兩項重要特質之無套利隨機利率模型 (例如 Black, Derman, and Toy, 1990)，建構多期SAAS及其Arrow-Debreu模式下資產配置策略，並且以情境或Arrow-Debreu證券為基礎闡述今日市場之即期利率期限結構變動或是今日市場之即期利率波動期限結構變動對保險公司盈餘價值的影響，其中內容亦包括：保險公司如何重新配置資產、以及保險公司如何擬定避險策略等等。

關鍵字

盈餘管理 ； 資產配置 ； Arrow-Debreu 證券 ； 利率期限結構 ； 利率波動期限結構 ； 多期的情境基礎資產配置策略 ； Arrow-Debreu模式下資產配置策略

並列摘要

First, this article suggests a multi-period scenarios-based asset allocation strategy (Multi-period SAAS) for the surplus management of an insurance company, and provides a profile of optimal asset allocation strategy under a stochastic interest rate environment. 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. That is: Multi-period SAAS lets surplus value increase under each scenario whenever current interest rate level deviates instantaneously. Furthermore, with a stochastic interest rate model (such as Hull and White, 1990) generating different scenarios, this article demonstrates the important properties of the change of asset return rate, such as 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.

Second, from an investment point of view, this article revisits Multi-period SAAS and considers investing a profile of Arrow-Debreu securities embedded in a no arbitrage stochastic interest rate process (such as Hull and White, 1990) to achieve cashflow arrangement under different period and scenario as suggested by Multi-period SAAS to fulfill the obligations of different period under the pre-specified solvency ability. For this part, we call these investing strategies for the insurance company as an asset allocation strategy with an Arrow-Debreu approach.

Finally, due to current volatility term structure of interest rate of equal importance to current term structure of interest rate, this article further investigates the impact of two important properties (i.e. current term structure of interest rate and current volatility term structure of interest rate) on surplus management. By no arbitrage stochastic interest rate model with both properties (such as Black, Derman, and Toy, 1990), this article constructs Multi-period SAAS and it’s asset allocation strategy with an Arrow-Debreu approach, to demonstrate, with scenarios or Arrow-Debreu securities, the impact of change of current/volatility term structure of interest rates on surplus value, including the way how to reallocate assets, the hedging strategy for the insurance company and so on.

並列關鍵字

Surplus Management ； Asset Allocation ； Arrow-Debreu Security ； Term Structure of Interest Rate ； Volatility Term Structure of Interest Rate ； Multi-period Scenarios-based Asset Allocation Strategy ； Asset Allocation Strategy with an Arrow-Debreu Approach

參考文獻

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Bierwag, G. O. 1977. Immunization, duration, and the term structure of interest rates. The Journal of Financial and Quantitative Analysis, 12: 725-742.

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Black, F., Derman, E., & Toy, W. 1990. A one-factor model of interest rates and its application to treasury bond options. Financial Analysts Journal, 46: 33-39.

Black, F., & Karasinski, P. 1991. Bond and option pricing when short rates are lognormal. Financial Analysts Journal, 47: 52-59.